Monetary policy, asset markets and learning
06 – 07 November 2006 European Central Bank, Frankfurt am Main
Please note that the conference is by invitation only.
Venue:
European Central Bank
Conference room: CVII, Eurotower, 2nd floor
Kaiserstrasse 29
D-60311 Frankfurt am Main
Introduction:
It has long been recognised that the way in which agents form expectations is a crucial element in determining the response of economic and financial variables to policy actions and to various economic shocks. However, the standard assumption of rational expectations does not leave much room for interactions between expectations and actual outcomes. Consequently, there is growing interest in exploring the implications of relaxing the strong informational assumptions which underlie the rational expectations approach. In particular, considerable efforts are being devoted to studying situations in which, because of limitations in information or in processing capacity, agents form expectations using learning algorithms. The introduction of learning into otherwise standard models has been found to help in explaining a number of puzzles in the fields of macroeconomics and finance.
Against this background, the ECB is organising a conference on the topic of “Monetary Policy, Asset Markets and Learning” on 6 and 7 November 2006. The conference seeks to bring together the latest research on models of learning, focusing in particular on their implications for asset markets and monetary policy.
Organisers:
Klaus Adam (European Central Bank)
Gabriel Fagan (European Central Bank) and
Albert Marcet (Insitut d'Anàlisi Econòmica CSIC)
Please address any correspondence to :
Ms Iris Bettenhaeuser
DG-Research, Monetary Policy Research Division
Kaiserstr. 29
60311 Frankfurt am Main
Germany.
For electronic submissions, please send an e-mail to iris.bettenhaeuser@ecb.int
Contact:
Conference organiser at the ECB in Frankfurt:
Laila Joest
Tel.: +49/(0)69/1344-6883
Fax: +49/(0)69/1344-7509
E-mail: laila.jost@ecb.int
Programme:
| 08:45 – 09:00 | Registration / Coffee |
| 09:00 – 09:30 | Welcome / Opening remarks Jean-Claude Trichet (President of the European Central Bank) |
| 09:30 – 10:30 | Can Perpetual Learning Explain the Forward Premium Puzzle? George Evans (University of Oregon) with Avik Chakraborty (University of Tennessee) pdf 750 kB, en Discussant: Jasmina Arifovic (Simon Fraser University) Discussion |
| 10:30 – 11:30 | Incomplete Information Processing: A Solution to the Forward Discount Puzzle Philippe Bacchetta (Study Center Gerzensee; University of Lausanne; Swiss Finance Institute; CEPR) with Eric van Wincoop (University of Virginia; NBER) pdf 518 kB, en Discussant: Kenneth Kasa (Simon Fraser University) Discussion by K. Kasa pdf 206 kB, en Discussion |
| 11:30 – 11:45 | Coffee |
| 11:45 – 12:45 | The Market Price of Risk and the Equity Premium: A Legacy of the Great Depression? Timothy Cogley (University of California, Davis) with Thomas Sargent (New York University; Hoover Institution) pdf 347 kB, en Discussant: Martin Ellison (Warwick University) Discussion by M. Ellison pdf 96 kB, en Discussion |
| 12:45 – 14:00 | Lunch |
| 14:00 – 15:00 | Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation Cars Hommes (Center for Non-linear Dynamics in Economics and Finance (CeNDEF), School of Economics, Universiteit van Amsterdam) with Peter Heemeijer, Joep Sonnemans and Jan Tuinstra (all: CeNDEF, School of Economics, Universiteit van Amsterdam) pdf 1.4 MB, en Discussant: Oliver Kirchkamp (University of Jena) Discussion by O. KirchKamp pdf 203 kB, en Discussion |
