Sponsored by:


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 14th 2016

8:30 – 9:30 Breakfast
9:30 – 11:10 Session 1: Market (and Real) Inefficiencies.
Chair: Urban Jermann (Wharton)

Deviations from Covered Interest Rate Parity.
Wenxin Du (Federal Reserve Board) , Alexander Tepper (Federal Reserve Bank of New York) and Adrien Verdelhan (MIT)
Discussant: Charles Engel (University of Wisconsin)

Real Anomalies: Are Financial Markets a Sideshow?
Christian Opp (Wharton) and Jules van Binsbergen (Wharton))
Discussant: Thomas Philippon (NYU Stern)
11:10 – 11:30 Break
11:30 – 13:10 Session 2: Information and Trading
Chair: Douglas Gale (NYU)

Efficiency and Information Transmission in Bilateral Trading
Robert Shimer (University of Chicago) and Ivan Werning (MIT)
Discussant: Ali Shourideh (Carnegie Mellon)

High Frequency Trading and Fragility
Giovanni Cespa (Cass Business School) and Xavier Vives (IESE Business School)
Discussant: Pete Kyle (University of Maryland)
13:10 – 14:30 Lunch
14:30 – 17:20 Session 3: Risk in Financial Institutions
Chair: Todd Keister (Rutgers)

Why does fast loan growth predict poor performance for banks?
Rüdiger Fahlenbrach (Swiss Finance Institute at EPFL), Robert Prilmeier (Tulane University) and Rene Stulz (Ohio State University)
Discussant: Egon Zakrajsek (Federal Reserve Board)

Risk Management in Financial Institutions
Adriano Rampini (Duke University), Vish Viswanathan (Duke University) and Guillaume Vuillemey (HEC Paris)
Discussant: Juliane Begenau (Harvard)
The Collateral Trap
Frederic Boissay (Bank for International Settlements) and Russell Cooper (Penn State)
Discussant: Ricardo Caballero (MIT)
17:20 – 19:00 Drinks & hors-d’oeuvres
19:00 Dinner – Credit Surfaces, Leverage Cycles, and Doom Triangles
Speaker: John Geanakoplos

Saturday, October 15th 2016

7:30 – 8:30 Breakfast
8:30 – 10:10 Session 4: International Financial Markets
Chair: Alessandro Dovis (UPenn)

Self-Fulfilling Debt Crises, Revisited: The Art of the Desperate Deal
Mark Aguiar (Princeton), Satyajit Chatterjee (Federal Reserve Bank of Philadelphia), Harold Cole (UPenn) and Zachary Stangebye (University of Notre Dame)
Discussant: Giancarlo Corsetti (University of Cambridge)

A Model of the International Monetary System
Emmanuel Farhi (Harvard) and Matteo Maggiori (Harvard)
Discussant: Guillermo Calvo (Columbia)
10:10 – 10:30 Break
10:30 – 12:10 Session 5: Asset Management and Financial Fragility
Chair: Itamar Drechsler (NYU)

A Dynamic Theory of Mutual Fund Runs and Liquidity Management
Yao Zeng (University of Washington)
Discussant: Laura Veldkamp (NYU Stern)

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
Sergey Chernenko (The Ohio State University) and Adi Sunderam (Harvard)
Discussant: Russ Wermers (University of Maryland)
12:10 – 13:10 Lunch
13:10 – 16:00 Session 6: Intervention, Regulation, and Supervision
Chair: Loretta Mester (President, Federal Reserve Bank of Cleveland)

Intervention Policy in a Dynamic Environment: Coordination and Learning
Will Cong (University of Chicago), Steven Grenadier (Stanford) and Yunzhi Hu (University of Chicago)
Discussant: Stephen Morris (Princeton)

The Welfare Effects of Bank Liquidity and Capital Requirements
Skander Van den Heuvel (European Central Bank)
Discussant: Gary Gorton (Yale)
The Economics of Bank Supervision
Thomas Eisenbach (Federal Reserve Bank of New York), David Lucca (Federal Reserve Bank of New York) and Robert Townsend (MIT)
Discussant: Xavier Freixas (Universitat Pompeu Fabra)
16:00 Adjourn

Program Committee

Stijn Claessens (Federal Reserve Board)
Itamar Drechsler (NYU)
Huberto Ennis (Richmond Fed)
Nicolae Garleanu (Berkeley)
Vincent Glode (Wharton)
Gary Gorton (Yale)
Zhiguo He (Chicago)
Jakub Kastl (Princeton)
Todd Keister (Rutgers)
Pablo Kurlat (Stanford)
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)
Randy Wright (Wisconsin)
Motohiro Yogo (Princeton)