Joint ECB, EABCN and FRB Atlanta conference: "Nonlinearities in macroeconomics and finance in the light of crises"
Conference dates: 15-16 December 2014
Venue: Steigenberger Frankfurter Hof, Salon 15
10 a.m. | Registration |
10.30 a.m. | Introductory remarks Vítor Constâncio, Vice-President, European Central Bank |
Session 1: The Great Recession and the zero lower bound Chair: João Sousa, European Central Bank |
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10.45 a.m. | Paper 1: Macroeconomic dynamics near the zero lower bound: a tale of two countries
paper,
presentation S. Boragan Aruoba and Pablo Cuba-Borda, University of Maryland; *Frank Schorfheide, University of Pennsylvania and CEPR; Discussant: Morten Ravn, University College London and CEPR presentation |
11.40 a.m. | Paper 2: Understanding the Great Recession
paper,
presentation Lawrence J. Christiano and Martin S. Eichenbaum, Northwestern University; *Matthias Trabandt, Board of Governors of the Federal Reserve System; Discussant: Pedro Silos, Federal Reserve Bank of Atlanta presentation |
12.35 p.m. | Lunch |
13.30 p.m. | Poster session 1 |
Session 2: Monetary Union and exchange rates Chair: Arnaud Mehl, European Central Bank |
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2.30 p.m. | Paper 3: Financial frictions and Monetary Union
paper,
presentation Simon Gilchrist, Boston University and National Bureau of Economic Research Raphael Schoenle, Brandeis University; Jae Sim* and Egon Zakrajsek, Board of Governors of the Federal Reserve System Discussant: Olivier Loisel, Centre for Research in Economics and Statistics, ENSEA presentation |
3.25 p.m. | Paper 4: Destabilising carry trades
paper,
presentation *Guillaume Plantin, Toulouse School of Economics and CEPR; Hyun Song Shin, Bank for International Settlements and CEPR; Discussant: Chris Otrok, University of Missouri presentation |
4.20 p.m. | Coffee break |
Session 3: Housing Chair: Carsten Detken, European Central Bank |
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4.40 p.m. | Paper 5: Collateral constraints and macroeconomic asymmetries
paper,
presentation Luca Guerrieri and Matteo Iacoviello*, Board of Governors of the Federal Reserve System; Discussant: Raf Wouters, Nationale Bank van België/Banque Nationale de Belgique and CEPR presentation |
5.35 - 6.30 p.m. | Paper 6: Credit supply and the housing boom
paper,
presentation Alejandro Justiniano, Federal Reserve Bank of Chicago; Giorgio Primiceri*, Northwestern University and CEPR; Andrea Tambalotti, Federal Reserve Bank of New York; Discussant: Monika Piazzesi, Stanford University and CEPR |
Session 4: Macro-finance and asset pricing Chair: Oreste Tristani, European Central Bank |
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9 a.m. | Keynote speech: Expanding the linear SVAR to jointly model financial and macro variables
presentation Christopher A. Sims, Princeton University |
Paper 7: A macroeconomic model of equities and real, nominal and defaultable debt
paper,
presentation Eric Swanson, University of California, Irvine Discussant: Jean-Paul Renne, Banque de France |
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11.05 p.m. | Coffee break |
Session 5: Fiscal policy Chair: Günter Coenen, European Central Bank |
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11.35 a.m. | Paper 8: Fiscal multipliers in a non-linear world
presentation Jesper Lindé*, Sveriges Riksbank and CEPR; Matthias Trabandt, Board of Governors of the Federal Reserve System Discussant: Robert Kollmann, European Center for Advanced Research in Economics and Statistics (ECARES) and CEPR presentation |
12.30 p.m. | Paper 9: Does austerity pay off?
