ECB workshop

Money markets and central bank balance sheets

Tuesday, 6 and Wednesday, 7 November 2018
Japan Centre, JC C1.01
Frankfurt am Main

Programme

Tuesday, 6 November 2018

8:30
Registration and coffee
9:00

Welcome address

Ulrich Bindseil, ECB

9:20

Session 1
Funding liquidity risk in money markets

Chair: Simone Manganelli, ECB

Covered interest rate parity, relative funding liquidity and cross-currency repos

Daniel Kohler, Swiss National Bank
Benjamin Müller*, Swiss National Bank

Discussant: Sven Klingler, BI Oslo

10:10

Liquidity risk and funding cost

Alexander Bechtel, University of St. Gallen
Angelo Ranaldo, University of St. Gallen
Jan Wrampelmeyer*, VU Amsterdam

Discussant: Benoit Nguyen, ECB

11:00
Coffee break
11:30

Keynote speech

Pierre-Olivier Gourinchas, University of California, Berkeley and NBER

12:10

Session 2
Transmission channels of central bank balance sheet expansions

Chair: Katrin Assenmacher, ECB

A skeptical view of the impact of the Fed's balance sheet

David Greenlaw, Morgan Stanley
James D. Hamilton, University of California, San Diego and NBER
Ethan Harris, Bank of America
Kenneth D. West*, University of Wisconsin and NBER

Discussant: Oreste Tristani, ECB

13:00

Lunch break

14:15

Session 2 continued

Lender of last resort versus buyer of last resort

Viral Acharya, Reserve Bank of India
Diane Pierret, HEC Lausanne and Swiss Finance Institute
Sascha Steffen*, Frankfurt School of Finance & Management

Discussant: Rafael Repullo, Centro de Estudios Monetarios y Financieros

15:05

Can central banks boost corporate investment: evidence from ECB liquidity injections

Presentation

Stine Daetz, Danmarks Nationalbank
Marti Subrahmanyam, New York University
Dragon Tang*, University of Hong Kong
Sarah Wang, University of Warwick

Discussant: Christopher Boehm, University of Texas at Austin

16:00

Coffee break

16:40

Session 3
Collateral frameworks in central banking and central clearing

Chair: Tobias Linzert, ECB

Illiquidity, Closure Policies and the Role of LOLR

Stefano Corradin*, ECB
Suresh Sundaresan, Columbia University

Discussant: Russell Cooper, Pennsylvania State University

17:30

The pitfalls of central clearing in the presence of systemic risk

Mila Getmansky, University of Massachusetts
Christian Kubitza*, ICIR and Goethe University Frankfurt
Loriana Pelizzon, Goethe University Frankfurt, SAFE and University of Venice

Discussant: Argyris Kahros, ECB

18:40

End of first day

19:15

Dinner – by invitation only

Dinner remarks: Cornelia Holthausen, ECB

Wednesday, 7 November 2018

8:30
Registration and coffee
9:00

Session 4
Structural changes: The effects of shadow banks and negative interest rates

Chair: Angelika Lagerblom, ECB

Relationship lending in shadow banking: cross-holding relation in MMFs

Presentation

Ai He*, Emory University

Discussant: Thorsten Beck, Cass Business School

9:50

Liability structure and risk-taking: evidence from the MMF industry

Ramin Baghai*, Stockholm School of Economics and CEPR
Mariassunta Giannetti, Stockholm School of Economics, CEPR and ECGI
Ivika Jäger, Stockholm School of Economics

Discussant: Pekka Honkanen, HEC Paris

10:40

Will the benchmark rate reform make banks more or less vulnerable?

Geert Wijnhoven*, ING

11:00
Coffee break
11:30

Negative policy rates and bank asset allocation

Margherita Bottero, Banca d'Italia
Camelia Minoiu, IMF and Wharton School, University of Pennsylvania
José-Luis Peydró, ICREA-UPF, Barcelona GSE, CREI and CEPR
Andrea Polo, UPF, Barcelona GSE, and CEPR
Andrea Presbitero*, IMF and MoFiR
Enrico Sette, Banca d'Italia

Discussant: Kebin Ma, University of Warwick

12:20

Panel discussion with market participants
"Current money market structure and the way forward"

Chair: Julija Jakovicka, ECB

Panellists:

  • Harald Bänsch, HVB-UniCredit
  • Giuseppe Maraffino, Barclays
  • Neil McLeod, Erste Group
  • Ileana Pietraru, Société Générale
13:30

End of workshop

* indicates the presenter
Please note that this programme may be subject to change without notice.

General information

Venue

European Central Bank
Japan Centre, JC C1.01
Taunusanlage
60311 Frankfurt am Main

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

Conference language

English

Transfers

Participants are requested to arrange their own transfers, unless indicated otherwise.

Organisers
  • Annette Kamps
    Directorate General Market Operations
    Money Market & Liquidity
  • Christoph Ohlerich
    Directorate General Market Operations
    Market Operations Analysis
  • Julian Schumacher
    Directorate General Economics
    Monetary Policy Strategy
  • Jean-David Sigaux
    Directorate General Research
    Financial Research Division

all European Central Bank

Contacts

Britta Bertram
Directorate General Research
Financial Research Division

+49 69 1344 8340
MMworkshop@ecb.europa.eu