Agenda

Friday, October 11, 2013
Federal Reserve Bank of San Francisco
Phoenix Conference Room, 4th floor

8:00 amContinental Breakfast
   
8:40 amWelcoming Remarks
 

Glenn Rudebusch
Director of Research
Federal Reserve Bank of San Francisco


Morning Session Chair: Simon Kwan, Federal Reserve Bank of San Francisco

8:50 amDynamic Term Structure Models: The Best Way to Enforce the Zero Lower Bound
 

Martin Andreasen
University of Aarhus

Andrew Meldrum (presenter)
Bank of England

Download paper (pdf, 1.1 mb)

Discussion:
Scott Joslin
University of Southern California

9:40 amModeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
 

Jens Christensen (presenter)
Federal Reserve Bank of San Francisco

Glenn Rudebusch
Federal Reserve Bank of San Francisco

Download paper (pdf, 254 kb)

Discussion:
Don Kim
Federal Reserve Board of Governors

10:30 amBreak
   
11:00 amEstimation of Multi-Factor Shadow-Rate Term Structure Models
 

Don Kim
Federal Reserve Board of Governors

Marcel Priebsch (presenter)
Federal Reserve Board of Governors

Download paper (pdf, 563 kb) – updated 10/9/2013

Discussion:
Jens Christensen
Federal Reserve Bank of San Francisco

11:50 amA Model of the Euro-Area Yield Curve with Discrete Policy Rates
 

Jean-Paul Renne
Banque de France

Download paper (pdf, 2.5 mb)

Discussion:
Min Wei
Federal Reserve Board of Governors

12:40 pmLunch
 

Portland A

 

Afternoon Session Chair: Jens Christensen, Federal Reserve Bank of San Francisco

2:00 pmMonetary Policy Expectations at the Zero Lower Bound
 

Michael Bauer (presenter)
Federal Reserve Bank of San Francisco

Glenn Rudebusch
Federal Reserve Bank of San Francisco

Download paper (pdf, 392 kb)

Discussion:
Jonathan Wright
Johns Hopkins University

2:50 pmMeasuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
 

Jing Cynthia Wu (presenter)
Chicago Booth School of Business

Fan Dora Xia
University of California, San Diego

Download paper (pdf, 681 kb) – updated 10/6/2013

Discussion:
Greg Duffee
Johns Hopkins University

3:40 pmBreak
   
4:10 pmLinear-Rational Term Structure Models
 

Damir Filipovic
EPFL and Swiss Finance Institute, Lausanne, Switzerland

Martin Larsson
EPFL and Swiss Finance Institute, Lausanne, Switzerland

Anders Trolle (presenter)
EPFL and Swiss Finance Institute, Lausanne, Switzerland

Download paper (pdf, 667 kb) – updated 10/5/2013

Discussion:
Ken Singleton
Stanford University

5:00 pmReception
 

Portland A

 
7:00 pmAdjourn