paper,
presentation Benjamin Born, Mannheim University; Gernot Müller*, Bonn University and CEPR; Johannes Pfeifer, Mannheim University Discussant: Tomasz Wieladek, Bank of England and CEPR presentation |
1.25 p.m. | Lunch |
2.10 p.m. | Poster session 2 |
Session 6: Multiple equilibria and credit Chair: Simone Manganelli, European Central Bank |
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3.10 p.m. | Paper 10: Self-fulfilling debt crises: can monetary policy help? Philippe Bacchetta*, University of Lausanne and CEPR; Elena Perazzi, University of Lausanne Eric van Wincoop, University of Virginia Discussant: Luca Dedola, European Central Bank presentation |
4.05 p.m. | Paper 11: Payments and credit
paper,
presentation Monika Piazzesi and Martin Schneider*, Stanford University and CEPR; Discussant: Vincenzo Quadrini, University of California, Irvine and CEPR presentation |
5 p.m. | End of conference |
Poster Session 1
Monetary and Fiscal Policy Interactions: Leeper (1991) Redux
Guido Ascari*, University of Oxford; Anna Florio, Politecnico di Milano;
Alessandro Gobbi, Universitá Cattolica del Sacro Cuore
Falk Bräuning* and Francisco Blasques, VU University Amsterdam and Tinbergen Institute;
Iman van Lelyveld, De Nederlandsche Bank
Wilko Bolt*, De Nederlandsche Bank; Cees Diks, University of Amsterdam;
Maria Demertzis, De Nederlandsche Bank;
Cars Hommes and Marco van der Leij, University of Amsterdam
Jan in't Veld, European Commission;
Robert Kollmann*
European Centerfor Advanced Research in Economics and Statistics (ECARES) and CEPR;
Beatrice Pataracchia, Marco Ratto and Werner Roeger, European Commission
Kenneth L. Judd, Lilia Maliar* and Serguei Maliar, Stanford University
How does monetary policy propagate when financial market volatility is low?
Sandra Eickmeier, Norbert Metiu* and Esteban Prieto, Deutsche Bundesbank
Gianluca Benigno, London School of Economics and Political Science and CEPR;
Huigang Chen, MarketShare Partners;
Christopher Otrok*, Federal Reserve Bank of St. Louis and University of Missouri;
Alessandro Rebucci, Johns Hopkins University and Inter-American Development Bank;
Eric R Young, University of Virginia
Vincenzo Quadrini, University of California, Irvine and CEPR
Poster Session 2
Regime-dependent sovereign risk pricing: the role of credit derivatives
Anne-Laure Delatte*, French National Centre for Scientific Research and CEPR;
Julien Fouquau, NEOMA Business School; Richard Portes, London Business School
Ivan Jaccard* and Frank Smets, European Central Bank and CEPR
Optimal Monetary and Prudential Policies
Fabrice Collard and Harris Dellas, University of Bern and CEPR
Behzad Diba, Georgetown University;
Olivier Loisel*, Centre for Research in Economics and Statistics, ENSAE
Junior Maih, Norges Bank
State-dependent pricing and the paradox of flexibility
Luca Dedola and Anton Nakov*, European Central Bank and CEPR
Large time-varying parameter VAR: a non-parametric approach
George Kapetanios, Queen Mary University of London;
Massimiliano Marcellino, Bocconi University and CEPR; Fabrizio Venditti*, Banca d'Italia
Tomasz Wieladek, Bank of England and CEPR
The recent turbulent times have highlighted the importance and usefulness of non-linear models. These models are crucial in the fields of research and research-based policy advice regarding the nexus between financial instabilities and the macroeconomy, the housing market, the effects of standard and non-standard monetary policies, the effects of fiscal policies and the role of financial variables as providers of information regarding agents' attitude towards risk and stress conditions in financial markets. The conference will cover a broad range of themes in macroeconomics and finance where non-linearities are relevant. A special emphasis will be given to methodological, theoretical and empirical aspects of non-linear models and their relevance for economic policy-making. Topics might include:
- Financial markets/financial instabilities and the macroeconomy
- Standard and non-standard monetary policy, the zero lower bound and the interactions with economic dynamics
- Monetary and fiscal policy interactions
- Fiscal policy, sovereign default risk and private sector debt
- Risk and stress conditions in financial markets, systemic risk
- Financial markets, expectations (including asset pricing) and banking
- New approaches to estimating, solving and validating structural and reduced-form non-linear models in macroeconomics and finance
Chris Sims (Princeton University) will be the keynote speaker. Monika Piazzesi (Stanford University), Frank Schorfheide (University of Pennsylvania), Martin Schneider (Stanford University) and Philippe Bacchetta (University of Lausanne) have agreed to participate.
How to apply
The deadline for replies is 9 a.m. (UK time) on Saturday, 30 August 2014. Authors who are CEPR members can upload their submission to http://www.cepr.org/active/accounts/login.php. Authors who are not CEPR members can e-mail their submission to meets@cepr.org. Please indicate in your e-mail whether you would be willing to act as a discussant and if you will be able to cover your own travel and accommodation costs, or whether you will require funding from the EABCN. Guidelines on how to register online for CEPR meetings can be found at http://www.cepr.org/content/Electronic-Meetings-Organisation. Authors of successful submissions and accepted participants will be notified by mid-October 2014 at the latest.
Funding
The event will be hosted by the ECB, and co-sponsored by the ECB, the EABCN and the Federal Reserve Bank of Atlanta. Limited funding is available for travel expenses for academic participants presenting or acting as discussants. Costs will not be covered for central bank participants.