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XII Annual Seminar on Risk, Financial Stability and Banking

 




Wednesday, August 9, 2017


09:00 am - Registration


09:30 am - Welcome remarks
André Minella, Banco Central do Brasil
Sérgio Lago, Banco Central do Brasil


09:45 am - Plenary Session: Financial Cycles and Stress Episodes
Chair: Leonardo Pio Perez, Banco Central do Brasil

Benjamin Klaus, European Central Bank
Thibaut Duprey, Bank of Canada

Dating Systemic Financial Stress Episodes in the EU Countries
Discussant: Sérgio Lago, Banco Central do Brasil

Tuomas Peltonen, European Systemic Risk Board
Coherent Financial Cycles for G-7 Countries: Why Extending Credit Can Be an Asset
Discussant: Benjamin Klaus, European Central Bank


10:55 am - Coffee break


11:15 am - Parallel Session I: Financial Networks and Systemic Risk
Chair: Thiago Christiano Silva, Banco Central do Brasil

Thiago Christiano Silva, Banco Central do Brasil
Measuring Systemic Risk under Monetary Policy Shocks: A Network Approach
Discussant: Danilo Lopomo Beteto Wegner, Australian Institute of Business

Danilo Lopomo Beteto Wegner, Australian Institute of Business
Market Liquidity and Financial Fragility
Discussant: Thiago Christiano Silva, Banco Central do Brasil


11:15 am - Parallel Session II: The Covered Interest Parity Puzzle
Chair: Sérgio Lago, Banco Central do Brasil

Vladyslav Sushko, Bank for International Settlements
The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets
Discussant: Jiayue Zhang, Hong Kong Monetary Authority

Jiayue Zhang, Hong Kong Monetary Authority
Breakdown of Covered Interest Parity: Mystery or Myth?
Discussant: Vladyslav Sushko, Bank for International Settlements


12:30 pm - Lunch break


2:30 pm - Parallel Session I: Bank Risk-Taking
Chair: Rodrigo Barbone Gonzalez, Banco Central do Brasil

Jack Liebersohn, MIT Sloan
Antitrust Regulation, Bank Competition and Risky Lending
Discussant: Federico Pierobon, European Central Bank

Federico Pieboron, European Central Bank
Who Bears Interest Rate Risk?
Discussant: Jonathan Smith, Bank of England


2:30 pm - Parallel Session II: Risk and Option-Implied Information
Chair: José Renato Ornelas, Banco Central do Brasil

Carlo Sala, ESADE Business School
S&P 500 Index, an Option Implied Risk Analysis
Discussant: José Renato Ornelas, Banco Central do Brasil

Marinela Finta, Singapore Managent Univerty
Risk Premium Spillovers among Stock Markets: Evidence from Higher Moments
Discussant: Carlo Sala, ESADE Business School

Roberto Baltieri Mauad, Banco Central do Brasil
Implied Volatility Term Structure and Exchange Rate Predictability
Discussant: Marinela Finta, Singapore Management University


4:15 pm - Coffee break


4:30 pm - Parallel Session I: Asset Pricing
Chair: Gustavo Silva Araújo, Banco Central do Brasil

Kolja Johannsen, Warwick Business School
Toxic Arbitrage and Price Discovery
Discussant: Roberto Baltieri Mauad, Banco Central do Brasil

Ariel Levy, Ben-Gurion University of the Negev
Volatility, Liquidity, and Liquidity Risk
Discussant: Kolja Johannsen, Warwick Business School


4:30 pm - Parallel Session II: Estimated DSGE Models with Financial Sectors
Chair: Angelo Marsiglia Fasolo, Banco Central do Brasil

Luis Cabezas, Central Bank of Chile
Macro-financial Model: A Proposal for Chile
Discussant: Jorge Ponce, Banco Central del Uruguay

Jorge Ponce, Banco Central del Uruguay
Countercyclical Prudential Tools in an Estimated DSGE Model
Chair: Marcos Ribeiro de Castro, Banco Central do Brasil


5:40 pm - Plenary Session: Closing remarks

August 10, Thursday


9:20 am - Registration


9:30 am - Parallel Session I: Credit and External Debt: How Are Firms and Banks Affected?
Chair: Fernando Nascimento de Oliveira, Banco Central do Brasil

Julian Caballero, Inter-American Investment Corporation
Corporate Dollar Debt and Depreciations: All’s Well That Ends Well?
Discussant:Ricardo Sousa, University of Minho

Ricardo Sousa, University of Minho
External Debt Composition and Domestic Credit Cycles
Discussant: Julian Caballero, Inter-American Investment Corporation


9:30 am - Parallel Session II: Connectiry and Bank Corporation
Chair: Gabriel Garber, Banco Central do Brasil

Jorge Abad, CEMFI
Mapping the Interconnectedness between EU Banks and Shadow Banking Entities
Discussant: Rodrigo Barbone Gonzalez, Banco Central do Brasil

Abhimanyu Gupta, University of Essex
Credit Market Spillovers: Evidence from a Syndicated Loan Market Network
Discussant: Jorge Abad, CEMFI


10:40 am - Coffee break


11:00 am - Parallel Session I: Optimal Macroprudential and International Reserves Policies
Chair: Fabia Aparecida de Carvalho, Banco Central do Brasil

