12th Annual Central Bank Conference on Microstructure of Financial Markets

12th Annual Central Bank Conference on Microstructure of Financial Markets - Auditorium de la banque de France les 29 et 30 septembre 2016

 This annual central bank workshop gives researchers, policy-makers and practitioners the opportunity to discuss theoretical work, empirical findings and policy implications related to the microstructure of financial markets.

Financial market microstructure may influence - and be affected by – how central bank implement monetary policy. Topics of interest include market liquidity, the effectiveness of non-conventional monetary policy measures, financial stability and systemic risk. The conference will gather high quality research on the aspects of micro-structure that are the most relevant for central banks. Bruno Biais (Toulouse School of Economics) and Lasse Pedersen (Copenhagen BS and NYU Stern) will give keynote presentations.

Contact email  : DEMFI_CONFERENCE@banque-france.fr

Program

Thursday 29 September

Keynote Lecture  Bruno Biais “Incentive constrained risk sharing and asset pricing” (with Johan Hombert and Pierre- Olivier Weill) (S1)

Session 1: Liquidity and Intermediation in Fixed Income Markets

Avi Wohl (Tel Aviv University) “Corporate Bond Trading on a Limit Order Book Exchange” (with M. Abudy) (S2)
Discussant: Bernt Arne Odegaard (University of Stavanger)(S3)
Anders B. Trolle (EPFL and Swiss Finance Institute) “Market Structure and Transaction Costs of Index CDSs” (with P.Collin-Dufresnes and B. Junge)(S4)
Discussant: Laurence Lescourret (ESSEC)(S5)
Sebastian  Infante (Federal Reserve Board) “Bond Market Liquidity and the Role of Repo” (with Y. Huh) (S6)
Discussant: Jean-David Sigaux (HEC(S7))

Session 2: Relationships and Trading

Norman Schürhoff (HEC Lausanne) “Relationship Trading in OTC Markets” (with T. Hendershott and D. Livdan).(S8)
Discussant: Jérôme Dugast (U. Luxembourg)(S9)
Song Han (Federal Reserve Board) “Trading Relationships in the OTC Market for Secured Claims: Evidence from Triparty Repos” (with C. Kleopatrou) (S10)
Discussant: Alexandre Gautier (Banque de France)(S11)

Session 3: Central Banks, Liquidity and Prices

Jens Christensen (San Francisco FED) “Does Quantitative Easing Affect Market Liquidity?” (with J.Gillan) (S12)
Discussant: Sarah Mouabbi (Banque de France)(S13)
Peter Hoffmann (ECB) “Trading Frictions in the Interbank Market, and the Central Bank” (with JE Colliard and T. Foucault)
Discussant: Artem Neklyudov (HEC Lausanne)(S14)
Benjamin Muller (Swiss National Bank) “The Liquidity Coverage Ratio and Security Prices” (with Luzian Steiner and Lucas Fuhrer) (S15)
Discussant: Alain Chaboud (Board of Governors, FED)(S16)

Friday 30 September

Session 4: Markets: Design and Quality

Ayan Bhattacharya (Cornell and Baruch-CUNY) “Can ETFs Increase Market Fragility?  Effect of Information Linkages in ETF Markets” (with M. O’Hara)
Discussant: Sabrina Buti (University of Paris Dauphine)(S17)
Evangelos Benos (Bank of England) “Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act” (with R.Payne and M. Vasios) (S18)
Discussant: Jean Edouard Colliard (HEC, Paris)(S19)
Sean Foley (University of Sydney) “Closing time: The effects of closing mechanism design on market quality” (with N. Cordi  and T. Putnins) (S20)
Discussant: Carole Gresse (Paris Dauphine)(S21)

Session 5: Market disruptions

Carole Osler (Brandeis University) “Dealer Trading at the Fix” (with A. Turnbull) (S22)
Discussant: Dagfinn Rime (BI)(S23)
Guillaume Vuillemey (HEC, Paris) “Wholesale funding dry-ups” (with C. Pérignon and D. Thesmar) (S24)
Discussant: Angelo Ranaldo (University of St Gallen)(S25)

Session 6: Trading in the 21st century

Andryi Shkilko (Wilfried Laurier University) “Every cloud has a silver lining: Fast trading, microwave connectivity and trading costs” (with K. Sokolov) (S26)
Discussant: Sophie Moinas (Toulouse School of Economics)(S27)
Badrinath Kottimukkalur (Emory University) “Do High Frequency Traders need to be regulated? Evidence from trading on macroeconomic announcements” (with T. Chordia and C.Green).
Discussant: Katya Malinova (University of Toronto)(S28)

Keynote Lecture: Lasse Pedersen (Copenhagen Business School and NYU Stern School of Business) “Efficiently Inefficient Markets for Assets and Asset Management” (S29)