Macro Finance Society 8th Workshop

November 3–4, 2016

3:00pm 5:00pm

Saieh Hall for Economics

The Becker Friedman Institute was pleased to host the Macro Finance Society's Eighth Macro Finance Workshop.

The society organizes two conferences annually where researchers present recent work at the intersection of financial economics and macroeconomics. The methodological focus is on dynamic structural models that are grounded in data. 

The conference began Nov. 3 with two methodological lectures presented by University of Chicago economists. Fernando Alvarez of the Department of Economics spoke on "State and Time-Dependent Models of Price Setting." Chicago Booth's Pietro Veronese presented "Governments and Asset Prices." 

The conference resumed Nov. 4 with an international finance session in honor of the late David Backus. Douglas Diamond of Chicago Booth, a Distinguished Fellow of the society, delivered the keynote address, "Liquidity Requirements, Liquidity Choice, and Financial Stability."

Institute director and MFS Fellow Lars Peter Hansen attended and provided this summary of the workshop.


Thursday, Nov. 3

State and Time Dependent Models of Price Setting
Fernando Alvarez

Governments and Asset Prices
Pietro Veronesi

Friday November 4, 2016

International Finance Session in honor of David Backus
Chair: Michael Chernov

Bond Convenience Yields and Exchange Rate Dynamics
Rosen Valchev (Boston College)
Discussant: Adrien Verdelhan (Massachusetts Institute of Technology Sloan School of Business)

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
By Wenxin Du (Federal Reserve Bank), Carolin Pflueger (University of British Columbia), and Jesse Schreger (Harvard Business School)
Discussant: Juan Carlos Hatchondo (Indiana University)

Keynote Address: 
Liquidity Requirements, Liquidity Choice and Financial Stability
Douglas Diamond
University of Chicago Booth School of Business & Distinguished Fellow, Macro Finance Society

The Finance-Uncertainty Multiplier
by Ivan Alfaro (Ohio State University), Nicholas Bloom (Stanford University), and Xiaoji Lin (OSU)
Discussant: Ian Dew-Becker (Northwestern University)

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
Mete Kilic (University of Pennsylvania Wharton School ) and Jessica A. Wachter (Wharton)
Discussant: Nicolas Petrovsky-Nadeau (Federal Reserve Bank of San Francisco)

The Mortgage Credit Channel of Macroeconomic Transmission
by Daniel Greenwald (MIT Sloan)
Discussant: Amir Sufi (Chicago Booth)

November 3, 2016 - 3:00pm November 4, 2016 - 5:00pm