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Concluding Conference of the Macro-prudential Research (MaRs) Network of the European System of Central Banks

Conference dates: Monday, 23 and Tuesday, 24 June 2014

Meeting room: Eurotower conference rooms CIV, CV and CVII

Venue: European Central Bank, Frankfurt am Main

Workshop Agenda

8.15 a.m. Registration
8.45 a.m. Welcome coffee
9 a.m. POLICY KEYNOTE  more
Vítor Constâncio, Vice President, European Central Bank
10 a.m. "Results of the ESCB Macro-prudential Research Network" presentation  more
Philipp Hartmann, European Central Bank and Chair of MaRs
11 a.m. Coffee break

Session 1, Room CIV

Tools for Assessing Macro-prudential Regulatory Instruments

Chair: Anil Kashyap, University of Chicago Booth School of Business

Paper 1: 'Capital Regulation in a Macroeconomic Model with Three Layers of Default' presentation
Laurent Clerc, Banque de France; Alexis Derviz, Česká národní banka; Caterina Mendicino, Banco de Portugal; Stephane Moyen, European Central Bank; Kalin Nikolov*, European Central Bank; Livio Stracca, European Central Bank; Javier Suarez, Center for Monetary and Financial Studies; Alexandros Vardoulakis, Federal Reserve Board (25 mins)

Paper 2: 'Examples of Macro-prudential Policy Experiments in MAPMOD' paper
Jaromir Benes, International Monetary Fund; Michael Kumhof, International Monetary Fund; Douglas Laxton*, International Monetary Fund (25 mins)

Paper 3: 'Bank Capital Requirements: A Quantitative Analysis' presentation
Thiên Nguyen*, University of Pennsylvania (25 mins)

Discussant: Skander van den Heuvel, Federal Reserve Board (20 mins) presentation

General discussion (15 mins)
1.05 p.m. Lunch

Session 2, Room CIV

Systemic Financial Instability Versus Financial Business Cycles in Empirical Macroeconomics

Chair: George Tavlas, Bank of Greece

Paper 1: 'Melting Down: Systemic Financial Instability and the Macro-economy' presentation   paper
Philipp Hartmann, European Central Bank; Kirstin Hubrich*, European Central Bank; Manfred Kremer, European Central Bank; Robert Tetlow, Federal Reserve Board (25 mins)

Paper 2: 'Financial Conditions and Density Forecasts for US Output and Inflation' presentation paper
Piergiorgio Alessandri*, Banca d'Italia; Haroon Mumtaz, Queen Mary University (25 mins)

Paper 3: 'Credit Risk in the Euro Area' paper
Simon Gilchrist, Boston University and National Bureau of Economic Research; Benoit Mojon*, Banque de France (25 mins)

Discussant: Harald Uhlig, University of Chicago (20 mins) presentation

General discussion (15 mins)

Session 3, Room CV

Contagion and Interbank Networks

Chair: Simone Manganelli, European Central Bank and MaRs WS3 co-ordinator

Paper 1: 'Marginal Contagion: A New Approach to Systemic Credit Risk'
Tomohiro Ota*, Bank of England (25 mins)

Paper 2: 'Cross-border Interbank Contagion in the European Banking Sector' paper
Silvia Gabrieli, Banque de France; Dilyara Salakhova*, Banque de France; Guillaume Vuillemey, Banque de France (25 mins)

Paper 3: 'Financial Firm Bankruptcy and Contagion' presentation paper
Jean Helwege*, University of South Carolina; Gaiyan Zhang, University of Missouri – St. Louis (25 mins)

Discussant: Hans Degryse, KU Leuven (20 mins) presentation

General discussion (15 mins)
4.20 p.m. Coffee break

Session 4, Room CIV

Regulatory Policy Instruments

Chair: Laurent Clerc, Banque de France and MaRs WS1 co-ordinator

Paper 1: 'Lending Pro-cyclicality and Macro-prudential Policy: Evidence from Japanese LTV Ratios' presentation paper
Arito Ono*, Mizuho Research Institute; Hirofumi Uchida, Kobe University; Gregory Udell, Indiana University; Iichiro Uesugi, Hitotsubashi University (25 mins)

