ECB Workshop on “Structural changes in money markets: Implications for monetary policy implementation
Frankfurt am Main - 30 September and 1 October 2013
| 8.45 a.m. | Registration |
| 9 a.m. | Welcome address Ulrich Bindseil, European Central Bank |
| Session 1 Liquidity management Chair: Holger Neuhaus, European Central Bank |
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| 9.15 a.m. | To sell or to borrow? A theory of bank liquidity management Michal Kowalik, Federal Reserve Bank of Kansas City, paper, presentation Discussant: Anton van Boxtel, Tilburg University, presentation |
| 10 a.m. | Central bank policy tools for liabilities management Antoine Martin, James McAndrews, Ali Palida, and David Skeie, Federal Reserve Bank of New York, paper, presentation Discussant: Louis Crandall, Wrightson ICAP, presentation |
| 10.45 a.m. | Coffee break |
| Session 2 Modelling liquidity auctions Chair: Manfred Kremer, European Central Bank |
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| 11.15 a.m. | Directed search in the interbank money market Morten Bech, Bank for International Settlements; Cyril Monnet, University of Bern and Study Center Gerzensee, paper, presentation Discussant: Jens Tapking, European Central Bank, presentation |
| 12 a.m. | Strategic bidding in ECB refinancing operations Edgar Vogel, European Central Bank, paper, presentation Discussant: Christian Ewerhart, University of Zurich, presentation |
| 12.45 a.m. | Buffet lunch |
| 1.45 p.m. | Keynote speech Collateral quality, financial health, and Eurosystem credit: evidence from German banks Kjell G. Nyborg, University of Zurich |
| Session 3 Liquidity and collateral Chair: Thomas Werner, European Central Bank |
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| 2.30 p.m. | From funding liquidity to market liquidity: evidence from Danish bond markets Jens Dick-Nielsen, Jesper Lund, Copenhagen Business School; Jacob Gyntelberg, Bank for International Settlements, paper, presentation Discussant: Stefano Corradin, European Central Bank, presentation |
| 3.15 p.m. | Coffee break |
| 3.45 p.m. | Funding liquidity, market liquidity and TED spread: a two-regime model Kris Boudt, Vrije Universiteit Brussel and V.U. University Amsterdam; Ellen Paulus, London Business School; Dale Rosenthal, University of Illinois at Chicago, paper, presentation Discussant: Angelo Ranaldo, University of St. Gallen, presentation |
| 4.30 p.m. | New perspectives on monetary operations and repo markets before and during the financial crisis and Great Recession Peter Dunne, Central Bank of Ireland; Michael Fleming, Federal Reserve Bank of New York; Andrey Zholos, Barclays Capital, paper, presentation Discussant: Thomas Werner, European Central Bank, presentation |
| 6.30 p.m. | Speakers’ dinner (by invitation only) Dinner Speech: Peter Praet, Member of the Executive Board, European Central Bank Restaurant Emma Metzler, Frankfurt am Main |
| 8.45 a.m. | Registration |
| Session 4 Interbank networks Chair: Simone Manganelli, European Central Bank |
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| 9 a.m. | How to measure the unsecured money market? The Eurosystem’s implementation and validation using TARGET2 data Marco Massarenti, European Central Bank; Luca Arciero, Cristina Picillo, Francesco Vacirca, Banca d’Italia; Ronald Hejmans, Richard Heuver, De Nederlandsche Bank, paper, presentation A network view on money market freezes Puriya Abbassi, Co-Pierre Georg, Deutsche Bundesbank; Silvia Gabrieli, Banque de France Discussant: Adam Copeland, Federal Reserve Bank of New York, presentation |
| Session 5 Money markets and interbank networks: An applied view Chair: Jens Eisenschmidt, European Central Bank |
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| 10.15 a.m. | Liquidity stress test and interbank contagion Cristina Conflitti, Antonella Foglia, Stefano Nobili, Banca d’Italia, presentation Money market activity and transaction-based reference rates Holger Neuhaus, European Central Bank |
| 11.15 a.m. | Coffee break |
| Session 6 Structural changes in money markets – the practitioner's view |
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| 11.45 a.m. | Panel discussion Chair: Roberto Schiavi, European Central Bank Panelists: Harald Endres, BayernLB Grigorious Markouizos, Citibank Laurent Côte, Crédit Agricole CIB Marco Antonio Bertotti, Intesa Sanpaolo |
| 1.15 a.m. | Buffet lunch |
| Workshop dates | 30 September and1 October 2013 |
| Workshop venue | European Central Bank Eurotower – conference room CIV Kaiserstrasse 29 60311 Frankfurt am Main Tel.: +49 (0) 69 1344 0 Fax: +49 (0) 69 1344 6000 E-mail: E-mail: info@ecb.europa.eu |
| Workshop language | English |
| Programme | Please note that this programme may be subject to change without notice. |
| Dinner venue | Restaurant Emma Metzler Schaumainkai 17 60594 Frankfurt am Main |
| Workshop organisers | Benjamin Sahel, Jens Eisenschmidt, Holger Neuhaus and Simone Manganelli European Central Bank |
| Contacts | Alexandra Kroppenstedt Janina Desoi |
| Website | http://www.ecb.europa.eu |
Deadline for submission: 15 July 2013
Purpose
Money markets are important for central banks as they represent the initial step in the monetary transmission mechanism and the proper functioning of money markets is a pre-condition for standard monetary policy measures to be effective. All around the world, money markets have been severely affected by the financial crisis, reacting to new regulation and policy action, and more generally to broad changes in the financial market environment. The workshop intends bringing together central bankers, practitioners and academics to discuss relevant changes in money markets, the impact of these changes on their functioning and the likely implications for the implementation of monetary policy. A panel with representatives from the financial industry is also envisaged.
Topics
Submissions are welcome in all topics about money markets, and in particular on issues related to the following themes:
- Empirical analysis of money markets (for both secured and unsecured segments at different maturities) with an emphasis on structural changes; approaches using payment systems data would be particularly welcome
- The optimal design of money market reference rates, their importance for money market functioning and transmission of monetary policy, as well as their suitability as operational target
- The pricing impact of arbitrage and market making on short-term interest rates, and their interaction with volatility, liquidity regulation and central bank interventions
- Structural developments in repo markets, the impact of the sovereign debt crisis on the collateral availability in private repo markets, margin practices
- The interaction between excess liquidity, money market rates, early repayments of LTROs and the foreign exchange rate, with implications for the signalling of monetary policy
- Changes in the transmission mechanism and challenges for monetary policy implementation stemming from large excess liquidity and bank behaviour in monetary policy operations; the interaction between bank regulation (e.g. Basle III, CRD IV) and money market activity; impact of changes to banks’ funding models on money markets
Submissions
Authors are encouraged to submit papers on the above-mentioned topics. Submissions must comprise a full paper or an extended abstract and should be sent in PDF format to MMWorkshop@ecb.europa.eu no later than 15 July 2013. Authors of accepted papers will be notified in early August 2013. The final versions of conference papers must be sent to the same e-mail address by 20 September 2013.
Organisational information
Attendance of the workshop is by invitation only. It will start in the morning of Monday 30 September, 2013 and end in the early afternoon on Tuesday 1 October, 2013. A dinner is planned for the evening of the first day.
Expenses
The travel (economy fare) and accommodation expenses of academic speakers and discussants will be reimbursed.
Conference organisers
Jens Eisenschmidt, Holger Neuhaus, Simone Manganelli and Benjamin Sahel (all ECB).