Sponsored by:

FIC_Brevan-Howard-logo

Organized by: Franklin Allen, Itay Goldstein and Guillermo Ordonez

Wharton School,
8th Floor, Jon M. Huntsman Hall,
3730 Walnut Street, Philadelphia PA 19104

Friday, October 13th 2017

8:30 – 9:30 Breakfast
9:30 – 12:20 Session 1: Patterns in Credit Allocation.
Chair: Frank Diebold
(UPenn)

The Macroeconomic Effects of Government Asset Purchases: Evidence from Postwar US Housing Credit Policy
Andrew Fieldhouse (Cornell), Karel Mertens (FRB Dallas) and Morten Ravn (UCL)
Discussant: Benjamin Keys (Wharton)

Bank Lending in the Knowledge Economy
Giovanni Dell’Ariccia (IMF), Dalida Kadyrzhanova (Georgia State), Camelia Minoiu (IMF) and Lev Ratnovski (IMF)
Discussant: Adrien Matray (Princeton)
11:10 – 11:30 Break
Shock Propagation and Banking Structure
Mariassunta Giannetti (Stockholm School of Economics) and Farzad Saidi (Stockholm School of Economics)
Discussant: Jakub Kastl (Princeton)
12:20 – 13:40 Lunch
13:40 – 15:20 Session 2: Money and Runs
Chair: Vish Viswanathan
(Duke)

Flight to Liquidity and Systemic Bank Runs
Roberto Robatto (Wisconsin)
Discussant: Douglas Gale (NYU)

Money Runs
Jason Donaldson (Washington University in St. Louis) and Giorgia Piacentino (Columbia)
Discussant: Todd Keister (Rutgers)
15:20 – 15:40 Break
15:40 – 17:20 Session 3: Information Disclosure and Fragility
Chair: Loretta Mester
(President, Federal Reserve Bank of Cleveland)

Design of Macro-Prudential Stress Tests
Dmitry Orlov (Rochester), Andrzej Skrzypacz (Stanford) and Pavel Zryumov (Rochester)
Discussant: Vincent Glode (Wharton)

Persuasion in Global Games with Application to Stress Testing
Nicolas Inostroza (Northwestern) and Alessandro Pavan (Northwestern)
Discussant: Gadi Barlevy (Chicago Fed)
17:20 – 19:00 Drinks & hors-d’oeuvres
19:00 Dinner – Keynote Speaker: Patrick Bolton (Columbia) – “Inside, Outside & Public Liquidity”.

Saturday, October 14th 2017

7:30 – 8:30 Breakfast
8:30 – 10:10 Session 4: Financial Intermediaries and Asset Prices
Chair: Christian Opp
(Wharton)

Asset Price Bubbles and Systemic Risk
Markus Brunnermeier (Princeton), Simon Rother (Bonn) and Isabel Schnabel (Bonn)
Discussant: Simon Gilchrist (NYU)

Do Intermediaries Matter for Aggregate Asset Prices?
Valentin Haddad (UCLA) and Tyler Muir (UCLA)
Discussant: Itamar Drechsler (NYU)
10:10 – 10:30 Break
10:30 – 12:10 Session 5: Amplification in Financial Markets
Chair: Mitchell Berlin
(Federal Reserve Bank of Philadelphia)

Fire-Sale Spillovers in Debt Markets
Antonio Falato (Federal Reserve Board), Ali Hortacsu (Chicago), Dan Li (Federal Reserve Board) and Chaehee Shin (Federal Reserve Board).
Discussant: Adi Sunderam (Harvard)

Financial Markets, the Real Economy, and Self-fulfilling Uncertainties
Jess Benhabib (NYU), Xuewen Liu (HKUST) and Pengfei Wang (HKUST)
Discussant: Russ Cooper (Penn State)
12:10 – 13:10 Lunch
13:10 – 16:00 Session 6: Transmission Channels of Monetary Policy
Chair: Enrico Perotti
(University of Amsterdam)

The Effects of Monetary Policy, and other, Announcements in Dynamic General Equilibrium
Chao Gu (Missouri), Han Han (Peking) and Randall Wright (Wisconsin)
Discussant: Gary Gorton (Yale)

Why are Banks Exposed to Monetary Policy?
Sebastian Di Tella (Stanford) and Pablo Kurlat (Stanford)
Discussant: Nobu Kiyotaki (Princeton)
14:50 – 15:10 Break
A Risk-centric Model of Demand Recessions and Macroprudential Policy
Ricardo Caballero (MIT) and Alp Simsek (MIT)
Discussant: Gauti Eggertsson (Brown)
16:00 Adjourn

Program Committee

Stijn Claessens (BIS)
Itamar Drechsler (NYU)
Huberto Ennis (Richmond Fed)
Xavier Freixas (UPF)
Vincent Glode (Wharton)
Gary Gorton (Yale)
Zhiguo He (Chicago)
Jakub Kastl (Princeton)
Todd Keister (Rutgers)
Pablo Kurlat (Stanford)
Matteo Maggiori (Harvard)
Robert McDonald (Northwestern)
Jaromir Nosal (Columbia)
Martin Oehmke (Columbia GSB)
Christian Opp (Wharton)
George Pennacchi (Illinois)
Adriano Rampini (Duke)
Philipp Schnabl (NYU)
Luke Taylor (Wharton)
Venky Venkateswaran (NYU Stern)
Annete Vissing-Jorgensen (Berkeley)
Russ Wermers (Maryland)
Randy Wright (Wisconsin)
Motohiro Yogo (Princeton)