Thursday, October 17, 2019 – Friday, October 18, 2019
Federal Reserve Bank of San Francisco
101 Market Street
San Francisco, CA94105
Thursday, October 17
Welcome Remarks
Sharon Kozicki, Bank of Canada
Session 1: Safe Assets
The Risks of Safe Assets
Yang Liu, University of Hong Kong
Lukas Schmid, Duke University, Fuqua School of Business
Amir Yaron, Bank of Israel and Wharton School of Business
Discussant: Sebastian Infante, Federal Reserve Board of Governors
Download paper (pdf, 362 kb)
Safe Asset Carry Trade
Benedikt Ballensiefen, University of St. Gallen and World Bank
Angelo Ranaldo, University of St. Gallen and Swiss Finance Institute
Discussant: Robert Ready, University of Oregon, Lundquist College of Business
Download paper (pdf, 1.1 mb)
Session 2: Supply and Demand for Government Debt
Fiscal Limits and Sovereign Credit Spreads
Kevin Pallara, University of Lausanne
Jean-Paul Renne, University of Lausanne
Discussant: Francis Longstaff, UCLA Anderson School of Management
Download paper (pdf, 570 kb)
Duration Effects in Macro-Finance Models of the Term Structure
Thomas King, Federal Reserve Bank of Chicago
Discussant: Michael Gallmeyer, University of Virginia, McIntire School of Commerce
Download paper (pdf, 914 kb)
Session 3: Financial Intermediation
Monetary Policy, Redistribution, and Risk Premia
Rohan Kekre, University of Chicago, Booth School of Business
Moritz Lenel, Princeton University
Discussant: Zhiguo He, University of Chicago, Booth School of Business
Download paper (pdf, 1.1 mb)
Financial Intermediaries and the Yield Curve
Andrés Schneider, Federal Reserve Board of Governors
Discussant: James Hamilton, UCSD
Download paper (pdf, 253 kb)
Session 4: Changes in Yield Curve Dynamics
The Excess Sensitivity of Long-Term Rates: A Tale of Two Frequencies
Samuel Hanson, Harvard Business School
David Lucca, Federal Reserve Bank of New York
Jonathan Wright, Johns Hopkins University
Discussant: Kenneth Singleton, Stanford Graduate School of Business
Download paper (pdf, 1.3 mb)
Bond Return Predictability at the Zero Lower Bound: A New Shadow Rate Model
Martin Andreasen, Aarhus University
Kasper Jorgensen, Federal Reserve Board of Governors
Andrew Meldrum, Federal Reserve Board of Governors
Discussant: Gregory Duffee, Johns Hopkins University
Download paper (pdf, 450 kb)
Keynote Address
Introduction: Sylvain Leduc, Federal Reserve Bank of San Francisco
Speaker: Darrell Duffie, Stanford Graduate School of Business
Friday, October 18
Session 5: Repo Markets and Quantitative Easing
The Scarcity Effect of QE on Repo Rates: Evidence from the Euro Area
William Arrata, Banque de France
Benoît Nguyen, Banque de France
Imene Rahmouni-Rousseau, Banque de France
Miklos Vari, International Monetary Fund
Discussant: Stefania D’Amico, Federal Reserve Bank of Chicago
Download paper (pdf, 1.1 mb)
Repo Specialness in the Transmission of Quantitative Easing
Hee Su Roh, Stanford Graduate School of Business
Discussant: Pierre-Olivier Weill, UCLA
Download paper (pdf, 3 mb)
Session 6: Exchange Rates and International Bond Markets
International Yield Curves and Currency Puzzles
Mikhail Chernov, UCLA Anderson School of Management
Drew Creal, University of Notre Dame
Discussant: Hanno Lustig, Stanford Graduate School of Business
Download paper (pdf, 626 kb)
Are Intermediary Constraints Priced?
Wenxin Du, University of Chicago
Benjamin Hébert, Stanford University and NBER
Amy Wang, Stanford University
Discussant: Nina Boyarchenko, Federal Reserve Bank of New York
Download paper (pdf, 2 mb)
Closing Remarks
Glenn Rudebusch, Federal Reserve Bank of San Francisco
Program Committee:
Antonio Diez de los Rios, Bank of Canada
Jean-Sébastien Fontaine, Bank of Canada
Michael Bauer, Federal Reserve Bank of San Francisco
Jens Christensen, Federal Reserve Bank of San Francisco