ECB Workshop on

Markets for inflation protection: recent developments, modelling tools and policy implications

Venue: European Central Bank, Frankfurt am Main

9.45 a.m. Registration
10.15 a.m. Opening remarks
Benoît Cœuré, Member of the Executive Board, European Central Bank
  Session 1
Recent market developments

Chair: Thomas Werner, European Central Bank
10.30 a.m. Euro inflation markets
Alan James, Barclays
10.55 a.m. Regional CPI markets in Europe
Markus Heider, Deutsche Bank
11.20 a.m. Coffee break
11.35 a.m. US inflation markets
Christophe Duval Kieffer, BNP Paribas
12 p.m. What can we learn from inflation markets?
Matthew Crawford, BlackRock
12.25 p.m. Lunch and coffee
Foyer of conference room CII, 36th floor, Eurotower
2 p.m. Keynote speech
The inflation-indexed bond market and inflation expectations

Luis M. Viceira, Harvard Business School
  Session 2
Modelling inflation-linked products and markets

Chair: Manfred Kremer, European Central Bank
3 p.m. Extracting deflation probability forecasts from Treasury yields
Authors: Jens H. E. Christensen (presenting author), Federal Reserve Bank of San Francisco,
Jose A. Lopez, Federal Reserve Bank of San Francisco and
Glenn D. Rudebusch, Federal Reserve Bank of San Francisco
Discussant: Tom Smith, Bank of England
3.40 p.m. Why does the Treasury issue TIPS? The TIPS-Treasury bond puzzle
Authors: Matthias Fleckenstein, University of California, Los Angeles,
Francis A. Longstaff, University of California, Los Angeles and NBER and
Hanno N. Lustig (presenting author), University of California, Los Angeles and NBER
Discussant: Søren Autrup, European Central Bank
4.20 p.m. Coffee break
4.30 p.m. Modelling UK inflation compensation: inflation expectations and risk premia during the Bank of England's inflation-targeting years
Author: Meredith Beechey, Sveriges Riksbank
Discussant: Marcello Pericoli, Banca d’Italia
5.10 p.m. Extraction of financial market expectations about inflation and interest rates from a liquid market
Authors: Ricardo Gimeno (presenting author), Banco de España,
José Manuel Marqués Banco de España
Discussant: Jens H. E. Christensen, Federal Reserve Bank of San Francisco
7.30 p.m. Conference dinner
8.45 a.m. Registration

Session 3
The central bank and treasury perspective

Chair: Flemming Würtz, European Central Bank
9.30 a.m. Analysing break-even inflation rates in times of financial market turmoil
Thomas Werner, European Central Bank
10 a.m. Option-implied inflation pdfs
Tom Smith, Bank of England
10.30 a.m. Coffee break
10.45 a.m. The Kingdom of Denmark's inaugural inflation-linked issue: motivations and first experiences
Jacob Ejsing, Danmarks Nationalbank
11.15 a.m. The importance of inflation-linked gilts in UK government financing
Tim Riddington, UK Debt Management Office
11.45 a.m. Coffee break
12 p.m. Panel session
The role of inflation-linked products from the policy perspective

Chair: Thomas Werner, European Central Bank
Panellists:
Alan James, Barclays,
Marcello Pericoli, Banca d’Italia,
Tim Riddington, UK Debt Management Office,
Luis M. Viceira, Harvard Business School
1.30 p.m. Farewell lunch
Foyer of conference room CII, 36th floor, Eurotower
Conference dates Thursday, 30 August 2012 and Friday, 31 August 2012
Conference location European Central Bank
Conference room CII, 36th floor, Eurotower
Kaiserstrasse 29
60311 Frankfurt am Main
Dress code Business attire
Conference language English
Programme The workshop programme may be changed without notice.
Organising committee Søren Autrup, Magdalena Grothe, Thomas Werner
Dinner venue Restaurant Opéra
Opernplatz 1
60313 Frankfurt am Main
Contact details of organisers Thomas Werner
Deputy Head of the Capital Markets and Financial Structure Division
Directorate General Economics, European Central Bank
Tel.: +49 69 1344 8707
E-mail: thomas.werner@ecb.europa.eu

Magdalena Grothe
Capital Markets and Financial Structure Division
Directorate General Economics, European Central Bank
Tel.: +49 69 1344 5360
E-mail: magdalena.grothe@ecb.europa.eu
Administrative support Michaela Petakova
Capital Markets and Financial Structure Division
Directorate General Economics, European Central Bank
Tel: +49 69 1344 5083
E-mail: michaela.petakova@ecb.europa.eu

Silvia Vigilante
Publishing, Events and Protocol Division
Directorate Communications, European Central Bank
Tel.: +49 69 1344 5187
E-mail: EVP-Events@ecb.europa.eu