FRIDAY, OCTOBER 14th 2016 |
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| 8:30 – 9:30 | Breakfast |
| 9:30 – 11:10 | Session 1: Market (and Real) Inefficiencies. Chair: Urban Jermann (Wharton) |
| Deviations from Covered Interest Rate Parity. Wenxin Du (Federal Reserve Board) , Alexander Tepper (Federal Reserve Bank of New York) and Adrien Verdelhan (MIT) Discussant: Charles Engel (University of Wisconsin) |
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| Real Anomalies: Are Financial Markets a Sideshow? Christian Opp (Wharton) and Jules van Binsbergen (Wharton)) Discussant: Thomas Philippon (NYU Stern) |
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| 11:10 – 11:30 | Break |
| 11:30 – 13:10 | Session 2: Information and Trading Chair: Douglas Gale (NYU) |
| Efficiency and Information Transmission in Bilateral Trading Robert Shimer (University of Chicago) and Ivan Werning (MIT) Discussant: Ali Shourideh (Carnegie Mellon) |
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| High Frequency Trading and Fragility Giovanni Cespa (Cass Business School) and Xavier Vives (IESE Business School) Discussant: Pete Kyle (University of Maryland) |
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| 13:10 – 14:30 | Lunch |
| 14:30 – 17:20 | Session 3: Risk in Financial Institutions Chair: Todd Keister (Rutgers) |
| Why does fast loan growth predict poor performance for banks? Rüdiger Fahlenbrach (Swiss Finance Institute at EPFL), Robert Prilmeier (Tulane University) and Rene Stulz (Ohio State University) Discussant: Egon Zakrajsek (Federal Reserve Board) |
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| Risk Management in Financial Institutions Adriano Rampini (Duke University), Vish Viswanathan (Duke University) and Guillaume Vuillemey (HEC Paris) Discussant: Juliane Begenau (Harvard) |
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| The Collateral Trap Frederic Boissay (Bank for International Settlements) and Russell Cooper (Penn State) Discussant: Ricardo Caballero (MIT) |
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| 17:20 – 19:00 | Drinks & hors-d’oeuvres |
| 19:00 | Dinner – Credit Surfaces, Leverage Cycles, and Doom Triangles Speaker: John Geanakoplos (Yale) |
Saturday, October 15th 2016 |
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| 7:30 – 8:30 | Breakfast |
| 8:30 – 10:10 | Session 4: International Financial Markets Chair: Alessandro Dovis (UPenn) |
| Self-Fulfilling Debt Crises, Revisited: The Art of the Desperate Deal Mark Aguiar (Princeton), Satyajit Chatterjee (Federal Reserve Bank of Philadelphia), Harold Cole (UPenn) and Zachary Stangebye (University of Notre Dame) Discussant: Giancarlo Corsetti (University of Cambridge) |
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| A Model of the International Monetary System Emmanuel Farhi (Harvard) and Matteo Maggiori (Harvard) Discussant: Guillermo Calvo (Columbia) |
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| 10:10 – 10:30 | Break |
| 10:30 – 12:10 | Session 5: Asset Management and Financial Fragility Chair: Itamar Drechsler (NYU) |
| A Dynamic Theory of Mutual Fund Runs and Liquidity Management Yao Zeng (University of Washington) Discussant: Laura Veldkamp (NYU Stern) |
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| Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds Sergey Chernenko (The Ohio State University) and Adi Sunderam (Harvard) Discussant: Russ Wermers (University of Maryland) |
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| 12:10 – 13:10 | Lunch |
| 13:10 – 16:00 | Session 6: Intervention, Regulation, and Supervision Chair: Loretta Mester (President, Federal Reserve Bank of Cleveland) |
| Intervention Policy in a Dynamic Environment: Coordination and Learning Will Cong (University of Chicago), Steven Grenadier (Stanford) and Yunzhi Hu (University of Chicago) Discussant: Stephen Morris (Princeton) |
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| The Welfare Effects of Bank Liquidity and Capital Requirements Skander Van den Heuvel (European Central Bank) Discussant: Gary Gorton (Yale) |
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| The Economics of Bank Supervision Thomas Eisenbach (Federal Reserve Bank of New York), David Lucca (Federal Reserve Bank of New York) and Robert Townsend (MIT) Discussant: Xavier Freixas (Universitat Pompeu Fabra) |
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| 16:00 | Adjourn |
Program Committee
Stijn Claessens (Federal Reserve Board)
Itamar Drechsler (NYU)
Huberto Ennis (Richmond Fed)
Nicolae Garleanu (Berkeley)
Vincent Glode (Wharton)
Gary Gorton (Yale)
Zhiguo He (Chicago)
Jakub Kastl (Princeton)
Todd Keister (Rutgers)
Pablo Kurlat (Stanford)
Robert McDonald (Northwestern)
Jaromir Nosal (Columbia)
Martin Oehmke (Columbia GSB)
Christian Opp (Wharton)
George Pennacchi (Illinois)
Adriano Rampini (Duke)
Philipp Schnabl (NYU)
Luke Taylor (Wharton)
Venky Venkateswaran (NYU Stern)
Annete Vissing-Jorgensen (Berkeley)
Randy Wright (Wisconsin)
Motohiro Yogo (Princeton)