Thursday 18 March
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Opening remarks
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| Session 1: Pro-cyclicality | |
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Chair: Allan Crawford, Adviser to the Governor, Bank of Canada
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| Paper 1 "A New Look into Credit Procyclicality: International Panel Evidence" by Ricardo Bebczuk, Tamara Burdisso, Jorge Carrera, and Máximo Sangiácomo (Central Bank of Argentina) (paper, presentation)
Presenter: Jorge Carrera Discussant: Kevin Cowan, Central Bank of Chile (discussion) |
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| Paper 2 "The Role of Bank of Capital in the Propagation of Shocks" by Césaire Meh (Bank of Canada) and Kevin Moran (Université Laval) (paper, presentation)
Presenter: Césaire Meh Discussant: Dimitrios Tsomocos, University of Oxford (discussion) |
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| Paper 3 "Regulatory Solutions for Bank Loans Pro-Cyclicality Is the Cure Worse than the Illness?" by Verónica Balzarotti and Alejandra Anastasi (Central Bank of Argentina) (presentation)
Presenter: Verónica Balzarotti Discussant: Rodrigo Cifuentes, Central Bank of Chile (discussion) |
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| Session 2: Systemic risk |
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Chair: Manuel Ramos-Francia, Director General of Economic Research, Bank of Mexico
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| Paper 4 "Macroprudential Regulation and Systemic Capital Requirements" by Céline Gauthier, Alfred Lehar, and Moez Souissi (Bank of Canada) (paper, presentation)
Presenter: Céline Gauthier Discussant: Dairo Estrada, Bank of the Republic (Colombia) (discussion) |
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| Paper 5 "Macro Stress Testing of Credit Risk Focused on the Tails" by Ricardo Schechtman and Wagner Piazza Gaglianone (Central Bank of Brazil) (paper)
Presenter: Ricardo Schechtman Discussant: Simone Manganelli, European Central Bank (discussion) |
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Friday 19 March
| Session 2 (continued): Systemic risk |
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| Chair: Manuel Ramos-Francia, Director General of Economic Research, Bank of Mexico | |
| Paper 6: "Systemic Risk, Stress Testing and Financial Contagion: Their Interaction and Measurement" by Serafín Martínez-Jaramillo, Omar Pérez Pérez, Calixto López Castañon, Fabrizio López Gallo Dey, and Fernando Avila Embriz (Bank of Mexico) (paper, presentation)
Presenter: Serafín Martínez-Jaramillo Discussant: Andrew Patton, Duke University (discussion) |
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| Session 3: Markets and performance |
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Chair: Pablo Garcia, Division Director of Research, Central Bank of Chile
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| Paper 7: "High and Low Frequency Correlations in Global Equity Markets" by Robert F. Engle (New York University) and Jose Gonzalo Rangel (Bank of Mexico) (paper, presentation)
Presenter: Jose Gonzalo Rangel Discussant: Roberto Rigobon, Massachusetts Institute of Technology (discussion) |
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| Paper 8: "Emerging Markets, Decoupling, and Financial Performance During the Crisis" by Mark Carey, Steven Kamin, Ugur Lel, and Laurie Pounder (Board of Governors of the Federal Reserve) (paper, presentation)
Discussant: Laurie Pounder Discussant: Benjamin Miranda Tabak, Central Bank of Brazil - Universidad Católica de Brasilia (discussion) |
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| Session 4: Concluding session
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"Overview and Discussion"
Moderator: Stephen G. Cecchetti, Bank for International Settlements (comments) |
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