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.
Information
29 November 2018 - 30 November 2018
Banco de España, Madrid
Speakers
29 November
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- 15:15h - 15:45h
- Coffee and registration
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- 16:00h - 17:00h
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Keynote Lecture 1: “Central bank swap lines”
Ricardo Reis (London School of Economics and Political Science)
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- 17:00h - 18:30h
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Session 1: Money and markets
Chair: Óscar Arce (Banco de España)
The Cross-Section of Currency Volatility Premia
(829 KB)Pasquale Della Corte (Imperial College London)
Presentation Pasquale Della Corte (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?
(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 (455 KB)Discussant: Sergio Mayordomo (BdE)
Discussant: María Teresa González (CUNEF)
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- 20:30h - 00:00h
- Dinner (by invitation only)
30 November
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- 08:30h - 09:00h
- Coffee
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- 09:00h - 10:30h
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Session 2: Higher moments
Chair: Carmen Broto (Banco de España)
Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations
(1 MB)
Thiago R.T. Ferreira (FRB)
Presentation Thiago R.T. (2 MB)Discussant: Antonio Moreno (Universidad de Navarra)
Presentation Antonio Moreno (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 MadisonDiscussant: Omar Rachedi (BdE)
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- 10:30h - 11:00h
- Coffee
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- 11:00h - 12:00h
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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)
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- 12:00h - 13:30h
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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 (80 KB)Christian Brownlees (Universitat Pompeu Fabra and Barcelona GSE),
Ben Chabot (Federal Reserve Bank of Chicago)
Presentation Ben Chabot (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 (437 KB)
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- 13:30h - 14:30h
- Lunch
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- 14:30h - 16:45h
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Session 4: Uncertainty
Chair: Isabel Argimón (Banco de España)
Uncertainty and Economic Activity: a multi-country perspective
(2 MB)Ambrogio Cesa-Bianchi (Bank of England and CfM)
Presentation Ambrogio Cesa-Bianchi (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 (491 KB)Global Spillovers Effects of US Uncertainty
(1.016 KB)Saroj Bhattarai (University of Texas at Austin), Arpita Chatterjee (University of New South Wales)
Presentation Arpita Chatterjee (372 KB)
and Woong Yong Park (Seoul University and CAMA)Discussant: Ragna Alstadheim (Norges Bank)
Presentation Ragna Alstadheim (286 KB)Uncertainty shocks as second-moment news shocks
(998 KB)David Berger (Northwestern University and NBER)
Presentation David Berger (1 MB)
Ian Dew-Becker (Northwestern University and NBER) and Stefano Giglio (Yale University and NBER)Discussant: Vahid Saadi (IE)
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- 16:45h - 17:15h
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Concluding thoughts and closing remarks
( 126 KB )
Galina Hale (Federal Reserve Bank of San Francisco and CEBRA)