Workshop Agenda, Frankfurt am Main
| datum | 8 september 2014 - 9 september 2014 |
|---|---|
| plaats | Frankfurt am Main, Duitsland |
| organisatie | Europese Centrale Bank (ECB) i |
8.30 a.m. |
Registration and coffee |
9 a.m. |
Opening remarks Vítor Constâncio, Vice-President, European Central Bank more |
9.15 a.m. |
Session 1: Quantities and the yield curve Chair: Thomas Werner, European Central Bank The effects of Treasury debt supply on macroeconomic and term structure dynamics PAPER Min Wei, Board of Governors of the Federal Reserve System Thomas Laubach, Board of Governors of the Federal Reserve System Discussant: Iryna Kaminska, Bank of England |
10.00 a.m. |
A portfolio-balance approach to the nominal term structure PAPER Thomas King, Federal Reserve Bank of Chicago Discussant: Andrea Vedolin, London School of Economics |
10.45 a.m. |
Coffee break |
11.00 a.m. |
Session 2: Monetary policy and the yield curve Chair: Manfred Kremer, European Central Bank Monetary policy and Treasury risk premia PAPER Andrea Buraschi, Imperial College London Business School Andrea Carnelli, Imperial College London Business School Paul Whelan, Imperial College London Business School Discussant: Stefania D’Amico, Federal Reserve Bank of Chicago |
11.45 a.m. |
(Un)conventional monetary policy and the yield curve PAPER Marcel Priebsch, Board of Governors of the Federal Reserve System Discussant: Oreste Tristani, European Central Bank |
12.30 p.m. |
Lunch Foyer of conference room CI, 36th floor (Eurotower) |
1.30 p.m. |
Keynote speech: LSAPs and the term structure Gregory R. Duffee, Johns Hopkins University |
2.15 p.m. |
Coffee break |
2.30 p.m. |
Session 3: Unconventional measures Chair: Mike Joyce, European Central Bank The term-premium effect of the Federal Reserve’s asset purchase announcements PAPER Canlin Li, Board of Governors of the Federal Reserve System Stefania D’Amico, Federal Reserve Bank of Chicago John S. Sears, Stanford University; Michael E. Cahill, Goldman Sachs Discussant: Signe Krogstrup, Swiss National Bank |
3.15 p.m. |
Interest rate spillovers during quantitative easing PAPER Marcello Pericoli, Banca d’Italia Discussant: Boris Hofmann, Bank for International Settlements |
4 p.m. |
Coffee break |
4.15 p.m. |
Session 4: Modelling the zero bound Chair: Ken Nyholm, European Central Bank A shadow-rate term structure model for the euro area PAPER Wolfgang Lemke, European Central Bank Andreea Liliana Vladu, Goethe University Frankfurt Discussant: Don Kim, Board of Governors of the Federal Reserve System |
5 p.m. |
Dynamic term structure models: the best way to enforce the zero lower bound PAPER Andrew Meldrum, Bank of England Martin M. Andreasen, Aarhus University Discussant: Jean-Paul Renne, Banque de France |
5.45 p.m. |
End of first day of workshop |
7.30 p.m. |
Workshop dinner (invitation only) |
8.30 a.m. |
Registration and coffee |
9 a.m. |
Keynote speech: Understanding and influencing the yield curve at the zero lower bound Glenn Rudebusch, Federal Reserve Bank of San Francisco |
9.45 a.m. |
Coffee break |
10 a.m. |
Session 5: The euro area bond market during the crisis Chair: Magdalena Grothe, European Central Bank Sovereign credit risk, liquidity, and ECB intervention: deus ex machina? PAPER Loriana Pelizzon, Ca‘ Foscari University of Venice and Goethe University Frankfurt Marti G Subrahmanyam, Stern School of Business, New York University Davide Tomio, Copenhagen Business School; Jun Uno, Waseda University Discussant: Jelena Stapf, Deutsche Bundesbank |
10.45 a.m. |
Limits to arbitrage: empirical evidence from euro area sovereign bond markets PAPER Maria Rodriguez-Moreno, Universidad de Navarra Stefano Corradin, European Central Bank Discussant: Philippe Mueller, London School of Economics |
11.30 a.m. |
Coffee break |
11.45 a.m. |
Panel session: Market participants’ views on sovereign bond markets during the crisis Chair: Chris Young, Bank of England Panelists: Silvia Ardagna, Managing Director, Goldman Sachs Erik F. Nielsen, Managing Director, Global Chief Economist, UniCredit Research Torsten Slok, Managing Director, Chief International Economist, Deutsche Bank Securities Michael Leister, Senior Rates Strategist, Commerzbank |
12.45 p.m. |
Farewell lunch |
Conference dates |
Monday, 8 September, and Tuesday, 9 September 2014 |
Meeting room |
Eurotower, conference room CI, 36th floor |
Venue |
European Central Bank, Frankfurt am Main |
Workshop language |
English |
Transfers |
Participants are requested to arrange their own transfers from and to the airport, unless indicated otherwise |
Dress code |
Business attire |
Dinner venue |
Restaurant Opéra Opernplatz 1 60313 Frankfurt am Main Tel.: +49 (0)-69 1340 215 Participants are requested to make their own way to the venue, which is within easy walking distance of the ECB |
Contact |
Thomas Werner European Central Bank Directorate General Economics Capital Markets/Financial Structure Division Tel: +49 (0)-69 1344 8707 E-mail: thomas.werner@ecb.europa.eu Michael Joyce European Central Bank Directorate General Economics Capital Markets/Financial Structure Division Tel: +49 (0)-69 1344 8707 E-mail: michael.joyce@ecb.europa.eu Magdalena Grothe European Central Bank Directorate General Economics Capital Markets/Financial Structure Division Tel: +49 (0)-69 1344 5360 E-mail: magdalena.grothe@ecb.europa.eu Coralia Pastora European Central Bank Directorate General Economics Capital Markets/Financial Structure Division Tel: +49 (0)-69 1344 5655 E-mail: coralia.pastora@ecb.europa.eu Iryna Kaminska Bank of England Macro Financial Analysis Division Tel: +44 (0)20 7601 3413 E-mail: Iryna.Kaminska@bankofengland.co.uk Marie-Clair Williams European Central Bank Directorate General Communications & Language Services Outreach & Protocol Division Tel.: +49 (0)-69 1344 6399 E-mail: DGC-Events@ecb.europa.eu |
Please note that this programme may be subject to change without notice. |
Call for paper information
Deadline for submission of papers: 1 July 2014
The European Central Bank is organising a workshop entitled "Understanding the yield curve: what has changed with the crisis?", in cooperation with the Bank of England. The workshop will be held in Frankfurt am Main at the ECB's headquarters on 8-9 September 2014.
