| Date | |
| August 11-12, 2011 | |
| Local | |
| São Paulo | |
| Agenda | |
| Thursday, August 11 | |
| 08:30 a.m. | Registration and coffee |
| 09:00 a.m. |
Welcoming Remarks
Ike Mathur, Journal of Banking and Finance Benjamin Miranda Tabak, Banco Central do Brasil |
| 09:20 a.m. |
Session I
Chair: Ike Mathur, Journal of Banking and Finance Marco Lo Duca, European Central Bank Macro-Financial Vulnerabilities and Future Financial Stress (PDF - 1158KB - English) Malick Sy, RMIT University Bank Failure Prediction: Empirical Evidence from Asian Banks – Impact of Derivatives and Other Balance Sheet Items. (PDF - 117KB - English) Discussant: Jouko Vilmunen, Bank of Finland |
| 10:20 a.m. | Coffee break |
| 10:40 a.m. |
Session II
Chair: Terri Sorger, Journal of Banking and Finance Sergio Mayordomo, Comisión Nacional del Mercado de Valores Do Sovereign CDS and Bond Markets Share the Same Information to Price Credit Risk? An Empirical Application to the European Monetary Union Case (PDF - 265KB - English) Co-Pierre Georg, Friedrich-Schiller-Universität Jena The Effect of the Interbank Network Structure on Contagion and Financial Stability (PDF - 486KB - English) Discussant: Aquiles Rocha de Farias, Banco Central do Brasil |
| 11:40 a.m. |
Session III
Chair: Emanuel Kohlscheen, Banco Central do Brasil Meryem D. Fethi, University of Leicester School of Management Emerging Economies and the re-capitalization of the banking system (PDF - 396KB - English) Bill Francis, Rensselaer Polytechnic Institute Cross-listing, Price Informativeness, and the Sensitivity of Investment to Stock Price (PDF - 229KB - English) Discussant: Emanuel Kohlscheen, Banco Central do Brasil |
| 12:40 p.m. | Lunch break |
| 02:40 p.m. |
Session IV
Chair: João Barata Ribeiro Blanco Barroso, Banco Central do Brasil Fuchun Li, Bank of Canada Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach (PDF - 198KB - English) Juan Francisco Martinez, University of Oxford Liquidity Effects on Asset Prices, Financial Stability and Economic Resilience (PDF - 619KB - English) Discussant: João Barata Ribeiro Blanco Barroso, Banco Central do Brasil |
| 03:40 p.m. |
Session V
Chair: Gustavo Silva Araújo, Banco Central do Brasil Mathias Drehmann, Bank for International Settlements Funding Liquidity Risk: Definition and Measurement (PDF - 323KB - English) Cho-Hoi Hui, Hong Kong Monetary Authority A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks (PDF - 501KB - English) Discussant: Gustavo Silva Araújo, Banco Central do Brasil |
| 04:40 p.m. | Coffee break |
| 05:00 p.m. |
Session VI
Chair: Raquel de Freitas Oliveira, Banco Central do Brasil Renato Falci Villela Loures, Universidade Federal Fluminense Effect of Transparency on Bank Credit: Evidence from NYSE and NASDAQ (PDF - 249KB - English) Karlo Kauko, Bank of Finland Why is Equity Capital Expensive for Banks? (PDF - 792KB - English) Discussant: Raquel de Freitas Oliveira, Banco Central do Brasil |
| 06:00 p.m. | Closing Remarks |
| Friday, August 12 | |
| 08:30 a.m. | Registration and coffee |
| 09:00 a.m. |
Opening Remarks
Alexandre A. Tombini, Banco Central do Brasil Pronouncement (Audio in Portuguese) |
| 09:20 a.m. |
Opening Keynote Address
Ike Mathur, Southern Illinois University The Value of Attention Grabbing: The Case of Advertising and Corporate Bonds (PDF - 230KB - English) Presentation (PDF - 517KB - English) Chair: Adriana Soares Sales, Banco Central do Brasil |
| 10:20 a.m. | Coffee break |
| 10:40 a.m. |
Session I: Macroprudential Policy
Chair: Luiz Pereira, Banco Central do Brasil Paulo Evandro Dawid, Banco Central do Brasil Reserve Requirements and the Brazilian Bank Credit (PDF - 397KB - Portuguese) Presentation (PDF - 498KB - English) Emanuel Barnea, Bank of Israel The Interaction of Monetary Policy and Financial Stability: Lessons from the 2007 Crisis (PDF - 139KB - English) Presentation (PDF - 224KB - English) Discussant: Bruno Funchal, Fucape Business School |
| 11:40 a.m. |
Session II: Risk Management
Chair: Cláudio Ness Mauch, Quantum Leonardo Alencar, Banco Central do Brasil How do Banks Manage their Capital Ratios in Brazil? (PDF - 153KB - Portuguese) Presentation (PDF - 381KB - English) Silvio Michael de Azevedo Costa, Banco Central do Brasil Trade-offs between Efficiency, Financial Resilience, and Macroeconomic Stability in a DSGE Model with Banking (PDF - 721KB - Portuguese) Presentation (PDF - 404KB - English) Discussant: Marcos Soares da Silva, Banco Central do Brasil |
| 12:40 p.m. | Lunch break |
| 02:40 p.m. |
Session III: Banking
Chair: Anthero Meirelles, Banco Central do Brasil Arnildo Correa, Banco Central do Brasil Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans (PDF - 265KB - English) Presentation (PDF - 328KB - English) Oskar Kowalewski, World Economy Research Institute Transmission of Bank Liquidity Shocks in Loan and Deposit Markets: The Role of Interbank Borrowing and Market Monitoring (PDF - 265KB - English) Presentation (PDF - 565KB - English) Discussant: Sergio Mayordomo, Comisión Nacional del Mercado de Valores |
| 03:40 p.m. | Coffee break |
| 04:00 p.m. |
Session IV: Crises and Spreads
Chair: Carlos Hamilton Araújo, Banco Central do Brasil Lucio Capelletto, Banco Central do Brasil Determinants of the Ex-Post Bank Spread in the Brazilian Market (PDF - 85KB - Portuguese) Presentation (PDF - 360KB - Portuguese) Viktoria Dalko, Harvard University Preventing Stock Market Crises: Regulating Information Manipulation by Sell-Side Analysts (PDF - 310KB - English) Presentation (PDF - 137KB - English) Discussant: Gabriel Madeira, Universidade de São Paulo |
| 05:00 p.m. | Closing Remarks
Carlos Hamilton Araújo, Banco Central do Brasil |