| 08.30 |
Registration |
| 09.00 - 10.00 |
Introductory remarks |
| |
Peter Praet (Member of the Executive Board, European Central Bank)
Keynote lecture: Raghuram Rajan (Governor, Reserve Bank of India)
|
| 10.00 - 11.20 |
Session 1: Repo Markets and Sovereign Bonds
Chair: Simone Manganelli (European Central Bank) |
|
Systemic Risk in Clearing Houses: Evidence from the European Repo Market
Charles Boissel (HEC Paris)
Francois Derrien (HEC Paris)
Evren Örs (HEC Paris)
David Thesmar (HEC Paris)
Discussant: Philipp Hartmann (European Central Bank) (tbc)
|
| |
The Importance of Being Special: Repo Markets During the Crisis
Stefano Corradin (European Central Bank)
Angela Maddaloni (European Central Bank)
Discussant: Patrick Augustin (Desautels/McGill University)
|
| 11.20 - 11.40 |
Coffee break
|
| 11.40 - 13.00 |
Session 2: Drivers of Euro Area Sovereign Bond Spreads
Chair: Hans-Helmut Kotz (SAFE/Goethe University Frankfurt) |
|
A Measure of Redenomination Risk
Roberto A. De Santis (European Central Bank)
Discussant: Kentaro Iwatsubo (Kobe University)
|
| |
An Analysis of Euro Area Sovereign CDSs and their Relation with Government Bonds
Alessandro Fontana (European Commission)
Martin Scheicher (European Central Bank)
Discussant: Naoshi Tsuchida (Bank of Japan)
|
| 13.00 - 14.00 |
Lunch
|
| 14.00 - 15.20 |
Session 3: Impact of Non-standard Measures on Sovereign Bond Markets
Chair: Jun Uno (Waseda University) |
|
US Monetary Policy and Foreign Bond Yields
Simon Gilchrist (Boston University)
Vivian Yue (Emory University)
Egon Zakrajšek (Board of Governors of the Federal Reserve System)
Discussant: Diego Saravia Tamayo (Banco Central de Chile)
Does Quantitative Easing Affect Market Liquidity?
Jens H. E. Christensen (Federal Reserve Bank of San Francisco)
James M. Gillan (University of California at Berkeley)
Discussant: Paolo Pasquariello (Ross/University of Michigan)
|
| 15.20 - 15.40 |
Coffee break
|
| 15.40 - 17.00 |
Session 4: Drivers of Liquidity in Sovereign Bond Markets
Chair: Benjamin Sahel (European Central Bank) |
| |
Limits to Arbitrage in Sovereign Bonds: Price and Liquidity Discovery in High-Frequency
Quote-Driven Markets
Loriana Pelizzon (SAFE/Goethe University Frankfurt)
Marti G. Subrahmanyam
(Stern/New York University)
Davide Tomio (Copenhagen Business School)
Jun Uno (Waseda University)
Discussant: Angela Maddaloni (European Central Bank)
|
| |
Liquidity and Dealer Activity in the UK Gilt Market
Evangelos Benos (Bank of England)
Filip Zikes (Bank of England)
Discussant: Vincent Fardeau (Frankfurt School of Business)
|
| 19.00 |
Conference Dinner (Emma Metzler - by invitation only)
Dinner speech: Benoît Coeuré (Member of the Executive Board, European Central Bank) |
| 09.00 |
Registration |
| 09.30 - 10.50 |
Session 5: Modelling Yield Curve Dynamics
Chair: Loriana Pelizzon (SAFE/Goethe University Frankfurt) |
|
Decomposing Real and Nominal Yield Curves
Michael Abrahams (Federal Reserve Bank of New York)
Tobias Adrian (Federal Reserve Bank of New York)
Richard K. Crump (Federal Reserve Bank of New York)
Emanuel Moench (Deutsche Bundesbank)
Discussant: Wolfgang Lemke (European Central Bank)
|
| |
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian
Interactions: an Empirical Study of Non-standard Monetary Policy in the Euro Area
Geert Mesters (VU University Amsterdam)
Siem Jan Koopman (VU University Amsterdam)
Bernd Schwaab (European Central Bank)
Discussant: Giuliano Curatola (SAFE/Goethe University Frankfurt)
|
| 10.50 - 11.10 |
Coffee break
|
| 11.10 - 12.45 |
Policy Panel: Impact of Central Banks' Non-standard Measures on Sovereign Bond Markets
Chair: Marti Subrahmanyam (Stern/New York University) |
Panelists |
Ulrich Bindseil (Director General Market Operations, European Central Bank)
Carlos Egea (Chief Trading Desk Strategist, Morgan Stanley)
Kazuo Momma (Assistant Governor, Bank of Japan)
Klaus Wiener (Chief Economist and Head of Tactical Asset Allocation, Generali Group)
|
| 12.45 - 13.00 |
Concluding remarks |
| |
Jan Pieter Krahnen (SAFE/Goethe University)
|
| 13.00 |
Buffet lunch
|