Paper 2: Bank Networks: Contagion, Systemic Risk and Prudential Policy' presentation
Inaki Aldasoro*, Goethe University Frankfurt; Domenico Delli Gatti, Catholic University of Milan; Ester Faia, Goethe University Frankfurt (25 mins)

Paper 3: 'Centrality-based Capital Allocations and Bailout Funds' presentation paper
Adrian Alter*, International Monetary Fund; Ben Craig, Deutsche Bundesbank; Peter Rauppach, Deutsche Bundesbank (25 mins)

Discussant: Martin Summer, Oesterreichische Nationalbank (20 mins) presentation

General discussion (15 mins)

Session 5, Room CV

Early Warning Models

Chair: Katerina Smidkova†, Česká národní banka and MaRs WS2 co-ordinator; Carsten Detken, European Central Bank and MaRs WS2 co-ordinator

Paper 1: 'Comparing Different Early Warning Systems: Results from a Horse Race Competition Among Members of the MaRs Network' presentation paper
Bořek Vašíček*, Česká národní banka, et al. (25 mins)

Paper 2: 'News and Narratives in Financial Systems: Exploiting Big Data for Systemic Risk Assessment’
David Gregory, Bank of England; Sujit Kapadia, Bank of England; Rickard Nyman*, University College London; Robert Smith, University College London; David Tuckett, Bank of England (25 mins)

Paper 3: 'Identifying Excessive Credit Growth and Leverage’ presentation paper
Lucia Alessi*, European Central Bank; Carsten Detken, European Central Bank (25 mins)

Discussant: Mathias Drehmann, Bank for International Settlements (20 mins) presentation

General discussion (15 mins)
8 p.m. Dinner (by invitation only)
Dinner speech on "Challenges for Policy-relevant Research"
Richard Portes, London Business School and President of the Centre for Economic Policy Research
8.30 a.m. Coffee

Session 6, Room CIV

Interaction of Macro-prudential and Monetary Policies

Chair: Massimo Rostagno, European Central Bank

Paper 1: 'Monetary Policy, Financial Regulations and Industry Growth' presentation paper
Philippe Aghion, Harvard University; Enisse Kharroubi*, Bank for International Settlements (25 mins)

Paper 2: ‘Optimal Monetary and Liquidity Policies: Gains and Pitfalls of a Macro-prudential Approach’
Michael Kiley*, Federal Reserve Board; Jae Sim, Federal Reserve Board (25 mins)

Paper 3: ‘Liquidity Trap and Excessive Leverage’ presentation paper
Anton Korinek*, Johns Hopkins University; Alp Simsek, Massachusetts Institute of Technology (25 mins)

Discussant: Panicos Demetriades, University of Leicester (20 mins) presentation

General discussion (15 mins)

Session 7, Room CVII

International Spillovers and Capital Flows

Chair: Kamil Janáček, Česká národní banka

Paper 1: ‘Global Liquidity and Drivers of Cross-border Bank Flows’ presentation paper
Eugenio Cerutti, International Monetary Fund; Stijn Claessens, International Monetary Fund; Lev Ratnovski*, International Monetary Fund (25 mins)

Paper 2: ‘Crisis Transmission in the Global Banking Network’ presentation paper
Galina Hale, Federal Reserve Bank of San Francisco; Tümer Kapan, Fannie Mae; Camelia Minoiu*, International Monetary Fund (25 mins)

Paper 3: ‘Macro-prudential Capital Controls and the Shadow Economy’ paper
Julien Bengui*, Université de Montreal; Javier Bianchi, University of Wisconsin (25 mins)

Discussant: Alessandro Rebucci, Johns Hopkins University (20 mins) presentation

General discussion (15 mins)
10.50 a.m. Coffee break
11.10 a.m. Keynote discussion on “What Type of Economic Research can Support Macro-prudential Policy”
Chair: Frank Smets, European Central Bank

John Geanakoplos, James Tobin Professor of Economics, Yale University (30 mins) presentation

Anil Kashyap, Edward Eagle Brown Professor of Economics and Finance, University of Chicago Booth School of Business (30 mins) presentation

General discussion (30 mins)
12.40 p.m. Lunch

Session 8, Room CIV

Measuring Systemic Risk

Chair: Garry Schinasi, Independent Advisor (formerly International Monetary Fund)

