Events

4th Tinbergen Institute Conference
March 13-14, 2009

Crashes and systemic crises in financial markets: Implications for banks, investors and macroeconomic policy-makers

The fourth annual Tinbergen Institute Conference is held in Rotterdam, The Netherlands, on March 13-14, 2009.

Financial markets occasionally experience sudden and large declines in asset prices. A crucial feature of such sudden crash events is that they are contagious in nature and spread rapidly to other markets, potentially leading to global financial instability. Moreover, the impact of financial crashes may not be restricted to the financial sector only. Systemic crises in the banking sector or in the institutional investment sector may have substantial and unexpected spill-overs to the real economy. The recent sub-prime crisis, originating from the US mortgage market, is a typical example in this respect, threatening economic growth worldwide through the instability in the banking system.

The conference brought together leading researchers on crashes and systemic crises in financial markets to discuss recent developments in this area.

Venue: Beurs - World Trade Center Rotterdam , Beursplein 37, Rotterdam, The Netherlands.

Local organizers

Casper G. de Vries (Erasmus University Rotterdam)
Erik Kole (Econometric Institute, Erasmus University Rotterdam)
André Lucas (VU University Amsterdam, Tinbergen Institute)
Dick van Dijk (Econometric Institute, Erasmus University Rotterdam)

Conference Program

Thursday, March 12

18:30 - 20:00   Opening drinks and registration

Friday, March 13, Morning

08:45 - 09:15 Registration, Coffee
09:15 - 09:30 Opening remarks
Herman van Dijk (Director, Tinbergen Institute)
09:30 - 10:30 Session I, Financial Architecture (Chair: André Lucas)
Assessing the Emerging Global Financial Architecture: Measuring the Trilemma's Configurations over Time
Hiro Ito (Portland State University)
Discussant: Mathijs van Dijk (Erasmus University Rotterdam)
More Hedging Instruments May Destabilize Markets
Cars Hommes (University of Amsterdam)
Discussant: Remco Zwinkels (Erasmus University Rotterdam)
10:30 - 11:00 Coffee break
11:00 - 12:00 Keynote on Policy (Chair: Casper de Vries)
Philipp Hartmann (European Central Bank)
Financial Market Turmoil and Policy Responses
Discussant: Enrico Perotti (University of Amsterdam)
12:00 - 13:00   Session II, Banking (Chair: Casper de Vries)
Bank Liquidity, Interbank Markets and Monetary Policy
Antoine Martin (Federal Reserve Bank of New York)
Discussant: Iman van Lelyveld (Bank of England)
The Dark Side of Bank Wholesale Funding
Lev Ratnovski (International Monetary Fund)
Discussant: Elvira Sojli (Erasmus University Rotterdam)

Friday, March 13, Afternoon

13:00 - 14:30 Lunch
14:30 - 15:30 Keynote on Regulation (Chair: Herman van Dijk)
Robin Lumsdaine (American University)
The Future of Banking Regulation: Basel II, Quantitative Models, and Risk Management in the Aftermath of the Current Financial Crisis
15:30 - 16:30 Session III, Currency crises (Chair: Herman van Dijk)
Defending Against Speculative Attacks
Tijmen Daniëls (Technische Universität Berlin)
Discussant: Agnieszka Markiewicz (Erasmus University Rotterdam)
Speculative Attacks, Private Signals and Intertemporal Trade-offs
Nikola Tarashev (Bank for International Settlements)
Discussant: Antonio Di Cesare (Bank of Italy)
16:30 - 17:00 Coffee Break
17:00 - 18:00   Session IV, Risk Management (Chair: Erik Kole)
Value-at-Risk across horizons and financial cycle: Are solvency capital requirement rules pro-cyclical
Frédérique Bec (THEMA, Université de Cergy-Pontoise, and CREST)
Discussant: Sweder van Wijnbergen (University of Amsterdam)
Crises and Hedge Fund Risk
Loriana Pelizzon (University of Venice)
Discussant: Joop Huij (Erasmus University Rotterdam)
19:30 - 23:00 Conference dinner
Restaurant Kip
Van Vollenhovenstraat 25
Rotterdam

Saturday, March 14, Morning

08:45 - 09:00 Registration, Coffee
09:00 - 10:00 Session V, Crisis Modelling (Chair: André Lucas)
Accounting for Crises
Gwen Yu (University of Michigan)
Discussant: Jaap Bos (Utrecht University)
Bank competition and economic stability: the role of monetary policy
Sylvain Champonnois (University of California, San Diego)
Discussant: Vladimir Karamychev (Erasmus University Rotterdam)
10:00 - 10:30 Coffee break
10:30 - 11:30 Keynote on International Finance (Chair: Robin Lumsdaine)
Graciela Kaminsky (George Washington University)
Financial Globalization: Booms and Crashes
11:30 - 12:30   Session VI, Financial Econometrics (Chair: Robin Lumsdaine)
An Econometric Analysis of Some Models for Constructed Binary Time Series
Don Harding (La Trobe University)
Discussant: Drew Creal (VU University Amsterdam)
Testing Downside Risk Efficiency Under Market Distress
Jesús Gonzalo (Universidad Carlos III de Madrid)
Discussant: Erik Kole (Erasmus University Rotterdam)

Saturday, March 14, Afternoon

12:30 - 14:00 Lunch Buffet & Poster Session
14:00 - 15:00 Keynote on Crisis Management (Chair: Dick van Dijk)
Stijn Claessens (International Monetary Fund)
Causes of the Crisis and Lessons for Macroeconomic Policy and Regulation
15:00 - 16:00   Session VII, Financial Markets (Chair: Dick van Dijk)
The Dynamics of Sovereign Credit Risk
Alexandre Jeanneret (University of Lausanne)
Discussant: Roman Kräussl (VU University Amsterdam)
Centralization versus Decentralization of the Lender of Last Resort
Itai Agur (De Nederlandsche Bank)
Discussant: Jorn Zenhorst (Erasmus University Rotterdam)

Poster session