Joint ECB-Bank of England workshop "Understanding the yield curve: what has changed with the crisis?"

Workshop Agenda

8.30 a.m. Registration and coffee
9 a.m. Opening remarks
Vítor Constâncio, Vice-President, European Central Bank  more
9.15 a.m. Session 1: Quantities and the yield curve
Chair: Thomas Werner, European Central Bank

The effects of Treasury debt supply on macroeconomic and term structure dynamics paper
Min Wei, Board of Governors of the Federal Reserve System
Thomas Laubach, Board of Governors of the Federal Reserve System
Discussant: Iryna Kaminska, Bank of England
10.00 a.m. A portfolio-balance approach to the nominal term structure paper
Thomas King, Federal Reserve Bank of Chicago
Discussant: Andrea Vedolin, London School of Economics
10.45 a.m. Coffee break
11.00 a.m. Session 2: Monetary policy and the yield curve
Chair: Manfred Kremer, European Central Bank

Monetary policy and Treasury risk premia paper
Andrea Buraschi, Imperial College London Business School
Andrea Carnelli, Imperial College London Business School
Paul Whelan, Imperial College London Business School
Discussant: Stefania D’Amico, Federal Reserve Bank of Chicago
11.45 a.m. (Un)conventional monetary policy and the yield curve paper
Marcel Priebsch, Board of Governors of the Federal Reserve System
Discussant: Oreste Tristani, European Central Bank
12.30 p.m. Lunch
Foyer of conference room CI, 36th floor (Eurotower)
1.30 p.m. Keynote speech: LSAPs and the term structure presentation
Gregory R. Duffee, Johns Hopkins University
2.15 p.m. Coffee break
2.30 p.m. Session 3: Unconventional measures
Chair: Mike Joyce, European Central Bank

The term-premium effect of the Federal Reserve’s asset purchase announcements paper
Canlin Li, Board of Governors of the Federal Reserve System
Stefania D’Amico, Federal Reserve Bank of Chicago
John S. Sears, Stanford University; Michael E. Cahill, Goldman Sachs
Discussant: Signe Krogstrup, Swiss National Bank
3.15 p.m. Interest rate spillovers during quantitative easing paper
Marcello Pericoli, Banca d’Italia
Discussant: Boris Hofmann, Bank for International Settlements
4 p.m. Coffee break
4.15 p.m. Session 4: Modelling the zero bound
Chair: Ken Nyholm, European Central Bank

A shadow-rate term structure model for the euro area paper
Wolfgang Lemke, European Central Bank
Andreea Liliana Vladu, Goethe University Frankfurt
Discussant: Don Kim, Board of Governors of the Federal Reserve System
5 p.m. Dynamic term structure models: the best way to enforce the zero lower bound paper
Andrew Meldrum, Bank of England
Martin M. Andreasen, Aarhus University
Discussant: Jean-Paul Renne, Banque de France
5.45 p.m. End of first day of workshop
7.30 p.m. Workshop dinner
(invitation only)
8.30 a.m. Registration and coffee
9 a.m. Keynote speech: Understanding and influencing the yield curve at the zero lower bound presentation
Glenn Rudebusch, Federal Reserve Bank of San Francisco
9.45 a.m. Coffee break
10 a.m. Session 5: The euro area bond market during the crisis
Chair: Magdalena Grothe, European Central Bank

Sovereign credit risk, liquidity, and ECB intervention: deus ex machina? paper
Loriana Pelizzon, Ca‘ Foscari University of Venice and Goethe University Frankfurt
Marti G Subrahmanyam, Stern School of Business, New York University
Davide Tomio, Copenhagen Business School; Jun Uno, Waseda University
Discussant: Jelena Stapf, Deutsche Bundesbank
10.45 a.m. Limits to arbitrage: empirical evidence from euro area sovereign bond markets paper
Maria Rodriguez-Moreno, Universidad de Navarra
Stefano Corradin, European Central Bank
Discussant: Philippe Mueller, London School of Economics
11.30 a.m. Coffee break
11.45 a.m. Panel session: Market participants’ views on sovereign bond markets during the crisis
Chair: Chris Young, Bank of England
Panelists:
Silvia Ardagna, Managing Director, Goldman Sachs
Erik F. Nielsen, Managing Director, Global Chief Economist, UniCredit Research
Torsten Slok, Managing Director, Chief International Economist, Deutsche Bank Securities
Michael Leister, Senior Rates Strategist, Commerzbank
12.45 p.m. Farewell lunch
Conference dates Monday, 8 September, and Tuesday, 9 September 2014
Meeting room Eurotower, conference room CI, 36th floor
Venue European Central Bank, Frankfurt am Main
Workshop language English
Transfers Participants are requested to arrange their own transfers from and to the airport, unless indicated otherwise
Dress code Business attire
Dinner venue Restaurant Opéra
Opernplatz 1
60313 Frankfurt am Main
Tel.: +49 (0)-69 1340 215
Participants are requested to make their own way to the venue, which is within easy walking distance of the ECB
Contact Thomas Werner
European Central Bank
Directorate General Economics
Capital Markets/Financial Structure Division
Tel: +49 (0)-69 1344 8707
E-mail: thomas.werner@ecb.europa.eu

