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Second Conference of the ESCB Macro-prudential Research Network (MaRs)

30-31 October 2012, Frankfurt am Main

Name of presenters are in bold.


08:15 – 08:45 Registration
08:30 – 09:00 Welcome coffee
09:00 – 09:15 Opening remarks
Mario Draghi (President, European Central Bank)
9:15-10:15 Policy keynote: “The future of financial regulation: back to fundamentals” download
Stephen Cecchetti (Economic Adviser and Head of the Monetary and Economic Department, Bank for International Settlements)  
10:15 – 11:05 “Report on the first two years of the macroprudential research network” report, presentation
Philipp Hartmann (European Central Bank and Chair of MaRs)
11:05 – 11:20 Coffee break
11:20 – 13:10 Parallel sessions
Room: CIV Session 1:
Financial instability and the macroeconomy
Chair: Heinz Herrmann (Deutsche Bundesbank)
  Paper 1: ‘Booms and Systemic Banking Crises’ presentation  paper
Frederic Boissay (European Central Bank), Fabrice Collard (University of Bern) and Frank Smets (European Central Bank)
  Paper 2: ‘Stress-testing US Bank Holding Companies: A Dynamic Quantile Regression Approach’ presentation  paper
Francisco Covas (Federal Reserve Board), Ben Rump (Federal Reserve Board) and Egon Zakrajsek (Federal Reserve Board)
  Paper 3: ‘Bank Overleverage and Economic Fragility’ presentation  paper
Ryo Kato (Bank of Japan) and Takayuki Tsuruga (Kyoto University)
  Discussant: Xavier Freixas (Universitat Pompeu Fabra) presentation
General Discussion
Room: CV Session 2:
Early Warning Models
Chair: Carsten Detken (European Central Bank)
  Paper 1: ‘Predicting Bank Distress and Identifying Interdependencies amongst European Banks’ presentation  paper
Frank Betz (European Central Bank), Silviu Oprica (European Central Bank), Tuomas Peltonen (European Central Bank) and Peter Sarlin (Abo Akademi University)
  Paper 2: ‘Banking, Debt and Currency Crises: Early Warning Indicators for Developed Economies’ presentation  paper
Jan Babecky (Czech National Bank), Thomas Havranek (Czech National Bank), Jakub Mateju (Czech National Bank), Marek Rusnak (Czech National Bank), Katerina Smidkova (Czech National Bank) and Borek Vasicek (Czech National Bank)
  Paper 3: ‘Formal Identification of Sentiment Effects in Asset Markets’ presentation  paper
Peter Dunne (Central Bank of Ireland), John Forker (University of Bath), Ronan Powell (University of New South Wales) and Andrey Zholos (Queen’s University Management School)
  Discussant: Philip Davis (National Institute of Economic and Social Research) presentation
General Discussion
13:10 – 14:20 Lunch
14:20 – 16:10 Parallel sessions
Room: CIV Session 3:
Macro-prudential Policy
Chair: Ignazio Angeloni (European Central Bank)
  Paper 1: ‘A Macro-economic Model of Endogenous Systemic Risk-taking’ presentation  paper
David Martinez-Miera (Carlos III) and Javier Suarez (CEMFI)
  Paper 2: ‘An Integrated Framework for Analysing Multiple Financial Regulations’ presentation  paper
Charles Goodhart (London School of Economics), Anil Kashyap (Chicago Booth), Dimitrios Tsomocos (Oxford University) and Alexandros Vardoulakis (European Central Bank)
  Paper 3: ‘A Model for Assessing Macro-prudential Regulatory Policies’ presentation 
Laurent Clerc (Banque de France), Alexis Derviz (Czech National Bank), Caterina Mendicino (Bank of Portugal), Livio Stracca (European Central Bank) and Alexandros Vardoulakis (European Central Bank)
  Discussant: Michael Kumhof (International Monetary Fund) presentation 
General Discussion
Room: CV Session 4:
Contagion in Financial Networks
Chair: John Fell (European Central Bank)
  Paper 1: ‘Derivatives and Credit Contagion in Inter-connected Networks’ presentation  paper
Sebastian Heise (King’s College, London) and Reimer Kuehn (King’s College, London)
  Paper 2: ‘Size and Complexity in Model Financial Systems’ presentation  paper
Nim Arinaminpathy (Princeton University), Sujit Kapadia (Bank of England) and Robert May (Oxford University)
  Paper 3: ‘Bank Networks, Inter-bank Liquidity Runs and the Identification of Banks that are too Inter-connected to Fail’ presentation  paper
Alexei Karas (Roosevelt Academy) and Koen Schoors (Ghent University)
  Discussant: Ester Faia (Goethe University Frankfurt)
General Discussion
16:10 – 16:25 Coffee break
16:25 – 18:15 Parallel sessions
Room: CIV Session 5:
Cross-border Bank Contagion
Chair: Mauro Grande (European Central Bank)
  Paper 1: Determinants of Banking System Fragility: A Regional Perspective’ presentation  paper
Hans Degryse (Tilburg University and KU Leuven), Mohamed Elahi (CBER) and Maria Penas (Tilburg University)
  Paper 2: ‘Shocks Abroad, Pain at Home? Bank-Firm Level Evidence on Financial Contagion During the Recent Financial Crisis’ presentation  paper
Steven Ongena (Tilburg University), Jose-Luis Peydro (Universitat Pompeu Fabra) and Neeltje van Horen (De Nederlandsche Bank)
  Paper 3: ‘Vulnerable Banks’ presentation  paper
Robin Greenwood (Harvard University), Augustin Landier (University of Toulouse) and David Thesmar (HEC Paris)
  Discussant: Robert DeYoung (University of Kansas) presentation 
General Discussion
Room: CVII Session 6:
Leverage Cycles and Macro-financial Linkages
Chair: Heather Gibson (Bank of Greece)
  Paper 1: ‘House Prices, Credit Growth and Excess Volatility: Implications for Monetary and Macro-prudential Policies’ presentation  paper
Paolo Gelain (Norges Bank), Kevin Lansing (Federal Reserve Bank of San Francisco and Norges Bank) and Caterina Mendicino (Bank of Portugal)
  Paper 2: ‘Bank Leverage Shocks and the Macro-economy: A New Look in a Data-rich Environment’ presentation  paper
Jean-Stéphane Mésonnier (Banque de France) and Dalibor Stevanovic (UQAM)
  Discussant: Kim Abildgren (Danmarks Nationalbank) presentation 
General Discussion
20:00 Dinner (by invitation only)
  Dinner Remarks: “Insights into the Work of the ESRB”
Francesco Mazzaferro (Head, Secretariat of the European Systemic Risk Board)


