ECB Conference on Money Markets
Monday, 8 and Tuesday, 9 November 2021
Online event
The ECB’s annual conference on money markets brings together academics, market practitioners and central bankers to discuss the key developments in money markets, monetary policy implementation and central bank operational frameworks. Through a combination of research presentations, keynote speeches and insights from market participants, the workshop explores how efficient transmission of monetary policy can be ensured in the current money market environment.
Programme
Times are Central European Time (UTC+1)
* indicates the presenter
- 14:00
-
Conference Chair: welcome and housekeeping
Luc Laeven, Director General Research, European Central Bank
- 14:10
-
Welcome address
Philip Lane, Member of the Executive Board, European Central Bank
- 14:30
-
Session 1 – Non-banks and the lender of last resort
Chair: Luc Laeven, Director General Research, European Central Bank
-
Do non-banks need access to the lender of last resort? Evidence from fund runs
Johannes Breckenfelder and Marie Hoerova*, European Central Bank; Niklas Grimm, Columbia University
Discussant: Yiming Ma, Columbia University
-
Liquidity restrictions, runs and central bank interventions – evidence from money market funds
Lei Li*, Yi Li, Marco Macchiavelli and Xing (Alex) Zhou, all from Federal Reserve Board
Discussant: Marcin Kacperczyk, Imperial College London
- 16:00
- Coffee break
- 16:05
Keynote address
Chair: Florian Heider, Head of Section, Financial Market Research, European Central Bank
-
Central bank digital currency design: the interest rate-vs-convenience frontier
Haoxiang Zhu, Gordon Y Billard Professor of Management and Finance, MIT Sloan School of Management
- 16:50
- Coffee break
- 16:55
-
Session 2 – Funding markets
Chair: Angela Maddaloni, Head of Section, Financial Intermediation Research, European Central Bank
Hedge funds and the treasury cash-futures disconnect
Daniel Barth, Federal Reserve Board; Jay Kahn*, Office for Financial Research, US Department of the Treasury
Discussant: Loriana Pelizzon, Goethe University
-
The paradox of conservative haircuts
Dmitry Chebotarev, Insead
Discussant: Wenqian Huang, Bank for International Settlements
- 18:25
-
End of first conference day
- 14:00
-
Session 3 – Demand for central bank reserves
Chair: Tobias Linzert, Head of Section, Policy Assessment, European Central Bank
-
Scarce, abundant or ample? A time-varying model of the reserve demand curve
Gara Afonso, Gabriele La Spada* and John C. Williams, all from Federal Reserve Bank of New York; Domenico Giannone, Amazon
Discussant: Huberto Ennis, Federal Reserve Bank of Richmond
-
How do banks manage liquidity? Evidence from the ECB’s tiering experiment
Luca Baldo, Banca d'Italia; Florian Heider, Peter Hoffmann, Jean-David Sigaux* and Olivier Vergote, all from European Central Bank
Discussant: Vasso Ioannidou, Professor of Finance, Bayes Business School (formerly Cass), University of London
- 15:30
- Coffee break
- 15:35
-
Market participants panel
Chair: Thomas Vlassopoulos, Deputy Director General Market Operations, European Central Bank
Panellists:
- Corentine Poilvet-Clediere, Head of RepoClear, Collateral and Liquidity Management, LCH SA Paris
- Simon Potter, Vice-Chair FIC Millennium Hedge Fund, former head of the Markets Group and the System Open Market Account at Federal Reserve New York
- Bineet Shah, Managing Director, Treasury Funding & Investments, Barclays, London
- Agathe Zinzindohoue, Société Générale, SG Group Treasurer
- 16:35
- Coffee break
- 16:40
-
Session 4 – Payments
Chair: Helmut Wacket, Head of Money Market and Liquidity Division, European Central Bank
-
Money creation in decentralised finance: a dynamic model of stablecoins and crypto shadow banking
Ye Li*, Ohio State University; Simon Mayer, Erasmus University Rotterdam
Discussant: Jean-Charles Rochet, University of Zurich
-
Strategic complementarities in the payment system in the era of ample reserves
Gara Afonso*, Federal Reserve Bank of New York; Darrell Duffie and Lorenzo Rigon, Stanford University; Hyun Song Shin, Bank for International Settlements
Discussant: Christine Parlour, University of California, Berkeley
- 18:10
-
Wrap-up of conference
Katrin Assenmacher, Head of Division, Monetary Policy Strategy, European Central Bank
- 18:20
- End of conference
Audiovisual notice: Images and video recordings may be published online
Please note that this programme may be subject to change without notice.
General information
Venue
Online event. Please contact mmworkshop@ecb.int for registration details. Places are limited.
Conference language
English
Organising committee
- María Encío, Money Market and Liquidity Division
- Peter Hoffmann, Financial Research Division
- Danielle Kedan, Monetary Policy Strategy Division
- Sebastian Weber, Market Operations Analysis Division
Contacts
Peter Hoffmann
Peter.Hoffmann@ecb.europa.eu
Britta Bertram
mmworkshop@ecb.int