19th Mitsui Finance Symposium on Financial Market Implications of the Marcroeconomy

19th Mitsui Finance Symposium
“Financial Market Implications of the Macroeconomy”
Stephen M. Ross School of Business
University of Michigan
June 7 – 9, 2012

Keynote address presented by Narayana Kocherlakota
President, Federal Reserve Bank of Minneapolis

THURSDAY, JUNE 7
6:30 – 8:30 p.m. WELCOME RECEPTION IN BLAU AUDITORIUM
8:30 – 9:00 p.m. Walk to nearby restaurants for dinner
FRIDAY, JUNE 8
MORNING SESSION
Room R1230
8:15 – 8:45 Continental breakfast at Ross, outside R1230
8:45 Opening remarks
8:50 – 10:10 Session 1: Labor and Asset Prices
Chair: E. Han Kim, University of Michigan
An Equilibrium Asset Pricing Model with Labor Market Search
Lars-Alexander Kuehn, Carnegie Mellon University
Nicolas Petrosky-Nadeau, Carnegie Mellon University
Lu Zhang, Ohio State University
DISCUSSANT: Lars Lochstoer, Columbia Business School
Labor Mobility and the Cross-Section of Expected Returns
Andres Donangelo, University of Texas
DISCUSSANT: Lu Zhang, Ohio State University
20 MINUTE QUESTION/ANSWER FOR SESSION 1
15 MINUTE BREAK
10:25-11:45 Session 2: The Term Structure of Interest Rates
Chair: Francisco Palomino, University of Michigan
Beliefs about Inflation and the Term Structure of Interest Rates
Paul Ehling, Norwegian Business School
Michael Gallmeyer, University of Virginia
Christian Hyerdahl-Larsen, London Business School
Philipp Illeditsch, University of Pennsylvania
DISCUSSANT: Jeremy Graveline, University of Minnesota
An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
Gregory H. Bauer, Bank of Canada
Antonio Diez de los Rios, Bank of Canada
DISCUSSANT: Hao Zhou, Federal Reserve Board
20 MINUTE QUESTION/ANSWER FOR SESSION 2
noon – 2:00 LUNCH IN THE COLLOQUIUM, 6TH FLOOR
FRIDAY, JUNE 8
AFTERNOON SESSION
Room R1230
2:10 – 3:30 Session 3: Capital, Liquidity, and Financial Intermediation
Chair: MP Narayanan, University of Michigan
Endogenous Liquidity Cycles
Günter Strobl, University of North Carolina
DISCUSSANT: Konstantin Milbradt, MIT
Financial Intermediary Capital
Adriano Rampini, Duke University
S. Viswanathan, Duke University
DISCUSSANT: Vincenzo Quadrini, University of Southern California
20 MINUTE QUESTION/ANSWER FOR SESSION 3
15 MINUTE BREAK
3:45 – 5:05 Session 4: Asset Pricing Implications of the Distribution of Consumption
Chair: Bob Dittmar, University of Michigan
Volatility, the Macroeconomy and Asset Prices
Ravi Bansal, Duke University
Dana Kiku, University of Pennsylvania
Ivan Shaliastovich, University of Pennsylvania
Amir Yaron, University of Pennsylvania
DISCUSSANT: Wei Yang, University of Rochester
Fiscal Policy and the Distribution of Consumption Risk
Max Croce, University of North Carolina-Chapel Hill
Thien Nguyen, University of Pennsylvania
Lukas Schmid, Duke University
DISCUSSANT: Xiaoji Lin, Ohio State University
20 MINUTE QUESTION/ANSWER FOR SESSION 4
FRIDAY, JUNE 8
EVENING
5:30 Board bus on Tappan Street for dinner at UM Stadium
6:00 Cocktails in the Regents Guest Area, UM Stadium
7:00 Dinner in the Regents Guest Area, UM Stadium
8:00 Keynote address presented by Narayana Kocherlakota
President, Federal Reserve Bank of Minneapolis


SATURDAY, JUNE 9
MORNING SESSION
8:15–8:45 Continental breakfast at Ross, outside R1230
8:50 – 10:10 Session 5: International Macro Finance
Chair: Paolo Pasquariello, University of Michigan
International Capital Flows and Credit Market Imperfections: a Tale of Two Frictions
Filippo Taddei, Collegio Carlo Alberto
Alberto Martin, Centre de Recerca en Economia Internacional
DISCUSSANT: Thomas Eisenbach, Federal Reserve Bank of New York
Foreign Ownership of U.S. Safe Assets: Good or Bad?
Jack Favilukis, London School of Economics
Sydney Ludvigson, New York University
Stijn Van Nieuwerburgh, New York University
DISCUSSANT: Andreas Stathopoulos, University of Southern California
20 MINUTE QUESTION/ANSWER FOR SESSION 5
15 MINUTE BREAK
10:25–11:45 a.m. Session 6: New Developments in General Equilibrium Models for Asset Pricing
Chair: Tyler Shumway, University of Michigan
Foreign Ownership of U.S. Safe Assets: Good or Bad?
Marcus Opp, University of California Berkeley
Christine Parlour, University of California Berkeley
Johan Walden, University of California Berkeley
DISCUSSANT: Miguel Palacios, Vanderbilt University
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital
Hengjie Ai, Duke University
Max Croce, University of North Carolina
Kai Li, Duke University
DISCUSSANT: Tom Tallarini, Federal Reserve Bank of Minneapolis
20 MINUTE QUESTION/ANSWER FOR SESSION 6
noon – 1:30 p.m. Lunch – Blau Auditorium
Two Best Discussant Awards ($2500 each)