Fixed Income Research and Implications for Monetary Policy

Date

Thursday, May 22, 2025 – Friday, May 23, 2025

Location

Federal Reserve Bank of San Francisco
San Francisco, CA

ADDITIONAL INFORMATION

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Topics

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
Andreas Uthemann, Bank of Canada
Rishi Vala, Bank of Canada
Jun Yang, Bank of Canada

Discussant:

Walker Ray, Federal Reserve Bank of Chicago

FX Dealer Constraints and External Imbalances

Authors:

Jantke de Boer, Ruhr University Bochum
Stefan Eichler, TU Dresden

Discussant:

Steven J. Riddiough, University of Toronto

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
Phillip Monin, Federal Reserve Board
Oleg Sokolinskiy, Federal Reserve Board

Discussant:

Mathias Kronlund, University of Illinois at Urbana-Champaign

The Effect of Primary Dealer Constraints on Intermediation in the Treasury Market

Authors:

Falk Brauning, Federal Reserve Bank of Boston
Hillary Stein, Federal Reserve Bank of Boston

Discussant:

Discussant: Ioana Neamtu, Bank of England

Keynote Address

Balance Sheet Policy above the Effective Lower Bound

Speaker:

Annette Vissing-Joergensen, Federal Reserve Board

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
Jonathan Wallen, Harvard Business School
Lingdi Xu, Harvard University

Discussant:

Gregory Duffee, Johns Hopkins University

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

Discussant:

Min Wei, Federal Reserve Board

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
Kairong Xiao, Columbia University

Discussant:

Daniel Greenwald, Columbia University

Long Rates, Life Insurers, and Credit Spreads

Author:

Ziang Li, Imperial College London

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
Wenhao Li, University of Southern California
Lukas Schmid, University of Southern California

Discussant:

William Diamond, University of Southern California

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
Gabriele La Spada, Federal Reserve Bank of New York

Discussant:

Pascal Paul, Federal Reserve Bank of San Francisco

Dealers, Information, and Liquidity Crises in Safe Assets

Authors:

Robert Czech, Bank of England
Win Monroe, Imperial College Business School

Discussant:

Dmitry Livdan, University of California at Berkeley

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