Macro Financial Modeling Winter 2019 Meeting

February 21–22, 2019

(All day)

CME Group, 300 Vesey Street, New York, NY 10282, USA
ORGANIZERS
LARS PETER HANSEN, DAVID ROCKEFELLER DISTINGUISHED SERVICE PROFESSOR, UNIVERSITY OF CHICAGO
ANDREW W. LO, MASSACHUSETTS INSTITUTE OF TECHNOLOGY SLOAN SCHOOL OF MANAGEMENT

 

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.

Please note: No WIFI will be available in the CME.


Program

February 21, 2019

(Asterisk indicates presenter.)
 
8:00am – 9:00am

Registration and Breakfast

 
9:00am – 9:05am

Opening Remarks by Andrew Lo, MIT

 
9:05am – 9:45am

“On the Equivalence Between Private and Public Money”
*Markus BrunnermeierPrinceton University
Dirk Niepelt, University of Bern
Paper

 
9:45am – 10:25am

“The Role of Macro Fluctuations and Credit Constraints on Small Business Growth”
*Antoinette Schoar, MIT
Presentation Slides

10:25am – 11:05am

“International Evidence on the Relation of Credit Aggregates to Economic Fluctuations”
*Christopher Sims, Princeton University
Presentation Slides

 
11:05am – 11:30am Break (Lunch)
 
11:30am – 12:45pm

Lunch-time Panel
Participants: Tobias AdrianInternational Monetary Fund, Wilson Ervin, Credit Suisse Group, Nellie Liang, Brookings Institution, and Richard Berner, NYU Stern School of Business

 
12:45pm - 1:00pm Break
 
1:00pm – 1:50pm

Presentations by Young Scholars (20-minute presentations + 5-minute Q&A)
Juliane BegenauStanford University, “Banks Adjust Slowly: Evidence and Lessons for Modeling” - Presentation Slides
Winston DouUPenn, “Measuring ‘Dark Matter’ in Asset Pricing Models” - Presentation Slides

 
1:50-2:15pm 

"The Long and Short of It: The Post-Crisis Corporate CDS Market"
Nina Boyarchenko, Federal Reserve Bank of New York
Presentation Slides

 
2:15pm – 2:30pm Break
 
2:30pm – 3:10pm

“Credit Booms, Banking Crises and Macro Prudential Policy”
*Andrea Prestipino, Federal Reserve Board
Mark GertlerNew York University
Nobuhiro Kiyotaki, Princeton University
Presentation Slides

 
3:10pm – 3:50pm

“OTC Intermediaries”
*Bernard HerskovicUCLA
Andrea Eisfeldt, UCLA
Sriram Rajan, Office of Financial Research
Emil Siriwardane, Harvard University
Paper

 
3:50pm  – 4:30pm

“Comparative Valuation Dynamics in Models with Financing Frictions”
*Fabrice Tourre, Copenhagen Business School
Lars Peter Hansen, University of Chicago
Paymon Khorrami, University of Chicago
Presentation Slides

 
5:30pm – 6:15pm

MFM Executive Committee Meeting
Location TBA


February 22, 2019

 
8:00am – 8:45am

Registration and Breakfast

 
8:45am – 9:25am

“The Benchmark Inclusion Subsidy”
*Anna PavlovaLondon Business School 
Anil K. Kashyap, University of Chicago Booth
Natalia KovrijnykhArizona State University
Jian LiUniversity of Chicago
Presentation Slides

 
9:25am – 10:05am

“The Short Rate Disconnect in a Monetary Economy”
*Martin Schneider, Stanford University
Monika Piazzesi, Stanford University
Moritz LenelPrinceton University
Paper

 
10:05am – 10:20am Break
 
10:20am – 11:00am

“Financing in the Shadow of Banks: China’s Interbank Market”
*Zhiguo He, University of Chicago
Hui ChenMIT
Presentation Slides

 
11:00am – 11:25am Break (Lunch)
 
11:25am – 12:25pm

Lunch-time Talk by Robert Merton, MIT
Presentation Slides

 
12:25pm – 12:40pm Break
 
12:40pm – 1:55pm

Presentations by Young Scholars (20-minute presentations + 5-minute Q&A)
Daniel Greenwald, MIT, “Debt Covenants and the Macroeconomy: The Interest Coverage Channel” - Presentation Slides
Moritz Lenel, Princeton University, “Macroeconomic Policy and the Price of Risk” 
Emil Siriwardane, Harvard University, “A Measure of Risk Appetite for the Macroeconomy” - Presentation Slides

 
1:55pm – 2:10pm Break
 
2:10pm – 2:50pm

“Piecewise Linear Approximations and Filtering for DSGE Models with Occasionally-Binding Constraints”
*Frank Schorfheide, University of Pennsylvania
Presentation Slides

 
2:50pm – 3:30pm

“The Costs of Trading CDS in the Wake of the Lehman Bankruptcy”
*Robert Engle, New York University
Presentation Slides

 
3:30pm – 3:50pm Break
 
3:50pm – 4:30pm

“Neoclassical Growth with Long-term One-sided Commitment Contracts”
*Harald Uhlig, University of Chicago, CEPR and NBER
Dirk Krueger, University of Pennsylvania, CEPR and NBER
Presentation Slides

February 21, 2019 (All day) February 22, 2019 (All day)