2nd Annual Workshop of ESCB Research Cluster 3, organised jointly by the Bank of Greece and the European Central Bank

Financial stability, macroprudential regulation and microprudential supervision

Thursday, 6 and Friday, 7 September 2018
Main Building, European Central Bank, Frankfurt am Main

Participation is open to ESCB members of staff and their co-authors only.


Programme

Thursday, 6 September 2018

8:30
Registration
8:45

Welcome address

Luc Laeven, European Central Bank

9:00

Session A

Chair: Luc Laeven, European Central Bank

 

Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area administrative securities register

Johannes Bubeck, University of Mannheim
Angela Maddaloni*, European Central Bank
José-Luis Peydró, Universitat Pompeu Fabra

Discussant: Ugo Albertazzi, European Central Bank

 

Credit risk under IFRS 9 accounting reforms: an application to Irish mortgages

Edward Gaffney*, Central Bank of Ireland
Fergal McCann, Central Bank of Ireland

Discussant: Mathias Lé, Banque de France

 

Estimating probability of default for the household sector using microeconomic data

Irina Mihai*, Banca Naţională a României
Radu Popa, Banca Naţională a României
Elena Banu, European Systemic Risk Board

Discussant: Dimitris Mokas, European Central Bank

10:45
Break
11:05

Session B

Chair: Klaus Düllmann, European Central Bank

 

On a quest for robustness: about model risk, randomness and discretion in credit risk stress tests

Thomas Siemsen*, Deutsche Bundesbank
Johannes Vilsmeier, European Central Bank

Discussant: Dimitrios Louzis, Bank of Greece

 

Risk endogeneity at the lender/investor of last resort

Diego Caballero Orduna, European Central Bank
André Lucas, Vrije Universiteit Amsterdam
Bernd Schwaab*, European Central Bank
Xin Zhang, Sveriges Riksbank

Discussant: Ana Dumitru, Deutsche Bundesbank

 

Repo market functioning: the role of capital regulation

Antonis Kotidis, University of Bonn
Neeltje van Horen*, Bank of England

Discussant: Michiel Van Leuvensteijn, Netherlands Authority for Consumers and Markets

12:50
Lunch
13:50

Keynote speech

Thorsten Beck, Cass Business School and Centre for Economic Policy Research

14:20

Session C

Chair: Heather Gibson, Bank of Greece

 

The interdependence of bank capital and liquidity

Elena Carletti, Bocconi University
Itay Goldstein, University of Pennsylvania
Agnese Leonello*, European Central Bank

Discussant: Caterina Lepore, Bank of England

 

Banks’ liquidity management and financial fragility

Luca G. Deidda, University of Sassari
Ettore Panetti*, Banco de Portugal

Discussant: Tuomas Takalo, Bank of Finland

 

Liquidity ratios as monetary policy tools: some historical lessons for macroprudential rules

Eric Monnet*, Banque de France
Miklos Varis, International Monetary Fund

Discussant: Anna Grodecka, Sveriges Riksbank

16:05

Break

16:25

Session D

Chair: Thomas Kick, Deutsche Bundesbank

 

Should bank capital requirements be less risk-sensitive?

Gene Ambrocio*, Suomen Pankki – Finlands Bank
Esa Jokivuolle, Suomen Pankki – Finlands Bank

Discussant: Christoph Bertsch, Sveriges Riksbank

 

Bank capital forbearance

Natalya Martynova*, Deutsche Bundesbank
Enrico Perotti, University of Amsterdam
Javier Suarez, CEMFI

Discussant: Anatoli Segura, Banca d'Italia

 

How do banks tackle macroprudential capital requirements?

