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 |
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| 8:30 – 9:30 | Breakfast |
| 9:30 – 11:10 | Session 1: Market (and Real) Inefficiencies. Chair: Urban Jermann (Wharton) |
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Deviations from Covered Interest Rate Parity. |
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| Real Anomalies: Are Financial Markets a Sideshow? Christian Opp (Wharton) and Jules van Binsbergen (Wharton)) Discussant: Thomas Philippon (NYU Stern) |
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| 11:10 – 11:30 | Break |
| 11:30 – 13:10 | Session 2: Information and Trading Chair: Douglas Gale (NYU) |
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Efficiency and Information Transmission in Bilateral Trading |
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| High Frequency Trading and Fragility Giovanni Cespa (Cass Business School) and Xavier Vives (IESE Business School) Discussant: Pete Kyle (University of Maryland) |
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| 13:10 – 14:30 | Lunch |
| 14:30 – 17:20 | Session 3: Risk in Financial Institutions Chair: Todd Keister (Rutgers) |
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Why does fast loan growth predict poor performance for banks? |
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| Risk Management in Financial Institutions Adriano Rampini (Duke University), Vish Viswanathan (Duke University) and Guillaume Vuillemey (HEC Paris) Discussant: Juliane Begenau (Harvard) |
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| The Collateral Trap Frederic Boissay (Bank for International Settlements) and Russell Cooper (Penn State) Discussant: Ricardo Caballero (MIT) |
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| 17:20 – 19:00 | Drinks & hors-d’oeuvres |
| 19:00 | Dinner – Credit Surfaces, Leverage Cycles, and Doom Triangles Speaker: John Geanakoplos (Yale) |
Saturday, October 15th 2016 |
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| 7:30 – 8:30 | Breakfast |
| 8:30 – 10:10 | Session 4: International Financial Markets Chair: Alessandro Dovis (UPenn) |
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Self-Fulfilling Debt Crises, Revisited: The Art of the Desperate Deal |
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| A Model of the International Monetary System Emmanuel Farhi (Harvard) and Matteo Maggiori (Harvard) Discussant: Guillermo Calvo (Columbia) |
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| 10:10 – 10:30 | Break |
| 10:30 – 12:10 | Session 5: Asset Management and Financial Fragility Chair: Itamar Drechsler (NYU) |
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A Dynamic Theory of Mutual Fund Runs and Liquidity Management |
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| 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) |
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| 12:10 – 13:10 | Lunch |
| 13:10 – 16:00 | Session 6: Intervention, Regulation, and Supervision Chair: Loretta Mester (President, Federal Reserve Bank of Cleveland) |
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Intervention Policy in a Dynamic Environment: Coordination and Learning |
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| The Welfare Effects of Bank Liquidity and Capital Requirements Skander Van den Heuvel (European Central Bank) Discussant: Gary Gorton (Yale) |
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| 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) |
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| 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)