Paper 1: ‘Structural GARCH: The Volatility-leverage Connection’ presentation paper
Robert Engle*, New York University; Emil Siriwardane, New York University (25 mins)

Paper 2: ‘Syndication, Interconnectedness, and Systemic Risk’ paper
Jian Cai, Fordham University; Anthony Saunders, New York University; Sascha Steffen*, European School of Management and Technology (25 mins)

Paper 3: ‘Bank Size, Capital Requirement, and Systemic Risk: Some International Evidence’ presentation paper
Luc Laeven, International Monetary Fund; Lev Ratnovski*, International Monetary Fund; Hui Tong, International Monetary Fund (25 mins)

Discussant: Christian Gourieroux, University of Toronto and Paris Graduate School of Economics, Statistics and Finance (20 mins)

General discussion (15 mins)
3.35 p.m. Coffee break
3.50 p.m. Policy panel on "Rethinking Economics After the Crisis"  more
Chair: Benoît Coeuré, Member of the Board, European Central Bank

Robert Engle, Michael Armellino Professor of Finance, New York University Stern School of Business; presentation

John Geanakoplos, James Tobin Professor of Economics, Yale University; presentation

Stefan Gerlach, Deputy Governor, Central Bank of Ireland presentation
5.50 p.m. End of conference

After more than three years of conducting research, the Macro-prudential Research Network (MaRs) of the European System of Central Banks (ESCB) will come to an end in 2014. The central banks involved will mark this fact with a conference, for which they invite the submission of papers.

Objectives of the conference

  1. Presenting state-of-the-art international research that answers the main research questions of MaRs.
  2. Reporting on the results of the work carried out by MaRs.
  3. Providing a forum for debate among market participants, policy-makers and researchers.

Relevant empirical, policy-oriented and theoretical research papers will be considered.

Confirmed speakers

  • Vitor Constancio (ECB, Vice-President)
  • John Geanakoplos (Yale University)
  • Anil Kashyap (University of Chicago)


The submission of research papers in the following fields is especially encouraged.

1. Macro-financial models linking financial stability and the performance of the economy:

  • representations of widespread financial instability in aggregate models;
  • transmission channels of financial instability in aggregate models, in particular the role of non-linearities, amplification, feedback and confidence effects;
  • characterisations of the leverage cycle;
  • models assessing the effectiveness of macro-prudential policies and their interaction with monetary policy.

2. Models and tools for the early identification and assessment of systemic risk:

  • financial stress and systemic risk indices, in particular comparative assessments of their performance;
  • early-warning models and indicators (e.g. for the early identification of risks of banking crises or boom/bust episodes in credit and asset markets), in particular comparative assessments of their performance;
  • vulnerabilities emerging from the link between fiscal activities and the financial sector;
  • conceptual frameworks of early warning systems;
  • major advances in stress-testing methodologies.

3. Assessing contagion risks:

  • cross-border and cross-sectoral contagion risks among financial intermediaries;
  • distinctions and relationships between financial contagion and the unravelling of widespread financial imbalances (e.g. credit bubbles);
  • mechanisms amplifying contagion;
  • sovereign contagion and the transmission of instability between sovereigns and financial intermediaries.

4. Macro-prudential regulatory policy instruments:

  • regulations that lead banks and other financial intermediaries (insurance and reinsurance companies, pension funds, etc.) to internalise any systemic risks they may cause;
  • how to contain regulatory arbitrage across different intermediaries and markets, which would circumvent macro-prudential regulations;
  • market regulations and accounting rules contributing to systemic stability (e.g. margin requirements, short-sale restrictions, and fair-value versus historical-cost accounting);
  • policy instruments limiting pro-cyclicality in the financial system and the emergence of credit booms and asset price bubbles, including measures addressing the incentive problems that contribute to the widespread build-up of imbalances.


Travel and accommodation expenses will be covered for academic speakers.

Submission of papers

Research papers should be sent electronically (MS Word or pdf versions only) to by 31 March 2014. The authors of the papers selected will be informed by end-April 2014.

The submission of papers on related topics falling within the scope of the network is also welcome. The selection committee will choose papers on the basis of the quality of the research and its fit with the above topics/its policy relevance, to compose a programme that combines MaRs research with external research. Each paper selected will be assigned a discussant. Furthermore, the papers selected will be placed on the network website.