The Yield Curve and New Developments in Macro-finance:
What have we learnt from the 2007-2010 financial crises?

Clare College
University of Cambridge

"The Yield Curve and New Developments in Macro-Finance: What have we learnt from the 2007-2010 financial crises?"
Cambridge, 1-2 September 2011

The Centre for International Macroeconomics and Finance (University of Cambridge), the IÉSEG-School of Management (Lille Catholic University) and the Money, Macro Finance Group organised this academic conference to tackle issues related to recent developments in links between macroeconomics and financial markets, with special emphasis on the yield curve. One of the aims of this 2-day conference was to offer the opportunity to exchange views between experts as regards the possible implications of the lessons from the recent financial crisis on research in macro-finance. This conference was also sponsored by the European Central Bank.

Conference Programme

Thursday, 1 September 2011

Garden Room
Registration and welcome coffee: 8.30 a.m. - 9.00 a.m.

Riley Auditorium
Welcome address: 9.00 a.m. - 9.15 a.m.

Keynote speech
"Tail risks and contract design from a financial stability perspective"
Paul Fisher
, Bank of England

Session 1: 9.15 a.m. - 11.00 a.m.

A Term Structure Model for Defaultable European Sovereign Bonds
Paper by Priscilla Burity, Pontifical Catholic University of Rio de Jainero
Discussion by Michael Dempster, University of Cambridge

Garden Room
Coffee break: 11.00 a.m. - 11.30 a.m.

Riley Auditorium
Session 2: 11.30 a.m. - 12.15

Credit and liquidity Risks in euro-area Sovereign Yield Curves
Paper by Jean-Paul Renne, Banque de France
Discussion by John Fender, University of Birmingham

Session 3: 12.15 p.m. - 1.00 p.m.

“Macroeconomic Uncertainty, Differences in Belief, and Bond Risk Premia”
Paper by Paul Whelan, Imperial College Business School
Discussion by Eric Dor, IESEG-School of Management

Garden Room
Buffet lunch: 1.00 p.m. - 2.30 p.m.

Session 4: 2.30 p.m. - 3.15 p.m.

Expected inflation, inflation risk premium and the term structure of macroeconomic announcements in the euro area and in the United States
Paper by Marcello Pericoli, Banca d’Italia
Discussion by Paul Mizen, University of Nottingham

Session 5: 3.15 p.m. - 4.00 p.m.

Inflation risks and inflation risk premia
Paper by Thomas Werner, European Central Bank
Discussion by James Steeley, Aston Business School

Garden Room
Coffee break: 4.00 p.m. - 4.30 p.m.

Riley Auditorium
Keynote speech: 4.30 p.m. - 5.30 p.m.
"Is the long-term interest rate a policy victim, a policy variable or a policy lodestar?"
Philip Turner, Bank for International Settlements

Scholar’s Garden
Reception: 7.00 p.m.
Great Hall
Conference dinner

Friday, 2 September 2011

Garden Room
Registration and welcome coffee: 8.30 a.m. - 9.00 a.m.

Riley Auditorium
Keynote speech: 9.00 a.m. - 10.00 a.m.
"Four Questions about Monetary Policy Prompted by the Crisis"
Glenn Rudebusch, Federal Reserve Bank of San Francisco

Session 6: 10.00 a.m. - 10.45 a.m.

Fed Funds futures and the Federal Reserve
Paper by Jean-Sébastien Fontaine, Bank of Canada
Discussion by Peter Smith, University of York

Garden Room
Coffee break: 10.00 a.m. - 10.45 a.m.

Riley Auditorium
Session 7: 11.15 a.m. - 12.00 a.m.

Arbitrage, liquidity and exit: The repo and federal fund markets before, during, and after the financial crisis
Paper by Viktors Stebunovs, Federal Reserve Board
Discussion by Giorgio Valente, University of Essex

Session 8: 12.00 p.m. - 12.45 p.m.

How the Central Bank Talks to the Market: A Story from Switzerland
Paper by Yvan Lengwiler, University of Basel
Discussion by Rodrigo Guimares, Bank of England

Garden Room
Buffet lunch: 12.45 p.m. - 2.00 p.m.

Riley Auditorium
Session 9: 2.00 p.m. - 2.45 p.m.

An Extended Macro-Finance Model with Financial Factors
Paper by Hans Dewachter, National Bank of Belgium and University of Leuven
Discussion by Peter Spencer, University of York

Session 10: 2.45 p.m. - 3.30 p.m.

Fiscal shocks, public debt, and long-term interest rate dynamics
Paper by Simone Salotti, National University of Galway
Discussion by Elisa Faraglia, University of Cambridge

Garden Room
Coffee break: 3.30 p.m. - 4.00 p.m.

Riley Auditorium
Keynote speech: 4.00 p.m. - 5.00 p.m.
"The Euro Area Debt Crisis and Sovereign Bond Spread"
Frank Smets, European Central Bank

Riley Auditorium
Concluding remarks: 5.00 p.m. - 5.30 p.m.