Friday, November 6, 2015

Conference on Bond Markets and Yield Curve Modeling

Fantastic job by Bank of Canada and FRBSF. Kudos to both for successfully assembling such talent.    It's just ending as I write.  It was all good, but the papers/discussants that resonated most with me were:

Session 4: Predicting Interest Rates

Robust Bond Risk Premia
Michael Bauer, Federal Reserve Bank of San Francisco
James Hamilton, University of California at San Diego
Discussant: John Cochrane, Hoover Institute at Stanford University

Loss Functions for Forecasting Treasury Yields
Hitesh Doshi, University of Houston
Kris Jacobs, University of Houston
Rui Liu, University of Houston
Discussant: Frank Diebold, University of Pennsylvania

Session 5: Term Structure Modeling and the Zero Lower Bound

Session Chair: Antonio Diez de los Rios, Bank of Canada
Tractable Term Structure Models: A New Approach
Bruno Feunou, Bank of Canada
Jean-Sebastien Fontaine, Bank of Canada
Anh Le, Kenan-Flagler Business School, University of North Carolina at Chapel Hill
Discussant: Greg Duffee, Johns Hopkins University

Staying at Zero with Affine Processes: An Application to Term Structure Modelling
Alain Monfort, Banque de France
Fulvio Pegoraro, Banque de France
Jean-Paul Renne, Banque de France
Guillaume Roussellet, Banque de France
Discussant: Marcel Priebsch, Board of Governors of the Federal Reserve System


Here's the whole thing:

5th Conference on Fixed Income Markets
Recent Advances in Fixed Income Research and Implications for Monetary Policy
Bank of Canada and Federal Reserve Bank of San Francisco
Yellen Conference Center
November 5-6, 2015
Thursday, November 5
8:00 – 8:45 a.m. Breakfast
8:45 – 9:00 a.m. Welcoming Remarks
Timothy Lane, Deputy Governor, Bank of Canada
9:00 – 10:30 a.m. Session 1: The Effects of Quantitative Easing
Session Chair: Michael Bauer, Federal Reserve Bank of San Francisco
A Lesson from the Great Depression that the Fed Might have Learned: A
Comparison of the 1932 Open Market Purchases with Quantitative Easing
Michael Bordo, Rutgers University, Hoover Institute at Stanford University, NBER
Arunima Sinha, Fordham University
Discussant: Annette Vissing-Jorgensen, Berkeley Haas
Transmission of Quantitative Easing: The Role of Central Bank Reserves
Jens Christensen, Federal Reserve Bank of San Francisco
Signe Krogstrup, Swiss National Bank
Discussant: Arvind Krishnamurthy, Stanford Graduate School of Business
10:30 – 11:00 a.m. Break
11:00 a.m. – 12:30 p.m. Session 2: Macroeconomic Risks and the Yield Curve
Economic Policy Uncertainty and the Yield Curve
Markus Leippold, Swiss Financial Institute and University of Zurich
Felix Matthys, Princeton University
Discussant: Anna Cieslak, Duke University
Macro Risks and the Term Structure
Geert Bekaert, Columbia University and NBER
Eric Engstrom, Board of Governors of the Federal Reserve System
Andrey Ermolov, Columbia University
Discussant: Mikhail Chernov, University of California at Los Angeles
12:30 p.m. Lunch, Market Street Dining Room, Fourth Floor
1:45 – 3:15 p.m. Session 3: Bond Prices in Equilibrium
Session Chair: Michael Ehrmann, Bank of Canada
A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt
Eric Swanson, University of California at Irvine
Discussant: Hanno Lustig, Stanford Graduate School of Business
Bond Risk Premia in Consumption-based Models
Drew Creal, University of Chicago Booth School of Business
Jing Cynthia Wu, University of Chicago Booth School of Business and NBER
Discussant: Ivan Shaliastovich, Wharton School of the University of Pennsylvania
3:15 – 3:45 p.m. Break
3:45 – 5:15 p.m. Session 4: Predicting Interest Rates
Robust Bond Risk Premia
Michael Bauer, Federal Reserve Bank of San Francisco
James Hamilton, University of California at San Diego
Discussant: John Cochrane, Hoover Institute at Stanford University
Loss Functions for Forecasting Treasury Yields
Hitesh Doshi, University of Houston
Kris Jacobs, University of Houston
Rui Liu, University of Houston
Discussant: Frank Diebold, University of Pennsylvania
5:15 – 6:00 p.m. Reception, Salons A&B, Fourth Floor
6:00 – 8:00 p.m. Dinner, Market Street Dining Room, Fourth Floor
Introduction: John C. Williams, President, Federal Reserve Bank of San Francisco
Keynote Speaker: Athanasios Orphanides, Massachusetts Institute of Technology
Friday, November 6
8:00 – 8:45 a.m. Breakfast
8:45 – 10:15 a.m. Session 5: Term Structure Modeling and the Zero Lower Bound
Session Chair: Antonio Diez de los Rios, Bank of Canada
Tractable Term Structure Models: A New Approach
Bruno Feunou, Bank of Canada
Jean-Sebastien Fontaine, Bank of Canada
Anh Le, Kenan-Flagler Business School, University of North Carolina at Chapel Hill
Discussant: Greg Duffee, Johns Hopkins University
Staying at Zero with Affine Processes: An Application to Term Structure
Modelling
Alain Monfort, Banque de France
Fulvio Pegoraro, Banque de France
Jean-Paul Renne, Banque de France
Guillaume Roussellet, Banque de France
Discussant: Marcel Priebsch, Board of Governors of the Federal Reserve System
10:15 – 10:45 a.m. Break
10:45 – 12:15 p.m. Session 6: Financial Stability in Bond Markets
Reaching for Yield by Corporate Bond Mutual Funds
Jaewon Choi, University of Illinois at Urbana-Champaign
Matias Kronlund, University of Illinois at Urbana-Champaign
Discussant: Francis Longstaff, University of California at Los Angeles
Collateral, Central Bank Repos, and Systemic Arbitrage
Falko Fecht, Frankfurt School of Finance & Management
Kjell Nyborg, University of Zurich, Swiss Finance Institute, and CEPR
Jorg Rocholl, ESMT European School of Management and Technology
Jiri Woschitz, University of Zurich
Discussant: Stefania D’Amico, Federal Reserve Bank of Chicago
12:15 – 1:30 p.m. Lunch
1:30 p.m. Adjourn
Program Committee:
Antonio Diez de los Rios, Bank of Canada
Jean-Sebastien Fontaine, Bank of Canada
Michael Bauer, Federal Reserve Bank of San Francisco
Jens Christensen, Federal Reserve Bank of San Francisco

1 comment:

  1. Clickable program now here:
    http://www.frbsf.org/economic-research/events/2015/november/5th-conference-on-fixed-income-markets/

    ReplyDelete

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