VI Seminar on Risk, Financial Stability and Banking of the Banco Central do Brasil

 
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