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2020 Financial Stability Conference: Stress, Contagion, and Transmission

East 6th Street
Cleveland
OH
44114

This conference was recorded and the session videos will be posted to this page upon final editing.

The Federal Reserve Bank of Cleveland and the Office of Financial Research will host their annual financial stability conference, Financial Stability: Stress, Contagion, and Transmission, which will be held virtually on November 19-20, 2020.

COVID-19 has had a substantial impact on economies and financial markets worldwide, though we recognize this impact is secondary to the wide-ranging health and survival issues the virus has engendered. Nevertheless, the pandemic has provided an authentic, severely adverse stress event through which we can glean specific lessons and apply particular remedies. Though the triggering event was different from what had been expected, the response to the 2008–2009 financial crisis created a suite of tools and playbooks for crisis response. Given current events, understanding exactly how these tools were or might have been implemented, along with how effective they have proven, may help illuminate lessons from the market and institutional responses to the pandemic.

Scientific Committee:

Agostino Capponi, Columbia University
Itamar Drechsler, Wharton School of the University of Pennsylvania
Michael Gofman, Simon School of Business at the University of Rochester
Itay Goldstein, Wharton School of the University of Pennsylvania
Anton Korinek, University of Virginia Darden School of Business
Philipp Schnabl, New York University Leonard N. Stern School of Business
Victoria Ivashina, Harvard Business School

November 19, 2020

Welcome

8:25-8:30 am
Joseph Haubrich, Senior Economic and Policy Advisor, Federal Reserve Bank of Cleveland

Opening Remarks

8:30-8:40 am
Loretta J. Mester, President and Chief Executive Officer, Federal Reserve Bank of Cleveland

Panel: Macroprudential and Monetary Policy

8:40-9:40 am
Moderator: Andrew Atkeson, Stanley M. Zimmerman Professor of Economics and Finance, University of California, Los Angeles

Panelists
Hugh Carney, Vice President, Capital Policy, American Bankers Association
James Chapman, Deputy Managing Director, Economic and Financial Research, Bank of Canada
Dorothy DeWitt, Director, Division of Market Oversight, Commodity Futures Trading Commission
Andreas Lehnert, Director of Financial Stability, Board of Governors of the Federal Reserve System

Q&A

Break

9:40-9:50 am

Paper Session: Macroprudential Policy and Monetary Policy

9:50-10:50 am
Moderator and Discussant: Philipp Schnabl, Martin J. Gruber Professor in Asset Management, Professor of Finance, and Sidney Homer Director of the Salomon Center for the Study of Financial Institutions, New York University Leonard N. Stern School of Business

Why So Negative? The Effect of Monetary Policy on Bank Credit Supply Across the Euro Area | paper
Florian Heider, Advisor, Financial Research Division, European Central Bank

Capital Requirements and Banks’ Behavior: Evidence from Bank Stress Tests | paper | appendix
Mehrnoush Shahhosseini, Assistant Professor of Finance, Masagung Graduate School of Management at University of San Francisco

Q&A

Break

10:50-11:00 am

Panel: Financial Market Frictions + Liquidity

11:00 am-12:00 pm
Moderator: Amy Edwards, Assistant Director Office of Markets, US Securities and Exchange Commission

Panelists:
Viral Acharya, C.V. Starr Professor of Economics, Department of Finance, New York University Leonard N. Stern School of Business
Darrell Duffie, Adams Distinguished Professor of Management and Professor of Finance, Stanford Graduate School of Business
Ben Golub, Chief Risk Officer, BlackRock
Isabel Schnabel, Member of the Executive Board, European Central Bank
Antoinette Schoar, Stewart C. Myers-Horn Family Professor of Finance, MIT Sloan School of Management

Q&A

Break

12:00-12:35 pm

Keynote Address

12:35-1:10 pm
Introduction: Loretta J. Mester
Governor Michelle W. Bowman, Board of Governors of the Federal Reserve System


November 20, 2020

Welcome

8:25-8:30 am
Dasol Kim, Senior Economist, Office of Financial Research

Opening Remarks

8:30-8:40 am
Dino Falschetti, Director, Office of Financial Research

Paper Session: Financial Market Frictions + Liquidity

8:40-9:40 am
Moderator and Discussant: Victoria Ivashina, Lovett-Learned Professor of Finance, Harvard Business School

Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity | paper
Kairong Xiao, Assistant Professor of Finance, Columbia Business School
Yiming Ma, Assistant Professor of Finance, Columbia Business School
Yao Zeng, Assistant Professor of Finance, Wharton School of the University of Pennsylvania

Anatomy of a Liquidity Crisis: Corporate Bonds in the COVID-19 Crisis | paper
Xing (Alex) Zhou, Principal Economist, Board of Governors of the Federal Reserve System
Maureen O’Hara, Robert W. Purcell Professor of Finance, Cornell University

Q&A

Break

9:40-9:50 am

Panel: Networks and Contagion

9:50-10:50 am
Moderator: H. Peyton Young, Centennial Professor, London School of Economics

Panelists:
Joshua M. Epstein, Professor of Epidemiology, New York University School of Global Public Health
Paul Glasserman, Jack R. Anderson Professor of Business, Columbia Business School
Suzanne Sprague, Managing Director, Credit & Liquidity Risk, Risk Policy, & Banking, CME Group

Q&A

Break

10:50-11:00 am

Paper Session: Networks and Contagion

11:00 am-12:00 pm
Moderator and Discussant: Michael Gofman, Assistant Professor of Finance, Simon Business School at the University of Rochester

Pirates Without Borders: The Propagation of Cyberattacks through Firms’ Supply Chains | paper
Matteo Crosignani, Economist, Federal Reserve Bank of New York
André F. Silva, Economist, Board of Governors of the Federal Reserve System
Marco Macchiavelli, Senior Economist, Board of Governors of the Federal Reserve System

Endogenous Risk-Exposure and Systemic Instability | paper
Chong Shu, PhD Candidate, USC Marshall School of Business

Q&A

Break

12:00-12:10 pm

Keynote Address

12:10-1:10 pm
Introduction: Dasol Kim, Senior Economist, Office of Financial Research
Markus K. Brunnermeier, Edwards S. Sanford Professor of Economics, Director of the Bendheim Center for Finance, Princeton University