Joint Bundesbank - ECB Spring Conference 2019

Systemic Risk and the Macroeconomy

Frankfurt am Main, 15 - 16 May 2019

Participation is by invitation only.


Programme

Wednesday, 15 May

8:30
Registration and coffee
9:00

Welcome address

Emanuel Mönch (Deutsche Bundesbank)

9:15

Session 1: Systemic Risk

Chair: Felix Thierfelder (Deutsche Bundesbank)

Credit conditions and the effects of economic shocks: amplification and asymmetries

Authors: Andrea Carriero (Queen Mary University of London), Ana Beatriz Galvão (University of Warwick) and Massimiliano Marcellino (Bocconi University)

Discussant: Michele Lenza (European Central Bank)

Can bank resolution regimes increase systemic risk?

Authors: Thorsten Beck (City, University of London), Deyan Radev (University of Bonn) and Isabel Schnabel (University of Bonn)

Discussant: Elena Carletti (Bocconi University)

10:45
Coffee break
11:15

Session 2: Crises

Chair: Almira Enders (Deutsche Bundesbank)

Foreseen risks

Authors: João F. Gomes (University of Pennsylvania), Marco Grotteria (University of Pennsylvania) and Jessica Wachter (University of Pennsylvania)

Discussant: Urszula Szczerbowicz (Banque de France)

Unemployment crises

Authors: Lu Zhang (Ohio State University) and Nicolas Petrosky-Nadeau (Federal Reserve Bank of San Francisco) Discussant: Francesco Zanetti (University of Oxford)

12:45
Lunch
14:00

Session 3: Regulating systemic risk

Chair: Sergio Nicoletti Altimari (European Central Bank)

Bank capital redux: solvency, liquidity, and crisis

Authors: Òscar Jordà (Federal Reserve Bank of San Francisco), Björn Richter (University of Bonn), and Moritz Schularick (University of Bonn and New York University) and Alan Taylor (University of California, Davis)

Discussant: Martin Hellwig (Max Planck Institute for Research on Collective Goods, Bonn)

Forecasting and stress testing with quantile vector autoregression

Authors: Sulkhan Chavleishvili (European Central Bank) and Simone Manganelli (European Central Bank)

Discussant: David Aikman (Bank of England)

15:30
Coffee break
16:00

Session 4: Systemic risk in financial models

Chair: Katrin Assenmacher (European Central Bank)

A macroeconomic framework for quantifying systemic risk

Authors: Zhiguo He (University of Chicago) and Arvind Krishnamurthy (Stanford University)

Discussant: Nina Boyarchenko (Federal Reserve Bank of New York)

16:45
Coffee break
17:00

Policy panel

Chair: Vítor Constâncio (formerly Vice-President, European Central Bank)

Participants: Claudia M. Buch (Vice-President, Deutsche Bundesbank), Boštjan Jazbec (Single Resolution Board), Donald L. Kohn (Brookings Institution)

18:00
Pre-dinner drinks at the Deutsche Bundesbank guest house
19:00
Dinner at the Deutsche Bundesbank guest house

Thursday, 16 May

 
9:00
Registration and coffee
9:15

Session 5: Network origins of systemic risk

Chair: Tom Holden (Deutsche Bundesbank)

Firms, failures, and fluctuations

Author: Alireza Tahbaz-Salehi (Northwestern University) and Daron Acemoğlu (Massachusetts Institute of Technology)

Discussant: Claudio Tebaldi (Bocconi University)

Asset pricing implications of systemic risk in network economies

Authors: Andrea Buraschi (Imperial College London) and Claudio Tebaldi (Bocconi University) Discussant: Kathy Yuan (London School of Economics)

10:45
Coffee break
11:15

Keynote speech

Tobias Adrian (International Monetary Fund)

Chair: Manfred Kremer (European Central Bank)

12:30
Lunch
14:00

Session 6: Indicators of systemic risk

Chair: Christian Schumacher (Deutsche Bundesbank)

FRM: A Financial Risk Meter

Authors: Cathy Y. Chen (Humboldt-Universität zu Berlin), Wolfgang Härdle (Humboldt-Universität zu Berlin) and Keyan Liu (Humboldt-Universität zu Berlin)

Discussant: Marco Lo Duca (European Central Bank)

Identifying indicators of systemic risk

Authors: Benny Hartwig (Deutsche Bundesbank), Christoph Meinerding (Deutsche Bundesbank) and Yves Schüler (Deutsche Bundesbank)

Discussant: Andreas Lehnert (Board of Governors of the Federal Reserve System)

15:30

Concluding remarks

Paul Hiebert (European Central Bank)

15:45
End of conference

This programme may be subject to change without notice.

General information

Conference venue

Deutsche Bundesbank
Wilhelm-Epstein-Straße 14
60431 Frankfurt am Main

+49 69 9566 3553
conferences@bundesbank.de

Workshop language

English

Transfers

Participants are requested to arrange their own transfers.

Organisers