The financial and sovereign debt crises have raised a number of challenges for conventional models of the yield curve. They have also led to a number of developments in the literature, including a greater emphasis on the role of liquidity and credit premia and on models that allow for the impact of the zero lower bound on interest rates. The impact of central banks' standard and non-standard policy measures (including credit policies, quantitative easing and forward guidance) on the yield curve has also spawned a large body of literature that has attempted to quantify their effects, but many of the issues still remain open to further analysis. At the same time, recent debates on what information is or is not spanned by the yield curve raise important issues for how yield curve models should be constructed and how best to incorporate macroeconomic and financial market data into their estimation. As well as additional challenges, recent technical advances in estimation techniques open up new opportunities for researchers to expand the complexity of their models and to test their robustness over different specifications and samples.
The main objective of the workshop is to provide a forum for central bankers, market participants and researchers in the field of economics and finance to discuss these and other recent developments in yield curve modelling and to assess what has changed with the crisis.
We would welcome papers on the following topics in particular:
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-Understanding developments in euro area sovereign yields during the crisis (including the role of contagion effects and financial fragmentation);
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-The impact of standard and non-standard central bank policies on the yield curve (in particular the impact of forward guidance and asset purchase programmes);
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-Recent advances in yield curve modelling techniques (including non-linear and shadow rate models that allow for the zero lower bound on interest rates, models with unspanned factors, models incorporating financial market frictions and techniques for testing model robustness);
The scope of the workshop is not limited to the topics listed and submissions on other promising areas of yield curve research are also strongly encouraged, provided they have potential implications for monetary policy analysis.
Papers should be sent by e-mail as pdf-files to YieldCurve2014@ecb.int by 1 July 2014. Each submission should include an abstract and the e-mail address of the corresponding author. Authors of submissions will be notified whether their paper has been accepted for the conference programme by the beginning of August 2014.
Keynote speakers
Greg Duffee (Johns Hopkins University) and Glenn Rudebusch (Federal Reserve Bank of San Francisco) have confirmed their participation as keynote speakers.
Expenses
The travel expenses of presenting academic authors will be reimbursed. Presenting authors from central banks and other official institutions are generally expected to cover their own expenses.
Organisational issues
The workshop will last one and a half days, starting at 9 a.m. on 8 September 2014 and concluding at lunchtime on 9 September 2014. A conference dinner is planned for the evening of 8 September 2014.
Organising Committee
Magdalena Grothe, Michael Joyce, Manfred Kremer, Thomas Werner (all ECB) and Iryna Kaminska (Bank of England)
Contacts for further information
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-Thomas Werner, Head of Division
Capital Markets/Financial Structure Division, Directorate General Economics, ECB
E-mail: Thomas.Werner@ecb.int Tel.: +49 69 1344 8707
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-Michael Joyce, Principal Economist
Capital Markets/Financial Structure Division, Directorate General Economics, ECB
E-mail: Michael.Joyce@ecb.int Tel.: +49 69 1344 5204
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-Magdalena Grothe, Economist
Capital Markets/Financial Structure Division, Directorate General Economics, ECB
E-mail: Magdalena.Grothe@ecb.int Tel.: +49 69 1344 5360
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-Iryna Kaminska, Adviser
Macro Financial Analysis Division, Bank of England
E-mail: Iryna.Kaminska@bankofengland.co.uk Tel.: +44 207 601 3413
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Inhoudsopgave van deze pagina:
De Europese Centrale Bank (ECB) is verantwoordelijk voor het monetaire beleid van de Unie. De basisdoelstelling van de ECB is het handhaven van de prijsstabiliteit binnen de eurozone i en daarmee het bewaken van de koopkracht en het beheersen van de inflatie.
Sinds september 2014 speelt de ECB ook een rol in het toezicht op een deel van de Europese banken.