| 15:00 – 16:00 | More Hedging Instruments May Destabilize Markets Florian Wagener (Universiteit van Amsterdam) with William Brock (University of Wisconsin) and Cars Hommes (Center for Non-linear Dynamics in Economics and Finance (CeNDEF), School of Economics, Universiteit van Amsterdam) pdf 1.4 MB, en Discussant: Avik Chakraborty (University of Tennessee) Discussion |
| 16:00 – 16:15 | Coffee |
| 16:15 – 17:15 | The Conquest of South American Inflation Tao Zha (Federal Reserve Bank of Atlanta) with Thomas Sargent (New York University; Hoover Institution) and Noah Williams (Princeton University) pdf 799 kB, en Discussant: Juan Pablo Nicolini (Universidad Torcuato di Tella) Discussion by J. Pablo Nicolini pdf 142 kB, en Discussion |
| 17:15 – 18:15 | What Can Rational Investors Do about Excessive Volatility and Sentiment Fluctuations? Raman Uppal (London Business School) with Bernard Dumas (INSEAD; University of Pennsylvania (The Wharton School); CEPR; NBER) and Alexander Kurshev (London Business School; CEPR) pdf 505 kB, en Discussant: Yaw Nyarko (New York University) Discussion |
| 19:30 Social event: |
Dinner In Restaurant "Emma Metzler" (situated in the grounds of the "Museum für Angewandte Kunst") Schaumainkai 17 60594 Frankfurt am Main |
| 09:30 – 10:30 | Liquidity Traps, Learning and Stagnation Seppo Honkapohja (University of Cambridge) with George Evans (University of Oregon) and Eran Guse (University of Cambridge) pdf 334 kB, en Discussant: Roger Guesnerie (Collège de France) Discussion |
| 10:30 – 11:30 | Stock Market Volatility and Learning Klaus Adam (European Central Bank) with Albert Marcet (Institut d'Anàlisi Econòmica CSIC) and Juan Pablo Nicolini (Universidad Torcuato di Tella) pdf 436 kB, en Discussant: Philippe Weil (Université Libre de Bruxelles (ECARES)) Discussion |
| 11:30 – 11:45 | Coffee |
| 11:45 – 12:45 | Learning and Model Validation In-Koo Cho (University of Illinois) with Kenneth Kasa (Simon Fraser University) pdf 428 kB, en Discussant: James Bullard (Federal Reserve Bank of St. Louis) Discussion by J. Bullard pdf 716 kB, en Discussion |
| 12:45 – 14:00 | Lunch |
| 14:00 – 15:00 | Sticky Information in General Equilibrium Ricardo Reis (Princeton University) with N. Gregory Mankiw (Harvard University) pdf 360 kB, en Discussant: Bartosz Mackowiak (Humboldt University) Discussion by B. Mackowiak pdf 46 kB, en Discussion |
| 15:00 – 16:00 | The Market Organism: Long Run Survival in Markets with Heterogeneous Traders Lawrence Blume (Cornell University) with David Easley (Cornell University) pdf 243 kB, en Discussant: Ramon Marimon (European University Institute; UPF-CREI) Discussion |
| 16:00 – 16:15 | Coffee |
| 16:15 – 17:15 | Expectations Driven Fluctuations and Stabilization Policy Bruce Preston (Columbia University) with Stefano Eusepi (Federal Reserve Bank of New York) pdf 213 kB, en Discussant: Frank Smets (European Central Bank) Discussion |
| 17:15 – 17:45 | Monetary Policy, Asset Markets and Learning – A Policy Maker's View Axel Weber (President of the Deutsche Bundesbank) |
| 18:45 | Coffee / End of workshop |
For each paper, the author has 40 minutes and the discussant 10 minutes, with a further 10 minutes allocated for general discussion.
Hotel accommodation:
Steigenberger Hotel Frankfurter Hof
Am Kaiserplatz
D-60311 Frankfurt am Main
Tel.: +49/(0)69/215-02
Fax: +49/(0)69/215-900
www.Frankfurter-Hof.Steigenberger.de
E-mail: Frankfurter-Hof@Steigenberger.de