Joint ECB, EABCN and FRB Atlanta conference: "Nonlinearities in macroeconomics and finance in the light of crises"

Conference dates: 15-16 December 2014

Venue: Steigenberger Frankfurter Hof, Salon 15

10 a.m. Registration
10.30 a.m. Introductory remarks
Vítor Constâncio, Vice-President, European Central Bank
Session 1: The Great Recession and the zero lower bound
Chair: João Sousa, European Central Bank
10.45 a.m. Paper 1: Macroeconomic dynamics near the zero lower bound: a tale of two countries paper, presentation
S. Boragan Aruoba and Pablo Cuba-Borda, University of Maryland;
*Frank Schorfheide, University of Pennsylvania and CEPR;

Discussant: Morten Ravn, University College London and CEPR presentation
11.40 a.m. Paper 2: Understanding the Great Recession paper, presentation
Lawrence J. Christiano and Martin S. Eichenbaum, Northwestern University;
*Matthias Trabandt, Board of Governors of the Federal Reserve System;

Discussant: Pedro Silos, Federal Reserve Bank of Atlanta presentation
12.35 p.m. Lunch
13.30 p.m. Poster session 1
Session 2: Monetary Union and exchange rates
Chair: Arnaud Mehl, European Central Bank
2.30 p.m. Paper 3: Financial frictions and Monetary Union paper, presentation
Simon Gilchrist, Boston University and National Bureau of Economic Research
Raphael Schoenle, Brandeis University;
Jae Sim* and Egon Zakrajsek, Board of Governors of the Federal Reserve System

Discussant: Olivier Loisel, Centre for Research in Economics and Statistics, ENSEA presentation
3.25 p.m. Paper 4: Destabilising carry trades paper, presentation
*Guillaume Plantin, Toulouse School of Economics and CEPR;
Hyun Song Shin, Bank for International Settlements and CEPR;

Discussant: Chris Otrok, University of Missouri presentation
4.20 p.m. Coffee break
Session 3: Housing
Chair: Carsten Detken, European Central Bank
4.40 p.m. Paper 5: Collateral constraints and macroeconomic asymmetries paper, presentation
Luca Guerrieri and Matteo Iacoviello*, Board of Governors of the Federal Reserve System;

Discussant: Raf Wouters, Nationale Bank van België/Banque Nationale de Belgique and CEPR presentation
5.35 - 6.30 p.m. Paper 6: Credit supply and the housing boom paper, presentation
Alejandro Justiniano, Federal Reserve Bank of Chicago;
Giorgio Primiceri*, Northwestern University and CEPR;
Andrea Tambalotti, Federal Reserve Bank of New York;

Discussant: Monika Piazzesi, Stanford University and CEPR
Session 4: Macro-finance and asset pricing
Chair: Oreste Tristani, European Central Bank
9 a.m. Keynote speech: Expanding the linear SVAR to jointly model financial and macro variables presentation
Christopher A. Sims, Princeton University
Paper 7: A macroeconomic model of equities and real, nominal and defaultable debt paper, presentation
Eric Swanson, University of California, Irvine

Discussant: Jean-Paul Renne, Banque de France
11.05 p.m. Coffee break
Session 5: Fiscal policy
Chair: Günter Coenen, European Central Bank
11.35 a.m. Paper 8: Fiscal multipliers in a non-linear world presentation
Jesper Lindé*, Sveriges Riksbank and CEPR;
Matthias Trabandt, Board of Governors of the Federal Reserve System

Discussant: Robert Kollmann, European Center for Advanced Research in Economics and Statistics (ECARES) and CEPR presentation
12.30 p.m. Paper 9: Does austerity pay off? paper, presentation
Benjamin Born, Mannheim University;
Gernot Müller*, Bonn University and CEPR;
Johannes Pfeifer, Mannheim University

Discussant: Tomasz Wieladek, Bank of England and CEPR presentation
1.25 p.m. Lunch
2.10 p.m. Poster session 2
Session 6: Multiple equilibria and credit
Chair: Simone Manganelli, European Central Bank
3.10 p.m. Paper 10: Self-fulfilling debt crises: can monetary policy help?
Philippe Bacchetta*, University of Lausanne and CEPR;
Elena Perazzi, University of Lausanne
Eric van Wincoop, University of Virginia

Discussant: Luca Dedola, European Central Bank presentation
4.05 p.m. Paper 11: Payments and credit paper, presentation
Monika Piazzesi and Martin Schneider*, Stanford University and CEPR;

Discussant: Vincenzo Quadrini, University of California, Irvine and CEPR presentation
5 p.m. End of conference

Poster Session 1

Monetary and Fiscal Policy Interactions: Leeper (1991) Redux
Guido Ascari*, University of Oxford; Anna Florio, Politecnico di Milano;
Alessandro Gobbi, Universitá Cattolica del Sacro Cuore