Alonso Villacorta, UC Santa Cruz
Macroprudential Policy with Liquidity Panics
Discussant: Samer Shousha, Federal Reserve Board

Pengfei Jia, University of Manchester
Macroprudential Policy Coordination in a Currency Union
Discussant: Alonso Villacorta, UC Santa Cruz

Samer Shousha, Federal Reserve Board
International Reserves, Credit Constraints, and Systemic Sudden Stops
Discussant: Pengfei Jia, University of Manchester


11:00 am - Parallel Session II: Bank Competition and Too-Big-To-Fail Financial Institutions
Chair: Sérgio Mikio Koyama, Banco Central do Brasil

Consuelo Silva-Buston, Universidad de los Andes
Systemic Risk and Competition: Bank Herding in Europe
Discussant: Klênio Barbosa, Insper

Asani Sarkar, Federal Reserve Bank of New York
Is Size Everything?
Discussant: Consuelo Silva-Buston, Universidad de los Andes

Klênio Barbosa, Insper
Bank Competition and the Limits of Creditor's Protection Reforms
Discussant: Asani Sarkar, Federal Reserve Bank of New York


12:45 pm - Lunch break


2:30 pm - Parallel Session I: Credit Spillovers
Chair: Raquel de Freitas Oliveira, Banco Central do Brasil

Gabriel Garber, Banco Central do Brasil
Capital Allocation across Regions, Sectors and Firms: Evidence from a Commodity Boom in Brazil
Discussant: Raquel de Freitas Oliveira, Banco Central do Brasil

Rodrigo Barbone Gonzalez, Banco Central do Brasil
Countercyclical Macroprudential Policy: Evidence from an Emerging Country
Discussant: Gabriel Garber, Banco Central do Brasil

Mahvish Naeem, Ulm University
Do Credit Unions Provide Access to Credit in Dire Times?
Discussant: Sofia Priazhkina, Bank of Canada


2:30 pm - Parallel Session II: Credit Risk
Chair: Ricardo Schechtman, Banco Central do Brasil

Guillaume Roussellet, McGill University
Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion
Discussant: Ricardo Schechtman, Banco Central do Brasil

Taneli Mäkinen, Banca d’Italia
Risky Bank Guarantees
Discussant: Guillaume Roussellet, McGill University

Weicheng Miao, Central Bank of the Republic of China
Are Credit Rating Agencies Discredited? Measuring Market Price Effects from Agency Sovereign Debt Announcements
Discussant: Clodoaldo Aparecido Annibal, Banco Central do Brasil


4:15 pm - Coffee break


4:30 pm - Parallel Session I: Liquidity Channel and Unconventional Monetary Policy
Chair: José Valentim Vicente, Banco Central do Brasil

Sofia Priazhkina, Bank of Canada
Liquidity Channels and Stability of Shadow Banking
Discussant: Fernando Nascimento de Oliveira, Banco Central do Brasil

Xin Zhang, Sveriges Riksbank
Tail Risk in Government Bond Markets and ECB Unconventional Policies
Discussant: José Valentim Vicente, Banco Central do Brasil


4:30 pm - Parallel Session II: Credit Markets in Macro Models
Chair: Silvio Michael de Azevedo Costa, Banco Central do Brasil

Henrique Basso, Banco de España
Asset Holdings, Information Aggregation in Secondary Markets and Credit Cycles
Discussant: Paulo Evandro Dawid, Banco Central do Brasil

Ryan Kim, Columbia University
The Impact of Credit Crunch on Price and Inventory Dynamics: Micro-level Evidence and Aggregate Implications
Discussant: Henrique Basso, Banco de España


5:40 pm - Final Plenary Session: Concluding Remarks

Friday, August 11, 2017


08:45 am - Registration


09:45 am - Opening remarks
Ilan Goldfajn, Banco Central do Brasil
Carlos Viana de Carvalho, Banco Central do Brasil


09:40 am - Keynote speaker: Hyun Song Shin, Bank for International Settlements


10:40 am - Coffee break


11:00 am - Central Bank Economics and Finance Award Ceremony


11:20 am - Session I: Financial Cycles, Earmarked Credit and Breakeven Inflation Rate
Chair: Anthero de Moraes Meirelles, Banco Central do Brasil

Tuomas A. Peltonen, European Systemic Risk Board
Coherent Financial Cycles for G-7 Countries: Why Extending Credit Can Be an Asset

Bruno Martins, Banco Central do Brasil
Cross-subsidy in Credit Market: Micro Level Evidence from Earmarked Rules In Brazil

Gustavo Silva Araújo, Banco Central do Brasil
Short-Term Break-Even Inflation Rate


12:40 pm - Lunch break


2:20 pm - Invited speaker: Michael Kiley, Federal Reserve Board


3:20 pm - Coffee break


3:40 pm - Session II: Financial Stability and Macroprudential Policy
Chair: Otávio Damaso, Banco Central do Brasil

Yener Altunbas, Bangor University
Macroprudential Policy and Bank Risk

Enrico Vasconcelos, Banco Central do Brasil
How the Central Bank of Brazil Works to Safeguard Financial Stability

Vinicius Ratton Brandi, Banco Central do Brasil
The Rise of Risk: From Science to Regulation


05:00 pm - Closing remarks
Carlos Viana de Carvalho, Banco Central do Brasil
André Minella, Banco Central do Brasil