Friday, October 17, 2014

Agenda download (pdf, 890 kb)

Friday, October 17

8:00 a.m. – 8:45 a.m. Continental breakfast at FRB-SF
8:45 a.m. – 8:55 a.m. Welcoming Remarks

John C. Williams, President and Chief Executive Officer, Federal Reserve Bank of San Francisco

Authors 25 minutes, Discussants 15 minutes, Audience comments 20 minutes

8:55 a.m. – 9:55 a.m. Origins of Stock Market Fluctuations

Daniel L. Greenwald (NYU)
Martin Lettau (UC Berkeley, CEPR and NBER)
Sydney C. Ludvigson (NYU and NBER)

Discussant: Bryan Kelly (Chicago Booth)

Download paper (pdf, 688 kb)

9:55 a.m. – 10:15 a.m. Break


10:15 a.m. – 11:15 a.m. Climbing and Falling Off the Ladder: Asset Pricing Implications of Labor Market Event Risk

Lawrence Schmidt (UC San Diego)

Discussant: Francois Gourio (FRB Chicago)

Download paper (pdf, 877 kb)
Download discussion presentation (pdf, 340 kb)

11:15 a.m. – 12:15 p.m. Keynote Talk

Kenneth J. Singleton (Adams Distinguished Professor of Management, Stanford Graduate School of Business)

12:15 p.m. – 1:30 p.m. Lunch
1:30 p.m. – 2:30 p.m. The Macroeconomics of Shadow Banking

Alan Moreira (Yale University School of Management)
Alexi Savov (NYU Stern School of Business and NBER)

Discussant: Ariel Zetlin-Jones (Carnegie Mellon University)

Download paper (pdf, 691 kb)

2:30 p.m. – 2:50 p.m Break
2:50 p.m – 3:50 p.m. The Price of Variance Risk

Ian Dew-Becker (Northwestern Kellogg)
Stefano Giglio (Chicago Booth)
Anh Le (UNC Kenan-Flagler)
Marius Rodriguez (Federal Reserve Board)

Discussant: Nick Bloom (Stanford)

Download discussion presentation (pdf, 1.6 mb)

3:50 p.m – 4:50 p.m. Forward and Spot Exchange Rates in a Multi-Currency World

Tarek A. Hassan (University of Chicago Booth School of Business, NBER and CEPR)
Rui C. Mano (International Monetary Fund)

Discussant: Adrien Verdelhan (MIT Sloan)

Workshop Organizers

Andrea Eisfeldt, Nicolas Petrosky-Nadeau, Eric Swanson