A dynamic network model of the unsecured interbank lending market
Falk Bräuning* and Francisco Blasques, VU University Amsterdam and Tinbergen Institute;
Iman van Lelyveld, De Nederlandsche Bank

Identifying booms and busts in house prices under heterogeneous expectations
Wilko Bolt*, De Nederlandsche Bank; Cees Diks, University of Amsterdam;
Maria Demertzis, De Nederlandsche Bank;
Cars Hommes and Marco van der Leij, University of Amsterdam

International capital flows and the boom-bust cycle in Spain
Jan in't Veld, European Commission;
Robert Kollmann*
European Centerfor Advanced Research in Economics and Statistics (ECARES) and CEPR;
Beatrice Pataracchia, Marco Ratto and Werner Roeger, European Commission

Lower bounds on approximation errors: testing the hypothesis that a numerical solution is accurate
Kenneth L. Judd, Lilia Maliar* and Serguei Maliar, Stanford University

How does monetary policy propagate when financial market volatility is low?
Sandra Eickmeier, Norbert Metiu* and Esteban Prieto, Deutsche Bundesbank

Optimal capital controls and real exchange rate policies: a pecuniary externality perspective
Gianluca Benigno, London School of Economics and Political Science and CEPR;
Huigang Chen, MarketShare Partners;
Christopher Otrok*, Federal Reserve Bank of St. Louis and University of Missouri;
Alessandro Rebucci, Johns Hopkins University and Inter-American Development Bank;
Eric R Young, University of Virginia

Bank liabilities channel
Vincenzo Quadrini, University of California, Irvine and CEPR

Poster Session 2

Regime-dependent sovereign risk pricing: the role of credit derivatives
Anne-Laure Delatte*, French National Centre for Scientific Research and CEPR;
Julien Fouquau, NEOMA Business School; Richard Portes, London Business School

Capital flows, intermediation frictions and the adjustment to common shocks
Ivan Jaccard* and Frank Smets, European Central Bank and CEPR

Optimal Monetary and Prudential Policies
Fabrice Collard and Harris Dellas, University of Bern and CEPR
Behzad Diba, Georgetown University;
Olivier Loisel*, Centre for Research in Economics and Statistics, ENSAE

Paper: New solution algorithms for Markov-switching rational expectations models
Poster: New solution algorithms for Markov-switching rational expectations models
Junior Maih, Norges Bank

State-dependent pricing and the paradox of flexibility
Luca Dedola and Anton Nakov*, European Central Bank and CEPR

Large time-varying parameter VAR: a non-parametric approach
George Kapetanios, Queen Mary University of London;
Massimiliano Marcellino, Bocconi University and CEPR; Fabrizio Venditti*, Banca d'Italia

The Varying Coefficient Bayesian Panel VAR Model
Tomasz Wieladek, Bank of England and CEPR

The recent turbulent times have highlighted the importance and usefulness of non-linear models. These models are crucial in the fields of research and research-based policy advice regarding the nexus between financial instabilities and the macroeconomy, the housing market, the effects of standard and non-standard monetary policies, the effects of fiscal policies and the role of financial variables as providers of information regarding agents' attitude towards risk and stress conditions in financial markets. The conference will cover a broad range of themes in macroeconomics and finance where non-linearities are relevant. A special emphasis will be given to methodological, theoretical and empirical aspects of non-linear models and their relevance for economic policy-making. Topics might include:

  • Financial markets/financial instabilities and the macroeconomy
  • Standard and non-standard monetary policy, the zero lower bound and the interactions with economic dynamics
  • Monetary and fiscal policy interactions
  • Fiscal policy, sovereign default risk and private sector debt
  • Risk and stress conditions in financial markets, systemic risk
  • Financial markets, expectations (including asset pricing) and banking
  • New approaches to estimating, solving and validating structural and reduced-form non-linear models in macroeconomics and finance

Chris Sims (Princeton University) will be the keynote speaker. Monika Piazzesi (Stanford University), Frank Schorfheide (University of Pennsylvania), Martin Schneider (Stanford University) and Philippe Bacchetta (University of Lausanne) have agreed to participate.

How to apply

The deadline for replies is 9 a.m. (UK time) on Saturday, 30 August 2014. Authors who are CEPR members can upload their submission to http://www.cepr.org/active/accounts/login.php. Authors who are not CEPR members can e-mail their submission to meets@cepr.org. Please indicate in your e-mail whether you would be willing to act as a discussant and if you will be able to cover your own travel and accommodation costs, or whether you will require funding from the EABCN. Guidelines on how to register online for CEPR meetings can be found at http://www.cepr.org/content/Electronic-Meetings-Organisation. Authors of successful submissions and accepted participants will be notified by mid-October 2014 at the latest.

Funding

The event will be hosted by the ECB, and co-sponsored by the ECB, the EABCN and the Federal Reserve Bank of Atlanta. Limited funding is available for travel expenses for academic participants presenting or acting as discussants. Costs will not be covered for central bank participants.