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) | |