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Financial stability analysis of large changes in interest rates

Seventh annual AWG and MPAG workshop

jointly hosted with Latvijas Banka

Monday, 1 July 2024

Riga

The annual workshop of the Analysis Working Group (AWG) of the ESRB and the Macroprudential Analysis Group (MPAG) of the ECB will feature presentations on the build-up and materialisation of systemic risks resulting from large changes in interest rates, including methodologies and tools to assess the impact on the financial system, both in the bank and the non-bank sector.

Programme

All times are local (CET +1)

* indicates the presenter

8:45

Coffee & registration

9:15

Welcome remarks

Māris Kālis, Deputy Governor, Latvijas Banka

9:30

Opening presentation – Keynote speaker

Laurent Calvet, SKEMA business school

Moderator: Paul Hiebert, ECB, co-chair of the AWG and MPAG

10:15

Session 1: Impact of interest rate shocks on banks

Chair: Katja Taipalus, Suomen Pankki – Finlands Bank, co-chair of the AWG and MPAG

Banks in an environment of higher interest rates

Antonio Sánchez Serrano*, European Systemic Risk Board

Discussant: Stefan Kerbl, Oesterreichische Nationalbank

Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment

  • Cosimo Pancaro*, European Central Bank
  • Lara Coulier, University of Ghent
  • Alessio Reghezza, European Central Bank

Discussant: Helinä Laakkonen, Suomen Pankki – Finlands Bank

11:15

Coffee break

11:45

As Interest Rates Surge: Flighty Deposits and Lending

all European Central Bank

Discussant: Haoshen Hu, Bundesanstalt für Finanzdienstleistungsaufsicht

Projecting banks net interest income, an asset-liability approach, applied to the euro area

all Banque de France

Discussant: Piotr Banbula, Narodowy Bank Polski

13:00

Lunch 

14:00

Session 2: Transmission channels of large changes in interest rates

Chair: Elmārs Zakulis, Latvijas Banka

The macroeconomics of liquidity in financial intermediation

Davide Porcellacchia*, European Central Bank

Keven D. Sheedy, London School of Economics

Discussant: Pawel Fiedor, Central Bank of Ireland

Deposit flows during monetary tightening. The role of digital banking and social media

all European Systemic Risk Board

Discussant: Ján Klacso, Národná banka Slovenska

15:00

Session 3: Effects of large interest rate changes on non-bank financial intermediation

Chair: Tuomas Peltonen, European Systemic Risk Board

Non-bank financial institutions and interest rate risks: insights from the GBP LDI funds market turbulence

Antoine Bouveret* and Hadrien Leclerc, both European Securities and Markets Authority

Discussant: Esti Kemp, International Monetary Fund

15:30

Coffee break

16:00

Monetary policy consequences of financial stability interventions: assessing the UK LDI crisis and the central bank policy response

  • Jacob Stevens*, University of St. Andrews
  • Nicolò Bandera, Bank of England

Discussant: Kristīne Petrovska, Latvijas Banka

International portfolio frictions

  • Alessandro Fontana*, EIOPA
  • Wenxin Du, Columbia Business School, NBER, and CEPR
  • Petr Jakubik, IMF
  • Ralph S.J. Koijen, University of Chicago Booth School of Business, NBER, and CEPR
  • Hyun-Song Shin, BIS

Discussant: Kristy Jansen, USC Marshall/De Nederlandsche Bank

17:00

Closing remarks by AWG/MPAG co-chairs Paul Hiebert and Katja Taipalus

17:15

End of workshop

This programme may be subject to change without notice.

Audiovisual notice: A photographer will be present at the event taking photographs for our internet/intranet webpage. If you prefer not to have your photograph taken, please inform us in advance of the workshop. The event may be filmed and the video recording (or parts of it) may be published on the internet / intranet.

Organisational information

Venue

Riga

Language

English

Organisers
  • Paul Hiebert, AWG/MPAG co-chair, ECB
  • Katja Taipalus, AWG/MPAG, co-chair, Bank of Finland
  • Tuomas Peltonen, Deputy Head of Secretariat, European Systemic Risk Board
  • Olga Lielkalne, Latvijas Banka
  • Kristīne Petrovska, Latvijas Banka
  • Marco van Hengel, MPAG Secretary, ECB
  • Jonathan Rice, AWG Secretary, ESRB
  • Anne McTaggart, MPAG Secretariat
  • Shirley Simmons-Nocca, ESRB Secretariat
Contacts

Organising Committee
euriskworkshop@ecb.europa.eu

ECB-MPAG Secretariat
Anne McTaggart
+49 69 1344 6372/6460 and +49 69 1344 6460
MPAGSecretariat@ecb.int