Conference on Macro-Finance

On 13-14 December 2018, the Reserve Bank of New Zealand hosted a conference focussing on linkages between financial markets and the macroeconomy, or macro-finance for short.

Organisers

  • Leo Krippner
  • Christie Smith

Programme

Opening remarks

John McDermott (Reserve Bank of New Zealand)

Session 1: Keynote 1

Session Chair: John McDermott

Interest Rate Conundrums in the 21st Century

Download the paper (PDF 607KB)

Presented by: Jonathan Wright (John Hopkins University) - Download the Presentation (PDF 357KB)
Co-authors: Samuel Hanson (Harvard Business School), 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

Download the paper (PDF 1.9MB)

Presented by: Marek Jarocinski (European Central Bank) - Download the Presentation (PDF 1.5MB)
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

Paper withheld on request. Please make contact directly with the author.

Presented by: Leo Krippner (Reserve Bank of New Zealand) - Download the Presentation (PDF 770KB)
Co-authors: Edda Claus (Wilfrid Laurier University), Iris Claus (International Monetary Fund)
Discussant: Marek Jarocinski (European Central Bank)

Session 3: Monetary Policy Shocks & Macroprudential

Session Chair: Karsten Chipeniuk

Measuring Euro Area Monetary Policy

Paper withheld on request. Please make contact directly with the author.

Presented by: Luca Brugnolini (ECB and University of Rome) - Download the Presentation (PDF 385KB)
Co-authors: Carlo Altavilla (ECB), Refet Gurkaynak (Bilkent University), Roberto Motto (ECB), Giuseppe Ragusa (ECB)
Discussant: Daniel Mershon (University of Notre Dame)

The Macroeconomic Effects of Bank Capital Requirement Tightenings: Evidence from a Narrative Approach

Download the paper (PDF 1.1MB)

Presented by: Esteban Prieto (Deutsche Bundesbank) - Download the Presentation (PDF 632KB)
Co-authors: Sandra Eickmeier (Deutsche Bundesbank), 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

Paper and Presentation withheld on request. Please make contact directly with the author.

Presented by: Timo Henckel (Australian National University)
Co-author: Corrado Di Guilmi (University of Technology, Sydney)
Discussant: Karsten Chipeniuk (Reserve Bank of New Zealand)

Why you should use the HP filter at least to generate credit gaps

Download the paper (PDF 741KB)

Presented by: James Yetman (Bank for International Settlements) - Presentation withheld on request. Please make contact directly with the presenter.
Co-author: Mathias Drehmann (Bank for International Settlements)
Discussant: Esteban Prieto (Deutsche Bundesbank)

Session 5: Keynote 2

Session Chair: Leo Krippner

Money and Banking in a New Keynesian Model

Paper not available. Please make contact directly with the author.

Presented by: Monika Piazzesi (Stanford University) - Download the Presentation (PDF 201KB)

Session 6: Foreign Exchange

Session Chair: Anella Munro

Foreign Exchange Interventions, Exchange-Rate Expectations, and Risk Premia

Download the Paper (PDF 1MB)

Presented by: Daniel Mershon (University of Notre Dame) - Download the Presentation (PDF 561KB)
Co-author: Nelson Mark (University of Notre Dame)
Discussant: James Yetman (Bank for International Settlements)

Exchange Rate Is Not Disconnected At All

Paper withheld on request. Please make contact directly with the author.

Presented by: Ippei Fujiwara (Keio University) - Download the Presentation (PDF 229KB)
Co-authors: Yu-Chin Chen (University of Washington), 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

Download the Paper (PDF 497KB)

Presented by: Martin Schneider (Stanford University) - Download the Presentation (PDF 467KB)

Session 8: Monetary Policy

Session Chair: John McDermott

Monetary Policy Transmission and Spillovers in an Open Economy During Normal and Negative Interest Rate Periods

Download the Paper (PDF 6.7MB)

Presented by: Stefan Laseen (Sveriges Riksbank) - Download the Presentation (PDF 1.6MB)
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

Paper withheld on request. Please make contact directly with the author.

Presented by: Prasanna Gai (University of Auckland) - Download the Presentation (PDF 254KB)
Co-authors: Edmund Lou (Motu Economic and Public Policy Research), Sherry Wu (University of Auckland)
Discussant: Fang Yao (Reserve Bank of New Zealand)

Closing Remarks

Adrian Orr (Reserve Bank of New Zealand