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2018 Financial Stability: Markets and Spillovers

What

2018 Financial Stability: Markets and Spillover

When

November 29 – November 30, 2018
Registration will close on 11/15/18

Where

Treasury Cash Room, Washington DC
1500 Pennsylvania Avenue NW
Washington DC 20220


November 29, 2018

7:45 – 8:30 am Registration
8:30 am Welcome
Stacey Schreft, Deputy Director, Research and Analysis Center, Office of Financial Research
8:45 – 9:45 am Panel: Macroprudential Policy

Moderator: Andreas Lehnert, Director, Division of Financial Stability, Federal Reserve Board of Governors

Panelists:
Tobias Adrian, Financial Counsellor and Director of the Monetary and Capital Markets Department, International Monetary Fund
Mark Zandi, Chief Economist, Moody’s Analytics
Sharon Kozicki, Advisor to the Governor, Bank of Canada
9:45 – 10:00 am Break
10:00 – 11:30 am Paper Session: Fire Sales and Funding Risks (paper, presentation)

Moderator and Discussant: Ravi Jagannathan, Chicago Mercantile Exchange/John F. Sandner Professor of Finance, Kellogg School of Management at Northwestern University (presentation)

Unexpectedly Broke: Exception Errors and Credit Cycles
Anna Kalbhenn, Principal Economist, European Central Bank
Carsten Detken, Head of the Division of Macroprudential Policy, European Central Bank
Eric Persson, European Central Bank
Lukas Püttmann, Analytics Consultant, European Central Bank

Beyond Regulatory Arbitrage: Novel Evidence on ABCP Market (paper, presentation)
Angela Gallo, Lecturer in Finance, Sir John Cass Business School, City University London
Barbara Casu, Professor of Banking and Finance, Sir John Cass Business School, City University London

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fun Runs (paper, presentation)
Paul Glasserman, Jack R. Anderson Professor of Business, Columbia Business School
Agostino Capponi, Assistant Professor of Industrial Engineering and Operations Research, Columbia University
Marko Weber, Postdoctoral Researcher, Columbia University
11:45 am – 1:00 pm Luncheon and Keynote Address

Introduction: Ken Phelan, Acting Director, Office of Financial Research

Keynote Address: J. Christopher Giancarlo, Chair, US Commodity Futures Trading Commission
1:15–2:45 pm Paper Session: Balance Sheet Risks (paper, presentation)

Moderator and Discussant: George Pennacchi, Fred S. Bailey Professor of Money, Banking, and Finance, Gies College of Business at the University of Illinois at Urbana-Champaign (presentation)

Deposit Inflows and Outflows in Failing Banks
Alexander Ufier, Financial Economist, Federal Deposit Insurance Corporation
Christopher Martin, Senior Financial Economist, Federal Deposit Insurance Corporation
Manju Puri, Director of the Center for Financial Research, Federal Deposit Insurance Corporation

Shadow Banks and Balance Sheets (paper, presentation)
Tomasz Piskorski, Edward S. Gordon Associate Professor of Real Estate, Columbia University
Greg Buchak, PhD Candidate, University of Chicago Booth School of Business
Gregor Matvos, Professor of Finance, McCombs School of Business at the University of Texas at Austin
Amit Seru, Steven and Roberta Denning Professor of Finance, Stanford Graduate School of Business

Illiquidity in Intermediary Portfolios: Evidence from Large Hedge Funds (paper, presentation)
Daniel Barth, Researcher, Office of Financial Research
Phillip Monin, Researcher, Office of Financial Research
2:45 – 3:45 pm Panel: Interconnectedness and Networks

Moderator: James McAndrews, Former Research Director, Federal Reserve Bank of New York

Panelists:
Serafin Martinez-Jaramillo, Senior Financial Researcher, Banco de México (presentation)
Rodney Garratt, Maxwell C. and Mary Pellish Chair in Economics, University of California, Santa Barbara (presentation)
Phillip Straley, President, Financial Network Analytics (presentation)
3:45 - 4:00 pm Break
4:00 – 5:30 pm Paper Session: Networks and Liquidity

Moderator and Discussant: Ben R. Craig, Senior Economic & Policy Advisor, Federal Reserve Bank of Cleveland (presentation)

Contagious Bank Runs and Dealer of Last Resort (paper, presentation)
Kebin Ma, Assistant Professor of Finance, Warwick Business School at the University of Warwick
Zhao Li, PhD Candidate, Stanford Graduate School of Business

Reciprocal Lending Relationships in Shadow Banking (paper, presentation)
Yi Li, Senior Economist, Board of Governors of the Federal Reserve System

Network Risk and Key Players: A Structural Analysis of Interbank Liquidity (paper, presentation)
Christian Julliard, Associate Professor of Finance, London School of Economics and Political Science
Yi Li, Senior Economist, Board of Governors of the Federal Reserve System
Edward Denbee, Senior Manager, Bank of England
Kathy Yuan, Professor of Finance, London School of Economics and Political Science
6:00 – 7:30 pm Reception Hosted by the Federal Reserve Bank of Cleveland

November 30, 2018

8:30 am Welcome
Joseph Haubrich, Senior Economic & Policy Advisor, Federal Reserve Bank of Cleveland
8:30 – 9:30 am Keynote Address: Anat R. Admati, Professor of Finance and Economics, Stanford Graduate School of Business (presentation)
9:30 – 10:45 am Panel: Moral Hazard and Adverse Selection in Financial Markets

Moderator: Ned Prescott, Senior Economic & Policy Advisor, Federal Reserve Bank of Cleveland

Panelists:
Til Schuermann, Partner, Oliver Wyman
Nancy Wallace, Lisle and Roslyn Payne Chair in Real Estate Capital Markets, Walter A. Haas School of Business, University of California Berkeley
Ron J. Feldman, First Vice President and Chief Operating Officer, Federal Reserve Bank of Minneapolis
10:45 – 11:00 am Break
11:00 – 12:30 pm Paper Session: Empirical Analysis of Bank Capital

Moderator and Discussant: Bill Nelson, Chief Economist, Bank Policy Institute

Bank Bailouts, Bail-ins, or No Regulatory Intervention? (paper, presentation)
Sergey Tsyplakov, Associate Professor of Finance, Darla Moore School of Business of the University of South Carolina
Allen N. Berger, H. Montague Osteen Jr. Professor in Banking and Finance, Darla Moore School of Business of the University of South Carolina
Charles P. Himmelberg, Co-chief Markets Economist and Co-head of Global Markets Research, Goldman Sachs & Co.
Raluca A. Roman, Economist, Federal Reserve Bank of Kansas City

Repo Market Functioning: The Role of Capital Regulation (paper, presentation)
Antonis Kotidis, PhD Candidate, Universität Bonn
Neeltje van Horen, Research Advisor, Bank of England; Research Fellow, Center for Economic and Policy Research

The Impact of Post-Stress Tests Capital on Bank Lending (paper)
Jose M. Berrospide, Section Chief of the Financial Institution Risk Evaluation Section, Board of Governors of the Federal Reserve System
William F. Bassett, Economist, Board of Governors of the Federal Reserve System
12:30 pm Closing Remarks
Box Lunch and Adjourn

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