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Structural developments in money markets: implications for monetary policy implementation

Workshop Agenda

Japan Center, meeting room Tokyo, 1st floor
Frankfurt am Main

8.45 a.m. Registration
9 a.m. Welcome address
Roberto Schiavi, European Central Bank

Session 1
Liquidity constraints and limits to arbitrage in the euro area money market

Chair: Flemming Würtz, European Central Bank
9.15 a.m. Strains on money market makers and money market tensions paper, presentation
Falko Fecht, Frankfurt School of Finance and Management
Stefan Reitz, Christian-Albrechts University of Kiel and Patrick Weber, Frankfurt School of Finance and Management
Discussant: Oliver Gloede, European Central Bank presentation
10 a.m. Limits to arbitrage in sovereign bonds price and liquidity discovery in high-frequency quote-driven markets presentation
Loriana Pelizzon, Goethe University Frankfurt and Ca' Foscari University of Venice
Marti G. Subrahmanyam, Stern School of Business at New York University
Davide Tomio, Copenhagen Business School
Jun Uno, Waseda University
Discussant: Magdalena Grothe, European Central Bank presentation
10.45 a.m. Coffee break
11.15 a.m. Session 2: Market fragmentation, interbank markets and monetary policy
Chair: Simone Manganelli, European Central Bank

Implementing monetary policy in a fragmented monetary union
Miklos Vari, Paris School of Economics and Banque de France paper
Discussant: Morten Bech, Bank for International Settlements
12 p.m. The Width of the ECB’s Monetary Policy Corridor: Implications for the EONIA Rate and Money Market Activity
Oliver Gloede, European Central Bank
Discussant: Katrien Baetens, Nationale Bank van België/Banque Nationale de Belgique presentation
12.45 p.m. Buffet lunch
2 p.m. Session 3: Banks’ funding practices in the unsecured euro money market
Chair: Holger Neuhaus, European Central Bank

How do banks fund themselves in the unsecured money market? A synopsis based on funding transactions
Juliane Kinsele and Vladimir Tsonchev, European Central Bank

Determinants of borrowing activity and pricing
Stefano Corradin and Peter Hoffman, European Central Bank

Implications of funding practices for the determination of representative interest rates
Juliane Kinsele and Vladimir Tsonchev, European Central Bank
3.15 p.m. Coffee break
3.45 p.m. Session 4: Banks’ funding practices in the unsecured euro money market
Chair: Tobias Linzert, European Central Bank

A dynamic network model of the unsecured interbank lending market paper, presentation
Falk Bräuning, VU University Amsterdam and Tinbergen Institute
Francisco Blasques, VU University Amsterdam and Tinbergen Institute and Iman van Lelyveld, Bank for International Settlements and De Nederlandsche Bank
Discussant: Gerhard Rünstler, European Central Bank
4.30 p.m. Liquidity freezes under adverse selection paper, presentation
José Jorge, Faculdade de Economia, Universidade do Porto, CEF.UP and Charles M. Kahn, Department of Finance, University of Illinois Urbana-Champaign
Discussant: Agnese Leonello, European Central Bank
5.15 p.m. Excess liquidity and interbank market functioning under stress: evidence from TARGET2 transactions
Carlos Garcia de Andoain, Florian Heider and Marie Hoerova, European Central Bank
Discussant: Kim Abildgren, Danmarks Nationalbank presentation
6.30 p.m. Reception open to all participants
Keynote address: Frank Smets, Counsel to the Executive Board, European Central Bank
Restaurant InCantina, Frankfurt am Main
8.45 a.m. Registration
9 a.m. Opening remarks
Benoît Cœuré, Member of the Executive Board, European Central Bank

Session 5: Regulation, monetary policy and money markets
Chair: Benjamin Sahel, European Central Bank
9.30 a.m. Liquidity regulation, the Central Bank and the money market paper, presentation
Julia Körding, and Beatrice Scheubel, European Central Bank
Discussant: Jean-Edouard Colliard, European Central Bank
10.15 a.m. Self-fulfilling fire sales: fragility of collateralised short-term debt markets paper, presentation
John C.F. Kuong, London School of Economics
Discussant: Enisse Kharroubi, Bank for International Settlements
11.00 a.m. Coffee break
  Session 6: Theory meets practice
11.30 p.m. Panel discussion
Chair: Holger Neuhaus, European Central Bank
Panelists: Falko Fecht, Frankfurt School of Finance and Management
Frederic Mouchel, JP Morgan
Huw Pill, Goldman Sachs
Geert Wijnhoven, ING
1.15 p.m. Buffet lunch
Workshop dates Monday, 20 and Tuesday, 21 October 2014
Workshop venue European Central Bank
Japan Center - meeting room Tokyo, 1st floor
Taunustor 2
60311 Frankfurt am Main
Tel.: +49 (0) 69 1344 0
Fax: +49 (0) 69 1344 6000
Workshop language English
Dinner venue Restaurant InCantina
Taunusstraße 6
60329 Frankfurt
Contacts Alexandra Ariman
Directorate General Market Operations
Money Market and Liquidity Division
Tel.: +49 (0) 69 1344 3768

Akuvi Edzave
Directorate General Communications & Language Services
Outreach and Protocol Division
Tel.: +49 (0) 69 1344 7321
  Please note that this programme may be subject to change without notice.

Call for papers information

Deadline for submission: 28 August 2014


Money markets are important for central banks as they represent the initial step in the monetary policy transmission mechanism. The proper functioning of money markets is a precondition for standard monetary policy measures to be effective. All around the world, money markets have been severely affected by the financial and sovereign debt crisis, reacting to new regulations and policy action, and more generally to broad changes in the financial market environment. The workshop will bring together central bankers, practitioners and academics to discuss relevant changes in money markets, the impact of these changes on their functioning and the likely implications for the implementation of monetary policy. A panel with representatives from the financial industry is also envisaged.


Submissions are welcome on all topics relating to money markets, in particular:

  • The functioning of the transmission mechanism and optimal design of the monetary policy implementation framework in the new market environment
  • The impact of market fragmentation on monetary policy implementation; empirical studies on segmentation in the euro area money market
  • Empirical studies on the structural changes in money markets and on interlinkages between different segments of the euro money market (e.g. unsecured, secured, FX swap) and spillover effects
  • The optimal design of money market reference rates, their importance for money market functioning and transmission of monetary policy, as well as their suitability as an operational target
  • The impact of regulatory initiatives on the money market and monetary policy implementation; regulatory demand for central bank reserves
  • The role of market infrastructures for money market functioning
  • Interlinkages between global money markets and spillover effects, and the impact of central bank monetary policy frameworks on reinforcing or weakening these links
  • Collateral availability (asset encumbrance), collateral reuse and rehypothecation
  • The impact of non-standard measures on secured and unsecured money markets


Papers should be submitted in PDF format to no later than 28 August 2014. The authors of accepted papers will be notified in early September 2014.

Organisational information

Attendance of the workshop is by invitation only. It will start in the morning of Monday, 20 October 2014 and end in the early afternoon on Tuesday, 21 October 2014. A dinner is planned for the evening of the first day.


The travel (economy fare) and accommodation expenses of academic speakers and discussants will be reimbursed.

Conference organisers

Holger Neuhaus, Julija Jakovicka, Julia Körding, Simone Manganelli, Evangelos Tabakis and Soren Autrup (all ECB).