Program-2012 Symposium
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 |
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| 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 |
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| DISCUSSANT: Lars Lochstoer, Columbia Business School | |
| Labor Mobility and the Cross-Section of Expected Returns Andres Donangelo, University of Texas |
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| DISCUSSANT: Lu Zhang, Ohio State University |
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| 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 |
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| DISCUSSANT: Jeremy Graveline, University of Minnesota |
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| 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 |
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| 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 |
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| 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 |
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| DISCUSSANT: Konstantin Milbradt, MIT | |
| Financial Intermediary Capital Adriano Rampini, Duke University S. Viswanathan, Duke University |
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| 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 |
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| 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 |
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| DISCUSSANT: Xiaoji Lin, Ohio State University | |
| 20 MINUTE QUESTION/ANSWER FOR SESSION 4 | |
| FRIDAY, JUNE 8 EVENING |
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| 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 |
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| 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 |
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| 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 |
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| 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 |
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| 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 |
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| 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) | |