| 8.00 - 8.55 |
Registration and Continental Breakfast
Note that all sessions will take place at the Bank of Canada, in the Conference Centre. To enter the Bank, please use the entrance to the Bank of Canada Museum, located at 30 Bank Street (corner of Bank and Wellington Streets) and bring a piece of government-approved photo identification. |
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| 8.55 - 9.10 |
Opening Remarks by Carolyn Wilkins (Bank of Canada) |
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| 9.10 _- 12.00 |
Morning Session: PRIMARY AND SECONDARY MARKETS FOR SOVEREIGN DEBT |
| 9.10 _- 10.00 |
An Index of Treasury Market Liquidity: 1991-2017
Tobias Adrian (International Monetary Fund)
Michael Fleming (Federal Reserve Bank of New York)
Erik Vogt (Citadel LLC)
Discussant: Michael Schneider (Deutsche Bundesbank and Scuola Normale Superiore, Pisa)
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| 10.00 _- 10.10 |
Refreshment Break
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| 10.10 _- 11.00 |
Special Repo Rates and the Cross-Section of Bond Prices
Stefania D’Amico (Federal Reserve Bank of Chicago)
N. Aaron Pancost (University of Texas at Austin – McCombs School of Business)
Discussant: Krista Schwarz (Wharton School of Business, University of Pennsylvania)
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| 11.00 - 11.10 |
Refreshment Break
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| 11.10 _- 12.00 |
The Liquidity and Welfare Implications of the Securities Lending Market for European Treasuries
Zsuzsa R. Huszár (National University of Singapore)
Zorka Simon (Sustainable Architecture for Finance in Europe, Goethe University Frankfurt)
Discussant: Alexander Eisl (WU Vienna University of Economics and Business)
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| 12.00 - 13.30 |
Lunch
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| 13.30 - 17.15 |
Afternoon Session: CENTRAL BANK INTERVENTION IN SOVEREIGN BOND MARKETS |
| 13.40 _- 14.30 |
Central Bank–Driven Mispricing
Loriana Pelizzon (Sustainable Architecture for Finance in Europe, Goethe University Frankfurt)
Marti Subrahmanyam (New York University Stern School of Business)
Davide Tomio (Copenhagen Business School)
Jun Uno (Waseda University)
Discussant: Christopher Neely (Federal Reserve Bank of St. Louis)
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| 14.30 _- 15.20 |
Central Bank Policy Announcement and Changes in Investment Behavior: Evidence from Micro Data in Bond Futures Markets
Koichiro Kamada (Bank of Japan)
Tetsuo Kurosaki (Bank of Japan)
Ko Miura (Bank of Japan)
Tetsuya Yamada (Bank of Japan)
Discussant: Fabio Moneta (Smith School of Business, Queen’s University)
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| 15.20 - 15.35 |
Refreshment Break
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| 15.35 _- 16.25 |
Flow Effects of Central Bank Asset Purchases on Euro Area Sovereign Bond Yields: Evidence from a Natural Experiment
Roberto De Santis (European Central Bank)
Fédéric Holm-Hadulla (European Central Bank)
Discussant: Clara Vega (Board of Governors of the Federal Reserve System)
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| 16.25 - 17.15 |
Quantitative Easing and Long-Term Yields in Small Open Economies
Antonio Díez de los Ríos (Bank of Canada)
Christopher Evans (Universitat Pompeu Fabra)
Maral Shamloo (International Monetary Fund)
Discussant: Patrick Augustin (McGill University)
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| 17.45 - 18.15 |
Cocktail Reception
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| 18.15 |
DINNER (by invitation only)
Bank of Canada, Noël Terrace, entrance via the East Tower Lobby (corner of Sparks and Bank Streets)
Keynote address
Jean-Pierre Danthine (Paris School of Economics) |
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| 8.00 - 9.00 |
Continental Breakfast
Note that all sessions will take place at the Bank of Canada, in the Conference Centre. To enter the Bank, please use the entrance to the Bank of Canada Museum, located at 30 Bank Street (corner of Bank and Wellington Streets) and bring a piece of government-approved photo identification.
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| 9.00 _- 11.50 |
Morning Session: SAFE ASSETS AND PORTFOLIO REBALANCING |
| 9.00 _- 9.50 |
Safe Assets, Collateralized Lending and Monetary Policy
Moritz Lenel (Princeton University)
Discussant: Stephen Williamson (University of Western Ontario)
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| 9.50 - 10.00 |
Refreshment Break
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| 10.00 _- 10.50 |
International Capital Flows at the Security Level – Evidence from the ECB's Asset Purchase Programme
Katharina Bergant (European Central Bank)
Michael Fidora (European Central Bank)
Martin Schmitz (European Central Bank)
Discussant: Michael Bauer (Federal Reserve Bank of San Francisco)
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| 10.50 - 11.00 |
Refreshment Break
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| 11.00 _- 11.50 |
Safe Asset Shortages: Evidence from the European Government Bond Lending Market
Reena Aggarwal (Georgetown University)
Jennie Bai (Georgetown University)
Luc Laeven (European Central Bank)
Discussant: Jean-Sébastien Fontaine (Bank of Canada)
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| 11.50 - 12.00 |
Refreshment Break
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| 12.00 - 13.15 |
Panel discussion
Moderator: Marti Subrahmanyam (New York University Stern School of Business) |
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- Thorsten Meyer Larsen (Danmarks Nationalbank)
- Fred Pietrangeli (US Treasury)
- Jessica Pulay (UK Debt Management Office)
- Pablo de Ramón-Laca Clasen (Spanish Treasury)
- Thomas Weinberg (Deutsche Finanzagentur)
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| 13.15 - 13.30 |
Closing Remarks by Sharon Kozicki (Bank of Canada)
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| 13.30 - 14.30 |
Lunch and End of Coference
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