Thursday, May 22, 2025 – Friday, May 23, 2025
Federal Reserve Bank of San Francisco
San Francisco, CA
Financial ConditionsFinancial MarketsInterest RatesMonetary PolicyU.S. Treasury Markets
Thursday, May 22
Welcome Remarks
Speaker:
Sylvain Leduc, Federal Reserve Bank of San Francisco
Session 1: FX and Covered Interest Parity
Chair:
Thomas King, Federal Reserve Bank of Chicago
Demand-Driven Risk Premia in FX and Bond Markets
Authors:
Ingomar Krohn, Bank of Canada
Download Paper (Krohn) (pdf, 2 mb)
Download Slides (Krohn) (pdf, 1 mb)
Andreas Uthemann, Bank of Canada
Rishi Vala, Bank of Canada
Jun Yang, Bank of Canada
Discussant:
Walker Ray, Federal Reserve Bank of Chicago
Download Slides (Ray) (pdf, 53 kb)
FX Dealer Constraints and External Imbalances
Authors:
Jantke de Boer, Ruhr University Bochum
Download Paper (de Boer) (pdf, 1 mb)
Download Slides (de Boer) (pdf, 1 mb)
Stefan Eichler, TU Dresden
Discussant:
Steven J. Riddiough, University of Toronto
Download Slides (Riddiough) (pdf, 4 mb)
Session 2: Risk-Bearing Capacity in Bond Markets
Chair:
Michael Bauer, Federal Reserve Bank of San Francisco
Reaching for Duration and Leverage in the Treasury Market
Authors:
Daniel Barth, Federal Reserve Board
R. Jay Kahn, Federal Reserve Board
Download Paper (Kahn) (pdf, 1 mb)
Download Slides (Kahn) (pdf, 597 kb)
Phillip Monin, Federal Reserve Board
Oleg Sokolinskiy, Federal Reserve Board
Discussant:
Mathias Kronlund, University of Illinois at Urbana-Champaign
Download Slides (Kronlund) (pdf, 1 mb)
The Effect of Primary Dealer Constraints on Intermediation in the Treasury Market
Authors:
Falk Brauning, Federal Reserve Bank of Boston
Download Slides (Brauning) (pdf, 1 mb)
Hillary Stein, Federal Reserve Bank of Boston
Discussant:
Discussant: Robert Czech, Bank of England
Keynote Address
Balance Sheet Policy above the Effective Lower Bound
Speaker:
Annette Vissing-Joergensen, Federal Reserve Board
Download Paper (Vissing-Joergensen) (pdf, 2 mb)
Session 3: Long-Run Trends and r*
Chair:
Jens Christensen, Federal Reserve Bank of San Francisco
Treasury Auctions and Long-Term Bond Yields
Authors:
Fabricius Somogyi, Northeastern University
Download Paper (Somogyi) (pdf, 3 mb)
Download Slides (Somogyi) (pdf, 4 mb)
Jonathan Wallen, Harvard Business School
Lingdi Xu, Harvard University
Discussant:
Gregory Duffee, Johns Hopkins University
Download Slides (Duffee) (pdf, 245 kb)
Monetary Policy along the Yield Curve: Why Can Central Banks Affect Long-Term Real Rates?
Authors:
Paul Beaudry, University of British Columbia
Paolo Cavallino, Bank for International Settlements
Tim Willems, Bank of England
Download Paper (Willems) (pdf,1 mb)
Download Slides (Willems) (pdf, 469 kb)
Discussant:
Min Wei, Federal Reserve Board
Download Slides (Wei) (pdf, 834 kb)
Session 4: Transmission of Monetary Policy
Chair:
Michael Bauer, Federal Reserve Bank of San Francisco
Dissecting Bond Market Transmission of Monetary Policy
Authors:
Chuck Fang, Drexel University
Download Paper (Fang) (pdf, 7 mb)
Download Slides (Fang) (pdf, 6 mb)
Kairong Xiao, Columbia University
Discussant:
Daniel Greenwald, Columbia University
Download Slides (Greenwald) (pdf, 206 kb)
Long Rates, Life Insurers, and Credit Spreads
Author:
Ziang Li, Imperial College London
Download Paper (Li) (pdf, 1 mb)
Download Slides (Li) (pdf, 199 kb)
Discussant:
Kristy Jansen, University of Southern California
Friday, May 23
Session 5: Treasury Demand Systems
Chair:
Jena-Sebastien Fontaine, Bank of Canada
Granular Treasury Demand with Arbitrageurs
Authors:
Kristy Jansen, University of Southern California
Download Slides (Jansen) (pdf, 374 kb)
Wenhao Li, University of Southern California
Download Paper (Li) (pdf, 996 kb)
Download Slides (Li) (pdf, 564 kb)
Lukas Schmid, University of Southern California
Discussant:
William Diamond, University of Southern California
Download Slides (Diamond) (pdf, 724 kb)
The Demand for Government Debt
Authors:
Egemen Eren, Bank for International Settlements
Andreas Schrimpf, Bank for International Settlements
Fan Dora Xia, Bank for International Settlements
Discussant:
Emil Siriwardane, Harvard Business School
Session 6: Financial Market Intermediation and Dealers
Chair:
Stefania D’Amico, Federal Reserve Bank of New York
Banks’ Balance-Sheet Costs, Monetary Policy, and the ON RRP
Authors:
Gara Afonso, Federal Reserve Bank of New York
Marco Cipriani, Federal Reserve Bank of New York
Download Paper (Cipriani) (pdf, 2 mb)
Download Slides (Cipriani) (pdf, 1 mb)
Gabriele La Spada, Federal Reserve Bank of New York
Discussant:
Pascal Paul, Federal Reserve Bank of San Francisco
Download Slides (Paul) (pdf, kb)
Dealers, Information, and Liquidity Crises in Safe Assets
Authors:
Robert Czech, Bank of England
Download Paper (Czech) (pdf, 1 mb)
Download Slides (Czech) (pdf, 327 kb)
Win Monroe, Imperial College Business School
Discussant:
Dmitry Livdan, University of California at Berkeley
Download Slides (Livdan) (pdf, 1,017 kb)
Program Committee:
Antonio Diez de los Rios, Bank of Canada
Jean-Sebastien Fontaine, Bank of Canada
Stefania D’Amico, Federal Reserve Bank of Chicago
Thomas King, Federal Reserve Bank of Chicago
Michael Bauer, Federal Reserve Bank of San Francisco
Jens Christensen, Federal Reserve Bank of San Francisco