投稿日: Apr 30, 2014 6:6:20 AM
国際コンファレンス：1st International Conference on Sovereign Bond Markets in Tokyo (June 4-5, 2014) のご案内
1st International Conference on Sovereign Bond Markets
Liquidity, Credit Risk and the Effectiveness of Central Bank Intervention
Tokyo, Japan
4 - 5 June 2014
It is our pleasure to invite you to attend the 1st International Conference on Sovereign Bond Markets. The conference this year focuses on Liquidity, Credit Risk and the Effectiveness of Central Bank Intervention.
Center for Financial Research at Waseda University (Tokyo, Japan), Center on Sustainable Architecture for Finance (SAFE) at Goethe University Frankfurt (Frankfurt, Germany) and NYU Stern Salomon Center for the Study of Financial Institutions (New York, US) are hosting and co-sponsoring this conference.
The participation of speakers such as prominent academics, industry experts as well as senior officials/researchers from the Bank of Japan, the European Central Bank and the Federal Reserve will provide an opportunity for participants engaged in research, investment/trading and policy-making at the forefront of this area to discuss both the causes and implications of recent events in sovereign bond markets and may, in turn, suggest fruitful directions for future research. The Conferences are organized under the auspices of the CREDIT Network (Venice, Italy) and SYRTO project and would be dedicated to various aspects of sovereign bond markets.
THE SCIENTIFIC COMMITTEE for the Tokyo Conference consists of: Robert F. Engle, NYU Stern, Jun Uno, Waseda University, Monica Billio, University of Venice, Ester Faia, SAFE - Goethe University Frankfurt, Toshinao Yoshiba BOJ, Simone Manganelli ECB, Michael Fleming, NY FED.
Sincerely,
Jun Uno, Waseda University (Hosting University of the conference)
Chairman of the Organizing Committee
Programme
June 4, 2014
Credit risk and Liquidity (1) 9:30 -10:50
Liquidity and credit risk premia in government bond yields: Magdalena Grothe (European Central Bank) Discussant Toshinao Yoshiba (Bank of Japan)
A Structural View of Sovereign Risk Contagion in the Euro Zone: Manuel Mayer (Vienna Graduate School of Finance) Discussant Dragon Yongjun Tang (University of Hong Kong)
Limit to Arbitrage 11:00-12:20
Limits to arbitrage: Empirical evidence from Euro area sovereign bond markets: Maria Rodriguez-Moreno (Universidad de Navarra) Discussant Yusho Kagraoka (Musashi University)
The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors :Yuriy Kitsul (Federal Reserve Board of Governors) Discussant Toshiki Yotsuzuka (Waseda University)
Lunch 12:20-13:30
Keynote Speech 13:40-14:40
"The Global Outlook on Systemic Risk": Robet Engle (New York University, Nobel Prize Laureate 2003)
Effect of intevention in case of Euro 14:40-16:00
A high frequency assessment of the ECB Securities Markets Programme: Simone Manganelli (European Central Bank) Discussant Alexander Eisl (Vienna University of Economics and Business)
Swiss Unconventional Monetary Policy: Lessons for the Transmission of Quantitative Easing: Signe Krogstrup (Swiss National Bank) Discussant Davide Tomio (Copenhagen Business school)
(P) Panel Discussion 16:10-18:00
Panelists: Kenichiro Watanabe (Bank of Japan), Torsti Silvonen (European Central Bank), Michael Fleming (Federal Reserve Bank, NY), Kazuto Uchida (Mitsubishi UFJ Group), Asoka Woehrmann (Deutsche Asset & Wealth Management), Moderator: Marti G. Subrahmnyam (New York Universty)
Conference Dinner 18:00-20:00
June 5th, 2014
Event Study in US Treasury Market 9:30-10:50
Government Intervention and Strategic Trading in the U.S. Treasury Market : Paolo Pasquariello (University of Michigan)
Intraday Supply Shocks in the U.S. Treasury Market: Michael Fleming (Federal Reserve Bank, NY) Discussant Mariko Fujii (University of Tokyo)
Coffee Break
Credit risk and Liquidity (2) 11:00-13:00
Flight to Liquidity in the Sovereign Debt Crisis of the euro area: Ricardo Gimeno (Banco de Espana) Discussant Daisuke Miyakawa (Nihon University)
SOVEREIGN CREDIT RISK, LIQUIDITY, AND ECB INTERVENTION: DEUS EX MACHINA?: Loriana Pezzon (University of Venice) Discussant R. Ben-Abdallah (Ecole des sciences de la gestion, UQAM Montreal)
Dealing with Dealers: Sovereign CDS Comovements in Europe: Sergio Mayordomo (Universidad de Navarra) Discussant Sven Klingler (Copenhagen Business School)
End of Programme
REGISTRATION
To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/sovereign/sovereign1/registration.htm)
Registration fees
Academics JPY 14,000
Practitioners JPY 20,000
CFA Members (*) JPY 16,000
(*) required CFA member IDs
Registration Fee covers:
-Admission to all scientific sessions,
-Lunch and conference dinner,
-Conference kit
For participants presenting and discussing a paper there are no fees.
For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: