Determinants of sovereign bond yields and the effectiveness of central bank intervention

Joint conference of the ECB, Research Center SAFE at Goethe University Frankfurt, the Waseda Center for Finance Research and the NYU Stern Salomon Center for the Study of Financial Institutions

Second International Conference on Sovereign Bond Markets
in cooperation with the Society for Financial Econometrics, CREDIT Network and the SYRTO Project

Conference dates: 10 - 11 March 2015, Frankfurt am Main, Germany

8.30 a.m. Registration
9 a.m. Introductory remarks
Peter Praet, Member of the Executive Board, European Central Bank

Keynote lecture
Raghuram Rajan, Governor, Reserve Bank of India
10 a.m. Session 1: Repo markets and sovereign bonds
Chair: Simone Manganelli, European Central Bank

Systemic risk in clearing houses: evidence from the European repo market paper
Charles Boissel,
Francois Derrien (presenter),
Evren Örs and David Thesmar, HEC Paris
Discussant: Philipp Hartmann, European Central Bank

The importance of being special: repo markets during the crisis paper
Stefano Corradin (presenter) and Angela Maddaloni, European Central Bank
Discussant: Patrick Augustin, Desautels Faculty of Management at McGill University
11.20 a.m. Coffee break
11.40 a.m. Session 2: Drivers of euro area sovereign bond spreads
Chair: Hans-Helmut Kotz, SAFE at Goethe University Frankfurt

A measure of redenomination risk paper
Roberto De Santis, European Central Bank
Discussant: Kentaro Iwatsubo, Kobe University

An analysis of euro area sovereign CDSs and their relation with government bonds paper
Alessandro Fontana (presenter), European Commission
Martin Scheicher, European Central Bank
Discussant: Naoshi Tsuchida, Bank of Japan
1 p.m. Lunch
2 p.m. Session 3: Impact of non-standard measures on sovereign bond markets
Chair: Jun Uno, Waseda University

US monetary policy and foreign bond yields paper
Simon Gilchrist, Boston University;
Vivian Yue (presenter), Emory University
Egon Zakrajšek, Board of Governors of the Federal Reserve System
Discussant: Diego Saravia Tamayo, Banco Central de Chile

Does quantitative easing affect market liquidity? paper
Jens H. E. Christensen (presenter), Federal Reserve Bank of San Francisco
James M. Gillan, University of California at Berkeley
Discussant: Paolo Pasquariello, Ross School of Business at the University of Michigan
3.20 p.m. Coffee break
3.40 p.m. Session 4: Drivers of liquidity in sovereign bond markets
Chair: Benjamin Sahel, European Central Bank

Limits to arbitrage in sovereign bonds: price and liquidity discovery in high-frequency quote-driven markets paper
Loriana Pelizzon, SAFE at Goethe University Frankfurt
Marti Subrahmanyam, NYU Stern;
Davide Tomio (presenter), Copenhagen Business School
Jun Uno, Waseda University
Discussant: Angela Maddaloni, European Central Bank

Liquidity and dealer activity in the UK gilt market paper
Evangelos Benos and Filip Zikes (presenter), Bank of England
Discussant: Vincent Fardeau, Frankfurt School of Finance and Management
7 p.m. Dinner (by invitation only)
Dinner speech: Benoît Coeuré, Member of the Executive Board, European Central Bank.
9 a.m. Registration
9.30 a.m. Session 5: Modelling yield curve dynamics
Chair: Loriana Pelizzon, SAFE at Goethe University Frankfurt

Decomposing real and nominal yield curves paper
Michael Abrahams,
Tobias Adrian,
Richard K. Crump, Federal Reserve Bank of New York
Emanuel Moench (presenter), Deutsche Bundesbank
Discussant: Wolfgang Lemke, European Central Bank

