2016 (MBF)

4th Workshop in Macro Banking and Finance

The 4th Workshop in Macro Banking and Finance, hosted by Dipartimento di Scienze Sociali ed Economiche and Dipartimento di Economia e Diritto of "Sapienza" University of Rome, continues the sequence of the three previous workshops held at the University of Milan-Bicocca, 19-20 September 2013, the University of Rome-Tor Vergata, 18-19 September 2014, and the University of Pavia, 10-11 September 2015. This annual workshop (sponsored by UniCredit & Universities Foundation) aims to establish a tradition of a yearly workshop among Italian-based macro-monetary, banking and finance economists. The final goal is to create synergies, foster interaction, and develop joint research projects between researchers and institutions based in Italy. Young researchers and PhD students close to thesis completion are encouraged to participate in these workshops. In this respect, Two Young Economist Best Paper Awards of 1,000€ each are conferred to the two best papers presented at the conference. 

Rome, September 15-16, 2016

Local Organizing Committee: Marianna Belloc, Giuseppe De Arcangelis, Giovanni Di Bartolomeo, Pierfrancesco Molina, Salvatore Nisticò, Massimiliano Tancioni, Luca Zamparelli

Programme

September 15, 2016

14.00-15.00 Keynote Speech: Giovanna Nicodano (University of Torino and Collegio Carlo Alberto),  “A Trade-off Theory of Ownership and Capital Structure”

15.00-16.15 Plenary Session 1. Banking – Empirics 

• “End of the Sovereign-Bank Doom Loop in the European Union? The Bank Recovery and Resolution Directive”, Giovanni Covi and U. Eydam

• “The Real Effects of Capital Requirements and Monetary Policy: Evidence from the United Kingdom”, Filippo De Marco and Tomasz Wieladek 

• “Deposit Volatility and Long-Term Investment: Evidence from a Natural Experiment in Pakistan”, M. Ali Choudhary and Nicola Limodio

16.15-16.45        Coffee break

16.45-18.30        Parallel Session 2a. Quantitative Macro

• “Structural Transformation, Services Deepening, and the Transmission of Monetary Policy”, Alessandro Galesi and Omar Rachedi

• “Long-run Unemployment and Macroeconomic Volatility”, Stefano Fasani

• “Is the Financial Cycle a Medium Run Phenomenon? Evidence from an Estimated DSGE Model with Financial Frictions”, Marco Gallegati, Federico Giri and Antonio Palestrini

• “Proxy-SVAR as a Bridge between Mixed Frequencies”, Andrea Gazzani and Alejandro Vicondoa

Parallel Session 2b. Micro and Macro Finance

• “Can Regulatory ModeTheory explain the equity premium puzzle”, Irene Maria Buso

• “Disaster Risk and Preference Shifts in a New Keynesian Model”, Marlène Isoré and Urszula Szczerbowicz

• “Systemic risk: definition, measurement and supervisory implications”, Marina Brogi, Valentina Lagasio, Pasqualina Porretta and Luca Riccetti

• “PairwiseTrading in the Money Market during the European Sovereign Debt Crisis”, Edoardo Rainone

20.30 Reception and Dinner: La Casa dell’Aviatore

September 16, 2016 

9.00-10.00    Keynote Speech: Luisa Lambertini (Ecole Polytechnique Federale de Lausanne), "A Macroeconomic Model of Liquidity, Wholesale Funding and Banking Regulation"

10.00-11.15     Plenary Session 3. Banking – Theory

• “Government Support and Bank PortfolioChoices: the Impact of the Sovereign Debt Crisis”, Marco Casiraghi

• “Servingthe (Un)Deserving? Credit Market Segmentation with Asymmetrically Informed Lenders”, Marcello D’Amato, Christian Di Pietro and Marco M. Sorge 

• “The Leverage Ratio, Risk-Taking and Bank Stability”, Michael Grill, Jan Hannes Lang and Jonathan Smith

11.15-11.30 Young Economist Best Paper Awards

11.30-12.00 Coffee break

12.00-13.15 Parallel Session 4a. Macro Theory

• “Deepening Contractions and Collateral Constraints”, Henrik Jensen, Sōren Hove Ravn and Emiliano Santoro

• “The Financial Transmission of Shocks in a Simple Hybrid Macroeconomic Agent Based Model”, Tiziana Assenza and Domenico Delli Gatti

• “Dispersed Information and the Origins of Aggregate Fluctuations”, Jakob Grazzini and Domenico Massaro

Parallel Session 4b. Monetary Policy

• “Sub-prime Mortgages and Banking in a DSGE Model”, Martino N. Ricci and Patrizio Tirelli

• “Central Bank Sentiment and Policy Expectations”, Paul Hubert and Fabien Labondance

• “Innovation, Growth and Optimal Monetary Policy”, Barbara Annicchiarico and Alessandra Pelloni

13.15-14.15 Lunch

14.15-15.15 Keynote Speech: Pierpaolo Benigno (LUISS Guido Carli and EIEF), “Private Money Creation and Equilibrium Liquidity”

15.15-17.00 Plenary Session 5. Liquidity

• “The Effect of Central Bank Liquidity Injections on Bank Credit Supply”, Luisa Carpinelli and Matteo Crosignani

• “Global Liquidity, Leverage, House Prices and Exchange Rates”, Ambrogio Cesa-Bianchi, Andrea Ferrero and Alessandro Rebucci

• “Liquidity market and monetary policy in the New Monetarist framework”, Ugo Zannini

• “Endogenous Debt Maturity and Rollover Risk”, Emanuele Brancati and Marco Macchiavelli