About this conference
On 17-18 March 2010 the BIS held a conference on "Systemic risk, bank behaviour and regulation over the business cycle". This was the first conference held under the auspices of the BIS Consultative Council for the Americas (CCA). It brought together researchers from the central banking community in the region and distinguished academics and was hosted by the Central Bank of Argentina in Buenos Aires.
A Scientific Committee led by Stephen G Cecchetti, and comprising CCA central bank heads of research selected papers on three broad topics: 1) pro-cyclicality; 2) systemic risk; and 3) markets and performance.
- To what extent is the financial systemprocyclical? Do we always care about procyclicality, or do we only care about it when it leads to severe outcomes? What happens to monetary policy if you use regulatory tools to reduce real-financial feedback?
- How can we measure systemic risk (eg need to focus on tails, and take into account firesale and network externalities)? What is the optimal level of systemic risk? Can we use regulatory tools to reduce it? Relationship between openness and the nature of risk? Lessons learned from efforts to cushion the impact of systemic events after the fact?
- Is there diversification when you need it? What can we do about the fact that real and financial integration makes countries susceptible to each other's shocks, increasing correlations?
- Jorge Carrera (Central Bank of Argentina
- Carlos Hamilton Araujo (Central Bank of Brazil)
- Timothy Lane (Bank of Canada)
- Pablo Garcia (Central Bank of Chile)
- Manuel Ramos-Francia (Bank of Mexico)
- Thomas Connors and Michael Leahy (US Federal Reserve Bank)
- Stephen G. Cecchetti (BIS Economic Adviser and Head of the Monetary and Economic Department
- Camilo Tovar (Senior Economist at the BIS Representative Office for the Americas)
- Ramon Moreno (Head of Emerging Markets at the BIS)
Day 1 - 18 March
Chair: Allan Crawford (Bank of Canada)
| A new look into credit procyclicality: international panel evidence | Ricardo Bebczuk, Tamara Burdisso, Máxima Sangiácomo (Central Bank of Argentina) Discussant: Kevin Cowan (Central Bank of Chile) | Discussion |
| The role of bank of capital in the propagation of shocks | Césaire Meh (Bank of Canada) and Kevin Moran (Université Laval) Discussant: Dimitrios Tsomocos (University Oxford) | Discussion |
| Regulatory solutions for bank loans pro-cyclicality is the cure worse than the illness? | Verónica Balzarotti, Alejandra Anastasi (Central Bank of Argentina) Discussant: Rodrigo Cifuentes (Central Bank of Chile) | Discussion |
| Macroprudential regulation and systemic capital requirements | Céline Gauthier, Alfred Lehar and Moez Souissi (Bank of Canada) Discussant: Dairo Estrada (Bank of the Republic (Colombia)) | Discussion |
| Macro stress testing of credit risk focused on the tails | Ricardo Schechtman and Wagner Piazza Gaglianone (Central Bank of Brazil) Discussant: Simone Manganelli (Eruopean Central Bank) | Discussion |
Day 2 - 19 March
Chair: Manuel Ramos-Francia (Bank of Mexico)
| Systemic risk, stress testing and financial contagion: their interaction and measurement | Serafín Martínez-Jaramillo, Omar Pérez Pérez, Calixto López Castañón, Fabrizio López Gallo Dey and Fernando Avila Embriz (Bank of Mexido) Discussant: Andrew Patton (Duke University) | Discussion |
Chair: Pablo Garcia (Central Bank of Chile)
| High and low frequency correlations in global equit markets | Robert F. Engle (New York University) and Jose Gonzalo Rangel (Bank of Mexico) Discussant: Roberto Rigobon (Massachusetts Institute of Technology) | Discussion |
| Emerging markets, decoupling, and financial performance during the crisis | Mark Carey, Steve Kamin, Ugur Lel and Laurie Pounder (Federal Reserve) Discussant: Benjamin Miranda Tabak (Central Bank of Brazil - Universidad Católica de Brasilia) | Discussion |
Overview and discussion
Moderator: Stephen G. Cecchetti (Bank for International Settlements) | Comments