Michael Joyce
European Central Bank
Directorate General Economics
Capital Markets/Financial Structure Division
Tel: +49 (0)-69 1344 8707
E-mail: michael.joyce@ecb.europa.eu

Magdalena Grothe
European Central Bank
Directorate General Economics
Capital Markets/Financial Structure Division
Tel: +49 (0)-69 1344 5360
E-mail: magdalena.grothe@ecb.europa.eu

Coralia Pastora
European Central Bank
Directorate General Economics
Capital Markets/Financial Structure Division
Tel: +49 (0)-69 1344 5655
E-mail: coralia.pastora@ecb.europa.eu

Iryna Kaminska
Bank of England
Macro Financial Analysis Division
Tel: +44 (0)20 7601 3413
E-mail: Iryna.Kaminska@bankofengland.co.uk

Marie-Clair Williams
European Central Bank
Directorate General Communications & Language Services
Outreach & Protocol Division
Tel.: +49 (0)-69 1344 6399
E-mail: DGC-Events@ecb.europa.eu
  Please note that this programme may be subject to change without notice.

Call for paper information

Deadline for submission of papers: 1 July 2014

The European Central Bank is organising a workshop entitled "Understanding the yield curve: what has changed with the crisis?", in cooperation with the Bank of England. The workshop will be held in Frankfurt am Main at the ECB's headquarters on 8-9 September 2014.

The financial and sovereign debt crises have raised a number of challenges for conventional models of the yield curve. They have also led to a number of developments in the literature, including a greater emphasis on the role of liquidity and credit premia and on models that allow for the impact of the zero lower bound on interest rates. The impact of central banks' standard and non-standard policy measures (including credit policies, quantitative easing and forward guidance) on the yield curve has also spawned a large body of literature that has attempted to quantify their effects, but many of the issues still remain open to further analysis. At the same time, recent debates on what information is or is not spanned by the yield curve raise important issues for how yield curve models should be constructed and how best to incorporate macroeconomic and financial market data into their estimation. As well as additional challenges, recent technical advances in estimation techniques open up new opportunities for researchers to expand the complexity of their models and to test their robustness over different specifications and samples.

The main objective of the workshop is to provide a forum for central bankers, market participants and researchers in the field of economics and finance to discuss these and other recent developments in yield curve modelling and to assess what has changed with the crisis.

We would welcome papers on the following topics in particular:

  • Understanding developments in euro area sovereign yields during the crisis (including the role of contagion effects and financial fragmentation);
  • The impact of standard and non-standard central bank policies on the yield curve (in particular the impact of forward guidance and asset purchase programmes);
  • Recent advances in yield curve modelling techniques (including non-linear and shadow rate models that allow for the zero lower bound on interest rates, models with unspanned factors, models incorporating financial market frictions and techniques for testing model robustness);

The scope of the workshop is not limited to the topics listed and submissions on other promising areas of yield curve research are also strongly encouraged, provided they have potential implications for monetary policy analysis.

Papers should be sent by e-mail as pdf-files to YieldCurve2014@ecb.int by 1 July 2014. Each submission should include an abstract and the e-mail address of the corresponding author. Authors of submissions will be notified whether their paper has been accepted for the conference programme by the beginning of August 2014.

Keynote speakers

Greg Duffee (Johns Hopkins University) and Glenn Rudebusch (Federal Reserve Bank of San Francisco) have confirmed their participation as keynote speakers.

Expenses

The travel expenses of presenting academic authors will be reimbursed. Presenting authors from central banks and other official institutions are generally expected to cover their own expenses.

Organisational issues

The workshop will last one and a half days, starting at 9 a.m. on 8 September 2014 and concluding at lunchtime on 9 September 2014. A conference dinner is planned for the evening of 8 September 2014.

Organising Committee

Magdalena Grothe, Michael Joyce, Manfred Kremer, Thomas Werner (all ECB) and Iryna Kaminska (Bank of England)

Contacts for further information

  • Thomas Werner, Head of Division
    Capital Markets/Financial Structure Division, Directorate General Economics, ECB
    E-mail: Thomas.Werner@ecb.int Tel.: +49 69 1344 8707
  • Michael Joyce, Principal Economist
    Capital Markets/Financial Structure Division, Directorate General Economics, ECB
    E-mail: Michael.Joyce@ecb.int Tel.: +49 69 1344 5204
  • Magdalena Grothe, Economist
    Capital Markets/Financial Structure Division, Directorate General Economics, ECB
    E-mail: Magdalena.Grothe@ecb.int Tel.: +49 69 1344 5360
  • Iryna Kaminska, Adviser
    Macro Financial Analysis Division, Bank of England
    E-mail: Iryna.Kaminska@bankofengland.co.uk Tel.: +44 207 601 3413