The Second New York Fed — Princeton Liquidity Conference

December 13, 2007

A conference jointly sponsored by the Federal Reserve Bank of New York and the Bendheim Center for Finance of Princeton University, with opening remarks by Timothy Geithner, President, Federal Reserve Bank of New York.

Overview
Financial markets experienced extraordinary events in 2007. The increase in delinquency rates in subprime mortgages coupled with the mismatch of the maturity structure of off-balance-sheet conduits and structured investment vehicles (SIV) led to a sudden drying up of the asset-backed commercial paper market, higher money market interest rate spreads, and the failure of several financial institutions, including a classic bank run in the United Kingdom.

This conference brings together experts in liquidity and researchers who analyze the underlying mechanisms that cause liquidity dislocations. The goal is to further the understanding of these mechanisms and to link them to current policy tools.

Audience
The conference is open to academics and other researchers in the field of economics.
Registration
To register, please e-mail hao.wu@ny.frb.org
(registration is open)
Conference Location
Federal Reserve Bank of New York
12th Floor Conference Center
33 Liberty Street
New York, New York
Conference Organizers
Tobias Adrian, Federal Reserve Bank of New York
Markus K. Brunnermeier, Princeton University

Contact
Please address any questions to:

tobias.adrian@ny.frb.org
markus@princeton.edu

Agenda
8:30 a.m. Registration and Breakfast
9:00 a.m. Welcoming Remarks
Timothy Geithner, President,
Federal Reserve Bank of New York
9:15 a.m.

Understanding the Subprime Mortgage Crisis pdf
Yuliya Demyanyk, Federal Reserve Bank of St. Louis
Otto Van Hemert, New York University

Discussant: Christopher Mayer, Columbia University
Presentation PDF

10:00 a.m. Coffee Break
10:15 a.m. The Response of Corporate Financing and Investment to Changes in the Supply of Credit pdf
Michael Roberts, University of Pennsylvania
Michael Lemmon, University of Utah

Discussant: Augustin Landier, Old Lane and New York University
Presentation pdf
11:00 a.m. Coffee Break
11:15 a.m. Imperfect Competition in the Inter-Bank Markets for Liquidity as a Rationale for Central Bankingpdf
Viral Acharya and Denis Gromb, London Business School
Tanju Yorulmazer, Federal Reserve Bank of New York

Discussant: Adriano Rampini, Duke University
Presentation pdf
12:00 p.m. Buffet Lunch
1:00 p.m. Understanding the Securitization of Subprime Credit pdf
Adam Ashcraft and Til Schuermann, Federal Reserve Bank of New York

Precautionary Reserves and the Interbank Market pdf
Adam Ashcraft, Jamie McAndrews, and David Skeie, Federal Reserve Bank of New York

The Federal Home Loan Bank System: Lender of Next-to-Last Resort? pdf
Morten Bech, Federal Reserve Bank of New York
2:15 p.m. Coffee Break
2:30 p.m. Why Are Almost All ABCP Vehicles Sponsored by Non-U.S. Banks? pdf
Carlos Arteta, Mark Carey, and Ricardo Correa, Board of Governors of the Federal Reserve System

What Happened to the Quants in August 2007?pdf
Andrew Lo and Amir Khandani, Massachusetts Institute of Technology

The Quant Liquidity Crunch pdf
Kent Daniel, Goldman Sachs Asset Management
3:45 p.m. Coffee Break
4:00 p.m. Panel Discussion
John Geanakoplos, Yale University and Ellington Capital Management
Presentation pdf
Diana Hancock, Federal Reserve Board
Chi-Fu Huang, Platinum Grove Asset Management
Brian Peters, Federal Reserve Bank of New York
Hyun Shin, Princeton University
Presentation pdf
Jeremy Stein, Harvard University
Presentation pdf
5:30 p.m. Adjourn
6:00 p.m. Dinner (for panelists, speakers, discussants and by invitation)
Restaurant Les Halles
15 John Street
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