Call for papers

Workshop on "Modelling cross-border financial channels: a GVAR perspective"

Date: 24 and 25 November 2014

Venue: Frankfurt am Main

Deadline for submission: 30 September 2014

About the conference

The European Central Bank (ECB) is holding a workshop on "Modelling cross-border financial channels: a GVAR perspective" in Frankfurt am Main on 24 and 25 November 2014.

The workshop focuses on the empirical modelling of major transmission channels of financial market shocks using the global vector autoregressive (GVAR) framework. Understanding financial market interdependencies during times of significant monetary accommodation remains a key issue in current policy debates. Against this background, appropriate tools are needed to assess the impact on global financial flows of changing monetary conditions and to identify the drivers of changing co-movements between asset prices. The aim is to bring together academics, members of policy institutions and financial market participants to exchange their views and experience in modelling international financial market dynamics using the GVAR framework.

Topics

Topics that are of particular relevance to the workshop include, but are not restricted to:

  • monetary policy spillovers;
  • drivers of international portfolio allocations and capital flows;
  • the impact of confidence and risk aversion effects;
  • financial networks;
  • the interplay between systemically important financial institutions and aggregate macrofinancial fluctuations.

Invited Speakers

Prof. Hashem Pesaran (University of Southern California and University of Cambridge) and Dr. Lawrence Schembri (Deputy Governor, Bank of Canada) have confirmed their participation.

Submission of papers and deadlines

Papers should be submitted in PDF form to wshop-gvar@ecb.europa.eu by 30 September 2014. Authors of accepted papers will be notified by 7 October 2014.

Expenses

The travel and accommodation expenses of presenters of accepted papers who do not belong to the European System of Central Banks or other EU institutions will be covered by the ECB.

Organising committee

Alexander Al-Haschimi, Stephane Dees, Filippo di Mauro and Georgios Georgiadis (all ECB).