ECB Workshop on “Structural changes in money markets: Implications for monetary policy implementation

Frankfurt am Main - 30 September and 1 October 2013

8.45 a.m. Registration
9 a.m. Welcome address
Ulrich Bindseil, European Central Bank
  Session 1
Liquidity management

Chair: Holger Neuhaus, European Central Bank
9.15 a.m. To sell or to borrow? A theory of bank liquidity management
Michal Kowalik, Federal Reserve Bank of Kansas City, paper, presentation

Discussant: Anton van Boxtel, Tilburg University, presentation
10 a.m. Central bank policy tools for liabilities management
Antoine Martin, James McAndrews, Ali Palida, and David Skeie, Federal Reserve Bank of New York, paper, presentation

Discussant: Louis Crandall, Wrightson ICAP, presentation
10.45 a.m. Coffee break
  Session 2
Modelling liquidity auctions

Chair: Manfred Kremer, European Central Bank
11.15 a.m. Directed search in the interbank money market
Morten Bech, Bank for International Settlements; Cyril Monnet, University of Bern and Study Center Gerzensee, paper, presentation

Discussant: Jens Tapking, European Central Bank, presentation
12 a.m. Strategic bidding in ECB refinancing operations
Edgar Vogel, European Central Bank, paper, presentation

Discussant: Christian Ewerhart, University of Zurich, presentation
12.45 a.m. Buffet lunch
1.45 p.m. Keynote speech
Collateral quality, financial health, and Eurosystem credit: evidence from German banks

Kjell G. Nyborg, University of Zurich
  Session 3
Liquidity and collateral

Chair: Thomas Werner, European Central Bank
2.30 p.m. From funding liquidity to market liquidity: evidence from Danish bond markets
Jens Dick-Nielsen, Jesper Lund, Copenhagen Business School; Jacob Gyntelberg, Bank for International Settlements, paper, presentation

Discussant: Stefano Corradin, European Central Bank, presentation
3.15 p.m. Coffee break
3.45 p.m. Funding liquidity, market liquidity and TED spread: a two-regime model
Kris Boudt, Vrije Universiteit Brussel and V.U. University Amsterdam; Ellen Paulus, London Business School; Dale Rosenthal, University of Illinois at Chicago, paper, presentation

Discussant: Angelo Ranaldo, University of St. Gallen, presentation
4.30 p.m. New perspectives on monetary operations and repo markets before and during the financial crisis and Great Recession
Peter Dunne, Central Bank of Ireland; Michael Fleming, Federal Reserve Bank of New York; Andrey Zholos, Barclays Capital, paper, presentation

Discussant: Thomas Werner, European Central Bank, presentation
6.30 p.m. Speakers’ dinner (by invitation only)
Dinner Speech: Peter Praet, Member of the Executive Board, European Central Bank
Restaurant Emma Metzler, Frankfurt am Main
8.45 a.m. Registration
  Session 4
Interbank networks

Chair: Simone Manganelli, European Central Bank
9 a.m. How to measure the unsecured money market? The Eurosystem’s implementation and validation using TARGET2 data
Marco Massarenti, European Central Bank; Luca Arciero, Cristina Picillo, Francesco Vacirca, Banca d’Italia; Ronald Hejmans, Richard Heuver, De Nederlandsche Bank, paper, presentation

A network view on money market freezes
Puriya Abbassi, Co-Pierre Georg, Deutsche Bundesbank; Silvia Gabrieli, Banque de France

Discussant: Adam Copeland, Federal Reserve Bank of New York, presentation
  Session 5
Money markets and interbank networks: An applied view

Chair: Jens Eisenschmidt, European Central Bank
10.15 a.m. Liquidity stress test and interbank contagion
Cristina Conflitti, Antonella Foglia, Stefano Nobili, Banca d’Italia, presentation

Money market activity and transaction-based reference rates
Holger Neuhaus, European Central Bank
11.15 a.m. Coffee break
  Session 6
Structural changes in money markets – the practitioner's view
11.45 a.m. Panel discussion
Chair: Roberto Schiavi, European Central Bank
Panelists: Harald Endres, BayernLB
Grigorious Markouizos, Citibank
Laurent Côte, Crédit Agricole CIB
Marco Antonio Bertotti, Intesa Sanpaolo
1.15 a.m. Buffet lunch
Workshop dates 30 September and1 October 2013
Workshop venue European Central Bank
Eurotower – conference room CIV
Kaiserstrasse 29
60311 Frankfurt am Main
Tel.: +49 (0) 69 1344 0
Fax: +49 (0) 69 1344 6000
E-mail: E-mail:
Workshop language English
Programme Please note that this programme may be subject to change without notice.
Dinner venue Restaurant Emma Metzler
Schaumainkai 17
60594 Frankfurt am Main
Workshop organisers Benjamin Sahel, Jens Eisenschmidt, Holger Neuhaus and Simone Manganelli
European Central Bank

Alexandra Kroppenstedt
European Central Bank
Directorate General Communications & Language Services
Publishing, Events & Protocol Division

Janina Desoi
European Central Bank
Directorate General Economics
Monetary Policy Stance Division
Tel.: +49 (0) 69 1344 5310


Deadline for submission: 15 July 2013


Money markets are important for central banks as they represent the initial step in the monetary transmission mechanism and the proper functioning of money markets is a pre-condition for standard monetary policy measures to be effective. All around the world, money markets have been severely affected by the financial crisis, reacting to new regulation and policy action, and more generally to broad changes in the financial market environment. The workshop intends bringing together central bankers, practitioners and academics to discuss relevant changes in money markets, the impact of these changes on their functioning and the likely implications for the implementation of monetary policy. A panel with representatives from the financial industry is also envisaged.


Submissions are welcome in all topics about money markets, and in particular on issues related to the following themes:

  • Empirical analysis of money markets (for both secured and unsecured segments at different maturities) with an emphasis on structural changes; approaches using payment systems data would be particularly welcome
  • The optimal design of money market reference rates, their importance for money market functioning and transmission of monetary policy, as well as their suitability as operational target
  • The pricing impact of arbitrage and market making on short-term interest rates, and their interaction with volatility, liquidity regulation and central bank interventions
  • Structural developments in repo markets, the impact of the sovereign debt crisis on the collateral availability in private repo markets, margin practices
  • The interaction between excess liquidity, money market rates, early repayments of LTROs and the foreign exchange rate, with implications for the signalling of monetary policy
  • Changes in the transmission mechanism and challenges for monetary policy implementation stemming from large excess liquidity and bank behaviour in monetary policy operations; the interaction between bank regulation (e.g. Basle III, CRD IV) and money market activity; impact of changes to banks’ funding models on money markets


Authors are encouraged to submit papers on the above-mentioned topics. Submissions must comprise a full paper or an extended abstract and should be sent in PDF format to no later than 15 July 2013. Authors of accepted papers will be notified in early August 2013. The final versions of conference papers must be sent to the same e-mail address by 20 September 2013.

Organisational information

Attendance of the workshop is by invitation only. It will start in the morning of Monday 30 September, 2013 and end in the early afternoon on Tuesday 1 October, 2013. A dinner is planned for the evening of the first day.


The travel (economy fare) and accommodation expenses of academic speakers and discussants will be reimbursed.

Conference organisers

Jens Eisenschmidt, Holger Neuhaus, Simone Manganelli and Benjamin Sahel (all ECB).