The Winter Macro FInancial Modeling Meeting is a research project supported by a generous grant from the Alfred P. Sloan Foundation, CME Group Foundation, and Fidelity Management & Research Company.
Note: No WIFI will be available in the CME.
Agenda
Thursday, January 25, 2018
Registration and Breakfast
Opening Remarks
Leverage-induced Fire Sales and Stock Market Crashes
Leverage Network and Market Contagion
Keynote Luncheon Speaker
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
The Nexus of Monetary Policy and Shadow Banking in China
Credit Allocation under Economic Stimulus: Evidence from China
Executive Session (Working Group Only)
Friday, January 26, 2018
Registration
Market Liquidity after the Financial Crisis
The Cost of Immediacy for Corporate Bonds
Break and Lunch Buffet
Session IV: Lunch and Panel on Market Liquidity
Break
Neoclassical Growth with Long-term One-sided Commitment Contracts
Incorporating Financial Panics within Macroeconomic Models
Bank Risk Exposures
Piecewise Linear Approximations and Filtering for DSGE Models with Occasionally-Binding Constraints
Risk Reallocation in OTC Derivatives Networks
How Much SRISK is Too Much
Comparative Valuation Dynamics in Models with Financing Frictions
Related Insights