08:30 – 09:00 Coffee
09:00 – 10:50
Room: CIV
Session 7
Sovereign Contagion and Runs on Money-market Funds

Chair: Cornelia Holthausen (European Central Bank)
  Paper 1: ‘Conditional Probabilities for Euro-area Sovereign Default Risk’ presentation  paper
Andre Lucas (University of Chicago), Bernd Schwaab (European Central Bank) and Xin Zhang (Sverige Riksbank)
  Paper 2: ‘Liquidity Shocks, Dollar Funding Costs and the Bank Lending Channel during European Sovereign Crisis’ presentation  paper
Ricardo Correa (Federal Reserve Board), Horacio Sapriza (Federal Reserve Board), and Andrei Zlate (Federal Reserve Board)
  Paper 3: ‘Runs on Money-market Mutual Funds’ presentation  paper
Lawrence Schmidt (University of California, San Diego), Allan Timmermann (University of California, San Diego) and Russ Wermers (University of Maryland)
  Discussant: Sascha Steffen (ESMT European School of Management and Technology) presentation 
General Discussion
10:50 – 11:05 Coffee break
11:05 – 12:55
Room: CIV
Session 8
Financial Imbalances and Policy Responses

Chair: Diego Rodriguez Palenzuela (European Central Bank)
  Paper 1:
‘Macro-prudential Regulation Versus Mopping Up After the Crash’
presentation  paper
Anton Korinek (University of Maryland) and Olivier Jeanne (Johns Hopkins University)
  Paper 2: ‘Optimal Monetary and Prudential Policies’ presentation  paper
Fabrice Collard (University of Bern), Harris Dellas (University of Bern), Behzad Diba (Georgetown University) and Olivier Loisel (ENSAE ParisTech)
  Paper 3: ‘Prudential Policy for Peggers’ presentation  paper
Stephanie Schmitt-Grohe (Columbia University) and Martin Uribe (Columbia University)
  Discussant: Enrico Perotti (University of Amsterdam) presentation 
General Discussion
12:55 – 14:15 Lunch
14:15 – 16:15
Room: CIV
Policy Panel on “The European Banking Union”
Chair: Vítor Constâncio (Vice-President, European Central Bank)
Speakers: Sharon Bowles (Chair, Committee on Monetary and Economic Affairs of the European Parliament)
Nathalie De Basaldua (Head, Financial Stability Unit of the Directorate General Internal Market and Services, European Commission)
Thomas Hoenig (Director, US Federal Deposit Insurance Corporation)
Erkki Liikanen (Governor, Bank of Finland)
André Sapir (Professor of Economics, Université Libre de Bruxelles, and Chair of the Advisory Scientific Committee of the European Systemic Risk Board)
16:15 – 16:25 Closing


European System of Central Banks (ESCB) Network on "Macro-prudential Research" (MaRs). The objectives of the conference are:

  1. to present state-of-the-art international research answering the main research questions of MaRs
  2. to provide a forum for debate among market participants, policy makers and researchers.