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions: an empirical study of non-standard monetary policy in the euro area paper
Geert Mesters,
Siem Jan Koopman, VU University Amsterdam
Bernd Schwaab (presenter), European Central Bank
Discussant: Giuliano Curatola, SAFE at Goethe University Frankfurt
10.50 a.m. Coffee break
11.10 p.m. Policy panel: Impact of central banks' non-standard measures on sovereign bond markets
Chair: Marti Subrahmanyam, NYU Stern
Panellists: Ulrich Bindseil, Director General Market Operations European Central Bank
Kazuo Momma, Assistant Governor, Bank of Japan
Carlos Egea, Chief Trading Desk Strategist, Morgan Stanley
Klaus Wiener, Head of Tactical Asset Allocation & Chief Economist, Generali S.p.A.;
12.45 p.m. Concluding remarks
Jan Pieter Krahnen, SAFE at Goethe University Frankfurt
1 p.m. Buffet lunch
Conference dates Tuesday, 10 and Wednesday, 11 March 2015
Conference venue European Central Bank
Press Room
Sonnemannstrasse 20
60314 Frankfurt am Main
Transport Participants are requested to arrange their own transfers from and to the airport, unless indicated otherwise.
Dinner venue Emma Metzler
Schaumainkai 17
60594 Frankfurt am Main
Organisers Simone Manganelli
Head of Financial Research Division
European Central Bank

Loriana Pelizzon
Program Director of the Systemic Risk Lab and Professor of Law and Finance
Research Centre SAFE at Goethe University Frankfurt

Marti Subrahmanyam
Charles E. Merrill Professor of Finance, Economics and International Business, Stern School of Business, New York University

Jun Uno
Professor of Finance
Graduate School of Finance, Accounting and Law
Waseda University
Please note that this programme may be subject to change without notice.
Related website http://www.greta.it/sovereign/sovereign2/sovereign2.html

Deadline for the submission of papers: 18 November 2014

Hosted by the European Central Bank (ECB)

Following the first international conference on sovereign bond markets held in Tokyo, the second and third conferences will take place in Frankfurt am Main and New York respectively. The second conference is co-sponsored by the following:

  • Research Center SAFE (Sustainable Architecture for Finance in Europe) at Goethe University Frankfurt (Frankfurt am Main, Germany)
  • Center for Finance Research, Waseda University (Tokyo, Japan)
  • Salomon Center for the Study of Financial Institutions, NYU Stern (New York, USA)
  • European Central Bank (Frankfurt am Main, Germany).

The objective of the three conferences is to bring together leading academics, practitioners and policy-makers in the field of sovereign bond markets. It will provide an opportunity for discussion on both the causes and the implications of recent events in this field, which could lead to interesting suggestions for the direction of future research. Speakers will include prominent academics, industry experts and senior officials/researchers from the Bank of Japan, the European Central Bank and the Federal Reserve System. The three conferences are organised under the auspices of The Society for Financial Econometrics (SoFiE), CREDIT Network (GRETA, Venice, Italy) and the SYRTO project and will focus on various aspects of sovereign bond markets.

The key aim of the three conferences is to address the effects that recent non-standard central bank policy measures, such as government bond purchases and large injections of liquidity, have had on sovereign risk and sovereign bond markets, especially given that these measures will ultimately have to be unwound.

We welcome the submission of papers covering the following topics:

  1. The impact of non-standard measures on sovereign bond markets
  2. Credit risk, sustainability and market malfunctioning: drivers of euro area sovereign bond spreads
  3. The role of derivatives markets in the pricing and trading of sovereign bonds
  4. Stress in sovereign debt markets: measurement and impact on yield curve dynamics

Papers on other related topics may also be considered.

The members of the Scientific Committee for the conference taking place in Frankfurt am Main are: Robert F. Engle, NYU Stern School of Business, Jun Uno, Waseda University, Paolo Pasquariello, University of Michigan Business School, Monica Billio, University of Venice, Loriana Pelizzon, SAFE - Goethe University Frankfurt, Toshinao Yoshiba, Bank of Japan, Simone Manganelli, European Central Bank, and Michael Fleming, Federal Reserve Bank of New York.

The final programme will include presentations of both submitted and invited papers and a keynote speech by Raghuram Rajan (Governor of the Reserve Bank of India). The conference will also feature a panel discussion on researchers’ and practitioners’ views on the major outstanding issues in sovereign bond markets.

Paper submission procedure

Interested authors should submit their papers by 18 November 2014 to sovereign.conference@greta.it. Papers will be selected by 20 December 2014. The final version of accepted papers must be received by 31 January 2015.