MFR Conference on Monetary Policy and Asset Pricing
The goal of this conference is to bring together researchers to discuss the implications of monetary policy for asset prices, and conversely what asset prices can teach us about the transmission mechanisms of monetary policy. In the current environment with high inflation, dramatic monetary tightening, and volatile financial markets, these questions are more important than ever. This is an opportunity to foster collaborations between researchers coming from the macro and finance sides, and across different types of institutions.
This in-person conference will take place on September 8, 2023 and will include paper presentations with discussants. There will also be opportunities for informal discussions and networking.
Registrants will be contacted if the space capacity has been exceeded. If you have questions, please contact mfrinfo@uchicago.edu.
Agenda
Friday, September 8, 2023
Registration & Breakfast
Session on Inflation
Oil Prices, Monetary Policy and Inflation Surges
Mark Gertler, New York University (Presenter)
Nikolai Roussanov, University of Pennsylvania (Discussant)
General discussion
Break
The Market for Inflation Risk
Ricardo Reis, London School of Economics (Presenter)
Mike Chernov, University of California, Los Angeles (Discussant)
General Discussion
Break
Session on Identification and Policy Stances
Speeches by the Fed Chair Are More Important than FOMC Announcements: An Improved High-Frequency Measure of U.S. Monetary Policy Shocks
Eric Swanson, University of California, Irvine (Presenter)
Sebastian Hillenbrand, Harvard University (Discussant)
General Discussion
Lunch
Tough Talk: The Fed and the Risk Premium
Anna Cieslak, Duke University (Presenter)
Matteo Leombroni, Boston College (Discussant)
General Discussion
Break
Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach
Sydney Ludvigson, New York University (Presenter)
Michael Bauer, Federal Reserve Bank of San Francisco (Discussant)
General Discussion
Break
Session on Optimal Policy
A Monetary Policy Asset Pricing Model
Alp Simsek, Yale University (Presenter)
Francois Gourio, Federal Reserve Bank of Chicago (Discussant)
General Discussion
Break
Optimal Exchange Rate Policy
Oleg Itskhoki, University of California, Los Angeles (Presenter)
Guido Lorenzoni, University of Chicago (Discussant)