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Event Recap

The Winter Macro FInancial Modeling Meeting is a research project supported by a generous grant from the Alfred P. Sloan FoundationCME Group Foundation, and Fidelity Management & Research Company.

Note: No WIFI will be available in the CME.

Bank Risk Exposures

Agenda

Thursday, January 25, 2018
Registration and Breakfast
Opening Remarks
Leverage-induced Fire Sales and Stock Market Crashes
Kelly Shue, Yale University
Markus Brunnermeier, Edwards S. Sanford Professor of Economics, Princeton University
Leverage Network and Market Contagion
Dong Lou, London School of Economics
Markus Brunnermeier, Edwards S. Sanford Professor of Economics, Princeton University
Keynote Luncheon Speaker
Richard Berner, New York University
Poster Session Featuring Young Scholars

Contagion via Financial Intermediaries in Pre-1914 Sovereign Debt Markets – Sasha Indarte

On the Edge of Doom: Optimal Bank Recapitalization with Sovereign Default – Julian Richers

Relative Entropy Prior Sensitivity in DSGE Models – Paul Ho

The Reversal Interest Rate: An Effective Lower Bound on Monetary Policy – Yann Koby

A Macro-Financial Model of Monetary Policy with Leveraged Intermediaries – Quentin Vandeweyer

Paul Ho, Princeton University
Sasha Indarte, Northwestern University
Yann Koby, Princeton University
Julian Richers, Boston University
Quentin Vandeweyer, Sciences Po
The Nexus of Monetary Policy and Shadow Banking in China
Kaiji Chen, Emory University
Nobuhiro Kiyotaki, Professor of Economics , Princeton University
Credit Allocation under Economic Stimulus: Evidence from China
Jacopo Ponticelli, Northwestern Kellogg School of Business
Simon Gilchrist, Professor of Economics , New York University
Executive Session (Working Group Only)
Friday, January 26, 2018
Registration
Market Liquidity after the Financial Crisis
Michael Fleming, Federal Reserve Bank of New York
The Cost of Immediacy for Corporate Bonds
Jens Dick-Nielsen, Copenhagen School of Business
Break and Lunch Buffet
Session IV: Lunch and Panel on Market Liquidity
Andrew W. Lo, Charles E. and Susan T. Harris Professor; Director, MIT Sloan School of Management; MIT Laboratory for Financial Engineering
Martin Schneider, Professor of Economics, Stanford Graduate School of Business
Benjamin Golub, Assistant Professor of Economics, Harvard University
Joseph Haubrich, Federal Reserve Bank of Cleveland
Break
Neoclassical Growth with Long-term One-sided Commitment Contracts
Harald Uhlig, Professor in Economics and the College, the Kenneth C. Griffin Department of Economics
Incorporating Financial Panics within Macroeconomic Models
Mark Gertler, Henry and Lucy Moses Professor of Economics, New York University
Nobuhiro Kiyotaki, Professor of Economics , Princeton University
Bank Risk Exposures
Monika Piazzesi, Professor of Economics, Stanford University
Martin Schneider, Professor of Economics, Stanford Graduate School of Business
Piecewise Linear Approximations and Filtering for DSGE Models with Occasionally-Binding Constraints
Frank Schorfheide, Professor of Economics, University of Pennsylvania
Risk Reallocation in OTC Derivatives Networks
Andrea Eisfeldt, Associate Professor of Finance, UCLA Anderson School of Business
How Much SRISK is Too Much
Robert Engle, Michael Armellino Professor in the Management of Financial Services, New York University, Stern School of Business
Comparative Valuation Dynamics in Models with Financing Frictions
Lars Peter Hansen, The David Rockefeller Distinguished Service Professor in Economics and Statistics, the Kenneth C. Griffin Department of Economics and the Booth School of Business; Director of BFI's Macro Finance Research Program