Sergio Mayordomo, Banco de España
María Rodríguez Moreno*, Banco de España

Discussant: Rhiannon Sowerbutts, Bank of England

18:10

End of day one

19:30

Dinner

Friday, 7 September 2018

8:30

Session E

Chair: David Marqués-Ibáñez, European Central Bank

 

The impact of sovereign debt ratings on euro area cross-border holdings of euro area sovereign debt

Leo de Haan, De Nederlandsche Bank
Robert Vermeulen*, De Nederlandsche Bank

Discussant: Stine Louise Daetz, Danmarks Nationalbank

 

Macroprudential policy and the housing market: evidence from the United Kingdom

José-Luis Peydró, Universitat Pompeu Fabra
Francesc Rodriguez Tous, Cass Business School
Jagdish Tripathy, Bank of England
Arzu Uluc*, Bank of England

Discussant: Nicolás Albacete, Oesterreichische Nationalbank

9:40
Break
9:55

Session F

Chair: Jean-Stéphane Mésonnier, Banque de France

 

Interest rate pass-through in the euro area: are policy measures efficient in crisis periods? Evidence from a multi-state markov model on a panel dataset

Vasilis Siakoulis*, Bank of Greece
Anastasios Petropoulos, Bank of Greece
Panagiotis Lazaris, Bank of Greece
Georgia Lialiouti, Bank of Greece

Discussant: Fabrizio Venditti, European Central Bank

 

Credit supply and demand in unconventional times

Carlo Altavilla, European Central Bank
Miguel Boucinha, European Central Bank
Sarah Holton*, European Central Bank
Steven Ongena, University of Zurich

Discussant: Francesca Lenoci, European Central Bank

 

Unexpectedly broke: expectation errors and credit cycles

Carsten Detken, European Central Bank
Anna Kalbhenn*, European Central Bank
Eric Persson, European Central Bank
Lukas Püttmann, University of Bonn

Discussant: Irina Stanga, De Nederlandsche Bank

11:40

Break

12:00

Session G

Chair: Hiona Balfoussia, Bank of Greece

 

Credit risk taking and banks’ business model: the role of the yield curve

Giuseppe Ferrero*, Banca d'Italia
Andrea Nobili, Banca d'Italia
Gabriele Sene, Banca d'Italia

Discussant: Dawid Zochowski, European Central Bank

 

Empowering central bank asset purchases: the role of financial policies

Matthieu Darracq Pariès, European Central Bank
Jenny Körner, European Central Bank
Niki Papadopoulou*, Central Bank of Cyprus

Discussant: Federico Lubello, Banque centrale du Luxembourg

 

Bank capital constraints, lending supply and economic activity

Antonio Maria Conti, Banca d'Italia
Andrea Nobili*, Banca d'Italia
Federico Maria Signoretti, Banca d'Italia

Discussant: Cyril Couaillier, Banque de France

13:45

Lunch

14:45

End of conference

Please note that this programme may be subject to change without notice.

General information

Seminar venue

European Central Bank
Main building, Conference Room C3.08/09
Sonnemannstrasse 20
60314 Frankfurt am Main

+49 69 1344 0
Fax: +49 69 1344 6000
info@ecb.europa.eu

Seminar language

English

Transfers

Participants are requested to arrange their own transfers from and to the airport.

Dinner venue

Thursday, 6 September 2018
Ariston
Heiligkreuzgasse 29
60313 Frankfurt am Main

Cluster coordinators

Hiona Balfoussia, Bank of Greece
David Marqués-Ibáñez, European Central Bank

Workshop Scientific Committee

Miguel Ampudia, Sophia Anyfantaki, Giulio Bagattini, Francesca Barbiero, Andreas Beyer, Maksim Bondarenko, Johannes Breckenfelder, Evangelos Charalambakis, Sulkhan Chavleishvili, Stefano Corradin, Florian Heider, Marie Hoerova, Peter Hoffmann, Ivan Jaccard, Tobias König, Manfred Kremer, Sam Langfield, Agnese Leonello, Dimitrios Louzis, Angela Maddaloni, Simone Manganelli, Petros Migiakis, Kalin Nikolov, Dimitris Papageorgiou, Alexander Popov, Glenn Schepens, Bernd Schwaab, Jean-David Sigaux, Jirka Slacalek