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ECB Workshop on “Excess liquidity and money market functioning”

8.30 a.m. Registration
9 a.m. Welcome address
Frank Smets, Director General Research, European Central Bank
  Session 1
Money markets during the crisis

Chair: Francesco Drudi, European Central Bank
9.15 a.m. Frictions in the interbank market and the demand for reserves: lessons from the financial crisis
Morton Bech, Bank for International Settlements paper, presentation

Discussant: Flemming Würtz, European Central Bank presentation

10 a.m. The Federal Reserve's balance sheet and overnight interest rates
Bernd Schlusche, Board of Governors of the Federal Reserve System paper, presentation

Discussant: Jack Meaning, University of Kent

10.45 a.m. Coffee break
11 a.m. Measuring stress in the money markets: the CDSS index
Selva Demiralp, Koç University paper, presentation

Discussant: Manfred Kremer, European Central Bank

11.45 a.m. A model of the euro area yield curve with discrete policy rates
Jean-Paul Renne, Banque de France paper, presentation

Discussant: Wolfgang Lemke, European Central Bank presentation

12.30 p.m. Buffet lunch
1.30 p.m. Keynote speech
Inside and outside liquidity provision

Jamie McAndrews, Federal Reserve Bank of New York presentation
  Session 2
Micro-data based analysis of money markets

Chair: Benjamin Sahel, European Central Bank
2.15 p.m. Relationship lending in the interbank market and the price of liquidity
Falk Bräuning, University of Amsterdam paper

Discussant: Viktors Stebunovs, Board of Governors of the Federal Reserve System presentation

3 p.m. Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from the euro area banking system
Massimiliano Affinito, Banca d'Italia paper
Francis A. Longstaff, University of California, Los Angeles and NBER and

Discussant: Filippo Altissimo, Tudor Investment

3.45 p.m. Coffee break
  Session 3
Foreign exchange money markets during the crisis

Chair: Philipp Hartmann, European Central Bank
4.15 p.m. Access policy and money market segmentation
Sébastien Kraenzlin, Swiss National Bank paper

Discussant: Renaud Beaupain, Lille Catholic University and LEM-CNRS presentation

5 p.m. Liquidity shocks, dollar funding costs and the bank lending channel during the European sovereign crisis
Ricardo Correa, Federal Reserve Board paper, presentation

Discussant: Florian Heider, European Central Bank presentation

5.45 p.m. Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity
Angelo Ranaldo, University of St Gallen paper

Discussant: Dagfinn Rime, Norges Bank presentation

7.15 p.m. Dinner
Hosted by Peter Praet, Member of the Executive Board of the European Central Bank
9 a.m. Session 4

The impact of liquidity regulation on money markets
Chair: Ulrich Bindseil, European Central Bank

The liquidity coverage ratio and monetary policy implementation
Todd Keister, Rutgers University paper, presentation

Discussant: Cyril Monnet, University of Bern presentation

9.45 a.m. The impact of the LCR on the interbank money market
Clemens Bonner, De Nederlandsche Bank paper, presentation

Discussant: Beatrice Scheubel, European Central Bank presentation

10.30 a.m. The policy perspective: where do we stand in the Eurosystem?
Stefan Schmitz, Oesterreichische Nationalbank presentation
11 a.m. Coffee break
11.30 p.m. Panel discussion with market participants
Chair: Francesco Papadia intervention
Discussants: Mark Dearlove, Barclays, London; presentation
Andreas Biewald, Commerzbank, Frankfurt;
Pier Mario Satta, UniCredito, Milan
1 p.m. End of workshop and buffet lunch
Conference dates 19th and 20th November 2012
Purpose Money markets have taken the centre stage in economic and policy debates since the start of the financial crisis in August 2007. As they represent the initial step in the monetary transmission mechanism, their proper functioning is a pre-condition for standard monetary policy measures to be effective. Confronted with seriously impaired money markets, central banks around the world have launched a series of non-standard monetary policy measures aimed – among other things – at ensuring that monetary policy impulses continued to be effectively transmitted. The workshop intends bringing together central bankers, practitioners and academics to discuss the current state of health of money markets, the impact on their functioning of the recently implemented non-standard measures and the possible side effects of large amounts of excess liquidity currently present in many developed economies. A panel with representatives from the financial industry on the impact of 3-year Long Term Refinancing Operations is also envisaged.
Conference organisers Nuno Cassola, Alain Durré, Jens Eisenschmidt and Simone Manganelli (all ECB).
Conference venue European Central Bank
Kaiserstraße 29
60311 Frankfurt am Main
Tel.: +49 (0) 69 1344 0
Fax: +49 (0) 69 1344 6000
Conference language English
Contact persons Alain Durré
DG -Research
Financial Research Division
Tel.: +49 (0) 69 1344 5972
Dinner venue KuBu
Opernplatz 2
60313 Frankfurt
Programme Please note that this programme may be subject to change without notice.