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Conference on macro-finance 2018

On 13–14 December 2018, we hosted a conference focusing on linkages between financial markets and the macroeconomy, or macro-finance for short.

Past Event
Wellington, New Zealand


Session 1: Keynote 1

Session chair: John McDermott (Reserve Bank of New Zealand)

Interest rate conundrums in the 21st century
Presented by: Jonathan Wright (John Hopkins University)
Co-authors: Samuel Hanson (Harvard Business School) and David Lucca (Federal Reserve Bank of New York)

Session 2: Monetary policy shocks

Session chair: Ozer Karagedikli

Deconstructing monetary policy surprises: The role of information shocks
Presented by: Marek Jarocinski (European Central Bank)
Co-authors: Peter Karadi (European Central Bank)
Discussant: Luca Brugnolini (ECB and University of Rome)

Asset market responses to conventional and unconventional monetary policy shocks in the United States
Presented by: Leo Krippner (Reserve Bank of New Zealand)
Co-authors: Edda Claus (Wilfrid Laurier University) and Iris Claus (International Monetary Fund)
Discussant: Marek Jarocinski (European Central Bank)

Session 3: Monetary policy shocks and macroprudential

Session chair: Karsten Chipeniuk

Measuring euro area monetary policy
Presented by: Luca Brugnolini (ECB and University of Rome)
Co-authors: Carlo Altavilla (ECB), Refet Gurkaynak (Bilkent University), Roberto Motto (ECB) and Giuseppe Ragusa (ECB)
Discussant: Daniel Mershon (University of Notre Dame)

The macroeconomic effects of bank capital requirement tightenings: Evidence from a narrative approach
Presented by: Esteban Prieto (Deutsche Bundesbank)
Co-authors: Sandra Eickmeier (Deutsche Bundesbank) and Benedikt Kolb (European University Institute)
Discussant: Stefan Laseen (Sveriges Riksbank)

Session 4: Macroprudential

Session chair: Fan Yao

Boom-bust business cycle model with search-for-yield and heterogeneous expectations in the bond market
Presented by: Timo Henckel (Australian National University)
Co-author: Corrado Di Guilmi (University of Technology, Sydney)
Discussant: Karsten Chipeniuk (Reserve Bank of New Zealand)

  • Paper and presentation withheld on request. Please contact the author for access.

Why you should use the HP filter at least to generate credit gaps
Presented by: James Yetman (Bank for International Settlements)
Co-author: Mathias Drehmann (Bank for International Settlements)
Discussant: Esteban Prieto (Deutsche Bundesbank)

  • Download the paper (PDF 741 KB)
  • Presentation withheld on request. Please contact the author for access.

Session 5: Keynote 2

Session chair: Leo Krippner

Money and banking in a New Keynesian model
Presented by: Monika Piazzesi (Stanford University)

Session 6: Foreign exchange

Session chair: Anella Munro

Foreign exchange interventions, exchange-rate expectations and risk premia
Presented by: Daniel Mershon (University of Notre Dame)
Co-author: Nelson Mark (University of Notre Dame)
Discussant: James Yetman (Bank for International Settlements)

Exchange rate is not disconnected at all
Presented by: Ippei Fujiwara (Keio University)
Co-authors: Yu-Chin Chen (University of Washington) and Yasuo Hirose (Keio University)
Discussant: Prasanna Gai (University of Auckland)

Session 7: Keynote 3

Session chair: Christie Smith

The short rate disconnect in a monetary economy
Presented by: Martin Schneider (Stanford University)

Session 8: Monetary policy

Session chair: John McDermott

Monetary policy transmission and spillovers in an open economy during normal and negative interest rate periods
Presented by: Stefan Laseen (Sveriges Riksbank)
Co-author: Rafael De Rezende (Sveriges Riksbank)
Discussant: Ozer Karagedikli (Reserve Bank of New Zealand)

Market-friendly central bankers and the signal value of prices
Presented by: Prasanna Gai (University of Auckland)
Co-authors: Edmund Lou (Motu Economic and Public Policy Research) and Sherry Wu (University of Auckland)
Discussant: Fang Yao (Reserve Bank of New Zealand)