About us

Risk, volatility and central banks’ policies

2930 November 2018
Banco de España, Madrid


The Bank of Spain will organize a joint conference with the Central Bank Research Association (CEBRA) on “Risk, volatility and central banks’ policies”, on 29-30 November 2018 in Madrid. The conference aims to cover a broad range of topics related to risk and volatility. The Bank of Spain and CEBRA chose this topic, taking into account the growing awareness of the importance of risk and market volatility for both monetary policy and financial stability.


29 November 2018
15.15 - 15.45
Coffee and registration
15.45 - 16.00
16.00 - 17.00
Keynote Lecture 1: “Central bank swap lines”

Ricardo Reis (London School of Economics and Political Science)

17.00 - 18.30
Session 1: Money and markets

Chair: Óscar Arce (Banco de España)

The Cross-Section of Currency Volatility Premia File PDF: Opens in a new window (829 KB)

Pasquale Della Corte (Imperial College London)
Presentation Pasquale Della Corte File PDF: Opens in a new window (528 KB)
Roman Kozhan (University of Warwick) and Anthony Neuberger (University of London)

Discussant: María Teresa González (CUNEF)

Does Monetary Policy Impact International Market Co-Movements? File PDF: Opens in a new window (712 KB)

Massimiliano Caporin (University of Padova), Loriana Pelizzoni (SAFE-Goethe University Frankfurt) and
Alberto Plazzi (Università della Svizzera Italiana and Swiss Finance Institute)
Presentation Alberto Plazzi File PDF: Opens in a new window (455 KB)

Discussant: Sergio Mayordomo (BdE)

Discussant: María Teresa González (CUNEF)

20.30 - 00.00
Dinner (by invitation only)
30 November 2018
08.30 - 09.00
09.00 - 10.30
Session 2: Higher moments

Chair: Carmen Broto (Banco de España)

Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations File PDF: Opens in a new window (1 MB)
Thiago R.T. Ferreira (FRB)
Presentation Thiago R.T. File PDF: Opens in a new window (2 MB)

Discussant: Antonio Moreno (Universidad de Navarra)
Presentation Antonio Moreno File PDF: Opens in a new window (129 KB)

Volatility Risk Pass-Through
Ricardo Colacito (University of North Carolina-Chapel Hill), Mariano M. Croce (Bocconi University and CEPR), Yang Liu (University of Hong Kong) and Ivan Shaliastovich (University of Wisconsin Madison

Discussant: Omar Rachedi (BdE)

10.30 - 11.00
11.00 - 12.00
Keynote Lecture 2: “The Global Pricing of Tail Risk, the Equity Premium and Foreign Exchange”

Torben Andersen (Kellog School of Management, Northwestern University)
Introduced by Ángel Estrada (Banco de España)

12.00 - 13.30
Session 3: Risk

Chair: Luna Romo (Banco de España)

Risk endogeneity at the lender/investor-of-last-resort

Diego Caballero (ECB), André Lucas (Vrije Universiteit Amsterdam and Tinberben Institue); Bernd Schwaab (ECB) and Xin Zhang (Sveriges Riksbank)

Discussant: Juan M. Londono (FRB)
Presentation Juan M. Londono File PDF: Opens in a new window (80 KB)

Back to the Future: Backtesting Systemic Risk Measures during historical Bank Runs and the Great Depression File PDF: Opens in a new window (1 MB)

Christian Brownlees (Universitat Pompeu Fabra and Barcelona GSE),
Ben Chabot (Federal Reserve Bank of Chicago)
Presentation Ben Chabot File PDF: Opens in a new window (738 KB) 
Eric Ghysels (CEPR and University of North Carolina) and Christopher Kurz (Federal Reserve System)

Discussant: María Rodríguez-Moreno (BdE)
Presentation María Rodríguez-Moreno File PDF: Opens in a new window (437 KB)

13.30 - 14.30
14.30 - 16.45
Session 4: Uncertainty

Chair: Isabel Argimón (Banco de España)

Uncertainty and Economic Activity: a multi-country perspective File PDF: Opens in a new window (2 MB)

Ambrogio Cesa-Bianchi (Bank of England and CfM)
Presentation Ambrogio Cesa-Bianchi File PDF: Opens in a new window (1 MB)
M. Hashem Pesaran (University of Southern California and Trinity College) and Alessandro Rebucci (Johns Hopkins University, CEPR and NBER)

Discussant: Alberto Musso (ECB)
Presentation Alberto Musso File PDF: Opens in a new window (491 KB)

Global Spillovers Effects of US Uncertainty File PDF: Opens in a new window (1.016 KB)

Saroj Bhattarai (University of Texas at Austin), Arpita Chatterjee (University of New South Wales)
Presentation Arpita Chatterjee File PDF: Opens in a new window (372 KB)
and Woong Yong Park (Seoul University and CAMA)

Discussant: Ragna Alstadheim (Norges Bank)
Presentation Ragna Alstadheim File PDF: Opens in a new window (286 KB)

Uncertainty shocks as second-moment news shocks File PDF: Opens in a new window (998 KB)

David Berger (Northwestern University and NBER)
Presentation David Berger  File PDF: Opens in a new window (1 MB)
Ian Dew-Becker (Northwestern University and NBER) and Stefano Giglio (Yale University and NBER)

Discussant: Vahid Saadi (IE)

16.45 - 17.15

Galina Hale (Federal Reserve Bank of San Francisco and CEBRA)