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Money markets and central bank balance sheets

ECB workshop

Frankfurt am Main, 7 and 8 December 2015
Main Building, Press Conference Room


Monday, 7 December 2015

Welcome address

Vítor Constâncio, Member of the Executive Board, European Central Bank (ECB)


Session 1 - Repo markets

Chair: Holger Neuhaus, ECB

The impact of CCPs' margin policies on repo markets"

Arianna Miglietta, Banca d'Italia
Cristina Picillo, Bank for International Settlements
Mario Pietrunti, Banca d'Italia

Discussant: Stefano Corradin, ECB

The Role of Margin and Spread in Secured Lending: Evidence from the Bilateral Repo Market

Jun Kyung Auh, Georgetown University
Mattia Landoni, Southern Methodist University

Discussant: Tobias Dieler, École Polytechnique Fédérale de Lausanne

Coffee break

Session 2 - Collateralised transactions

Chair: Tobias Linzert, ECB

The collateral channel of open market operations

Nuno Cassola, ECB
François Koulisher, Banque de France

Discussant: Jan Wrampelmeyer, University of St. Gallen

Sovereign debt, securities lending, and financing during crises

Reena Aggarwal, Georgetown University
Jennie Bai, Georgetown Univerisity
Luc Laeven, ECB

Discussant: Björn Imbierowicz, Copenhagen Business School

Lunch break

Panel discussion Monetary policy implementation in the transition period to the new normal

Chair: Massimo Rostagno, ECB

Panellists: Manmohan Singh, International Monetary Fund
Sébastien Kraenzlin, Schweizerische Nationalbank
Toshifumi Nakamura, Bank of Japan


Session 2 continued

Federal Reserve tools for managing rates and reserves

Antoine Martin, Federal Reserve Bank of New York
Jamie McAndrews, Federal Reserve Bank of New York
Ali Palida, Massachusetts Institute of Technology
David Skeie, Texas A&M University

Discussant: Morten Bech, Bank for International Settlements

Coffee break

Session 3 - Regulation

Chair: Fiorella de Fiore, ECB

A heterogeneous agent model for assessing the effects of capital regulation on the interbank money market under a corridor system

Christopher Jackson and
Joseph Noss, Bank of England

Discussant: Francesca Carapella, Federal Reserve Board

Presentation: Impact of the Liquidity Coverage Ratio on Security Prices

Lucas Marc Fuhrer, Benjamin Müller and Luzian Steiner, Schweizerische Nationalbank

Discussant: Skander van den Heuvel, ECB


Official dinner (by invitation only)
Dinner remarks: Cornelia Holthausen, ECB

Tuesday, 8 December 2015

Session 4 - Money market frictions and the central bank

Chair: Simone Manganelli, ECB

The information contained in money market interactions: unsecured vs collateralised lending

Alejandro Bernales, Universidad de Chile
Mario di Filippo, University of St. Gallen

Discussant: Ouarda Merrouche, Université de Lausanne


Trading frictions in the interbank market and the central bank

Jean Edouard Colliard, HEC Paris
Thierry Foucault, HEC Paris
Peter Hoffmann, ECB

Discussant: Régis Breton, Banque de France

Coffee break
ECB monetary policy and the interbank repo market

Peter Dunne, Central Bank of Ireland
Michael Fleming, Federal Reserve Bank of New York
Andrey Zholos, Credit Suisse

Discussant: Alain Durré, Goldman Sachs, Paris


Panel discussion with market participants on topical issues in money markets

Chair: Roberto Schiavi, ECB

Panellists: Sean Crowe, Bank of Ireland
Thierry Darmon, Amundi
Johan Evenepoel, Euroclear
Stephane Landon, Société Générale
Christoph Rieger, Commerzbank

End of workshop, followed by lunch

General information

Workshop venue

European Central Bank
Main Building, Press Conference Room
Sonnemannstrasse 20
60314 Frankfurt am Main

+49 69 1344 0
Fax: +49 69 1344 6000

Workshop language



Jens Eisenschmidt, Directorate General Economics, Monetary Policy Strategy, ECB

Florian Heider, Directorate General Research, Financial Research Division, ECB

Olivier Vergote, Directorate General Market Operations, Money Market & Liquidity, ECB


Britta Bertram and Visvesh Seshadri
Directorate General Research, Financial Research Division, ECB

+49 69 69 1344 8340