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Workshop on Advances in Fixed Income Modeling

45 July 2011


The Banco de España and the Bank of Canada jointly organized the Workshop on "Advances in Fixed Income Modeling", held in Madrid on 4-5 July 2011. The workshop covered among others the following topics: yield curve modeling, multi-country models of the term structure of interest rates, sovereign and credit risk models, modeling of money market rates, bond portfolio management, bond prices in dynamic stochastic general equilibrium (DSGE) models, liquidity and market microstructure of fixed income markets.


4 July 2011
08.45 - 09.00
Opening Remarks

Pilar L´Hotellerie-Fallois (Associate General Director. Banco de España)

Morning Chair: Antonio Díez de los Ríos (Bank of Canada)
09.00 - 10.30
Session 1: Inflation Expectations

"Price Discovery on Traded Inflation Expectations: Does the Financial Crisis Matter?" File PDF: Opens in a new window (626 KB)

Alexander Schulz (Deutsche Bundesbank) and Jelena Stapf (Deutsche Bundesbank)

Discussant: Juan Ángel García (European Central Bank)


"Beliefs about Inflation and the Term Structure of Interest Rates"

Paul Ehling (BI Oslo and Banco de España), Michael Gallmeyer (The McIntire School of Commerce, University of Virginia), Christian Heyerdahl-Larsen (London Business School), Philipp Illeditsch (The Wharton School, University of Pennsylvania)

Discussant: Astrid Schornick (INSEAD)

11.00 - 12.30
Session 2: Sovereign Bond Markets

"Price and Liquidity Risk Premia in Sovereign Bond Markets"

Emma Berenguer (Universidad Pablo de Olavide), Ricardo Gimeno (Banco de España) and Juan Nave (Universidad Cardenal Herrera)

Discussant: Alicia Sanchís (Banco Santander)


"Sovereign Credit Risk: Consumption Strikes Again" File PDF: Opens in a new window (879 KB)

Patrick Augustin (Stockholm School of Economics) and Romeo Tedongap (Stockholm School of Economics)

Discussant: Belén Nieto (Universidad de Alicante)

Afternoon Chair: Ricardo Gimeno (Banco de España)
12.30 - 14.00
Session 3: International Term Structure Models

"Detecting Common and Local Factors in International Treasury Yield Curves"

Fulvio Pegoraro (Banque de France, CREST and HEC Lausanne), and Luca Tiozzo ’Pezzoli’ (Banque de France and Paris Dauphine University)

Discussant: Gabriel Pérez-Quirós (Banco de España)


"An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks"

Gregory H. Bauer (Bank of Canada) and Antonio Díez de los Ríos (Bank of Canada)

Discussant: Pavol Povala (University of Lugano)

16.30 - 18.00
Session 4: Extracting the Information Contained in the Yield Curve

"Forecasting with the Term Structure: The Role of No-Arbitrage Restrictions" File PDF: Opens in a new window (230 KB)

Gregory R. Duffee (Johns Hopkins University)

Discussant: Antonio Díez de los Ríos (Bank of Canada)


"Information in the Yield Curve: A Macro-Finance Approach" File PDF: Opens in a new window (393 KB)

Hans Dewachter (National Bank of Belgium and University of Leuven), Leonardo Iania (University of Leuven and Maastricht University) and Marco Lyrio (Insper Institute of Education and Research)

Discussant: Andrew Meldrum (University of Cambridge)

5 July 2011
Morning Chair: José Manuel Marqués (Banco de España)
08.45 - 10.15
Session 5: Volatility in Bond Markets

"Bond Variance Risk Premia"

Philippe Mueller (London School of Economics), Andrea Vedolin (London School of Economics) and Yu-min Yen (London School of Economics)

Discussant: Dante Amengual (CEMFI)


"Can Expectations Be Informative about Interest Rate Volatility?" File PDF: Opens in a new window (733 KB)

Scott Joslin (MIT Sloan School of Management), Anh Le (Kenan-Flagler Business School, University of North Carolina at Chapel Hill)

Discussant: Michael Gallmeyer (University of Virginia)

10.30 - 12.00
Session 6: The Fed and the Yield Curve

"Fed Fund Futures and the Federal Reserve" File PDF: Opens in a new window (605 KB)

Jean-Sébastien Fontaine (Bank of Canada) 

Discussant: Alfredo Ibáñez (ESADE Business School)


"How does the Bond Market Perceive FOMC Interventions?" File PDF: Opens in a new window (558 KB)

Maxim Ulrich (Columbia Business School)

Discussant:  Andrea Vedolin (London School of Economics)


12.30 - 14.00
Panel on the Implementation of Fixed Income Models for Policy Advice in Central Banks

Chair: Javier Ariztegui (Deputy Governor Banco de España)

Participants: Scott Hendry (Bank of Canada), Diego Rodríguez Palenzuela (ECB) and Juan Ayuso (Banco de España)