7th Annual Workshop of ESCB Research Cluster 3 on Financial Stability, Macroprudential Regulation and Microprudential Supervision

The workshop was organized in collaboration between Bank of Finland and Banco de Portugal.

PROGRAM

Thursday, 23 November 2023

13.30–14.00 Opening remarks
Katja Taipalus, Head of Financial Stability and Statistics Department, Suomen Pankki

14.00–15.30 Session 1: Transmission of macroprudential policy I
Chair: Mikael Juselius, Suomen Pankki

Mortgage Borrowing Caps: Leverage, Default, and Welfare
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João G. Oliveira, Bank of England, Leonor Queiró, Banco de Portugal
Discussant: Petros Migiakis, Bank of Greece

Macroprudential Policy and Income Inequality: The Trade-off Between Crisis Prevention and Credit Redistribution
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Martin Hodula, Czech National Bank, Jan Janku, Czech National Bank, Simona Malovaná, Czech National Bank
Discussant: Stine Louise von Rüden, Danmarks Nationalbank

15.30–16.00 Coffee break

16.00–17.30 Session 2: Supervision and regulation
Chair: David Aikman, King’s College London

Risk Retention in the European Securitization Market: Skimmed by the Skin-in-the-Game Methods?
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Vivian M. van Breemen, European Central Bank, Claudia Schwarz, European Central Bank, Dennis Vink, European Central Bank
Discussant: Rhiannon Sowerbutts, Bank of England

Same Same but Different – Credit Risk Provisioning under IFRS 9 aper 12
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Markus Behn, European Central Bank, Cyril Couaillier, European Central Bank
Discussant: Simona Malovana, Czech National Bank

FRIDAY, 24 November 2023

09.00–10.30 Session 3: Bank capital regulation
Chair: Mikael Juselius, Suomen Pankki

Macroprudential policy leakage through firms
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Björn Imbierowicz, Deutsche Bundesbank, Axel Loeffler, Deutsche Bundesbank, Steven Ongena, University of Zurich, Ursula Vogel, European Central Bank

The state-dependent impact of changes in bank capital requirements
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Jan Hannes Lang, European Central Bank, Dominik Menno, Deutsche Bundesbank
Discussant: Chiara Punzo, Bank of England

10.30–10.45 Coffee break

10.45–12.15 Session 4: Informational frictions and banks
Chair: Melina Papoutsi, European Central Bank

Countercyclical credit market tightness and macroprudential regulation
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Markus Haavio, Bank of Finland
Discussant: Razvan Vlahu, De Nederlandsche Bank

Bank restructuring under asymmetric information: The role of bad loan disposals
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Anatoli Segura, Banca d’Italia, Javier Suarez, CEMFI
Discussant: Jorge Abad, Banco de España

12.15–13.15 Lunch

13.15–14.45 Session 5: Capital buffers
Chair: Björn Imbierowicz, Deutsche Bundesbank

Do banks' voluntary buffers matter? The effectiveness of macroprudential policies on well capitalised banks
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Ugo Albertazzi, European Central Bank, Aurea Ponte Marques, European Central Bank, Giulia Leila Travaglini, European Central Bank, Giuseppe Cappelletti, European Central Bank
Discussant: Katja Neugebauer, Banco de Portugal

To use or not to use? Capital buffers and lending during a crisis
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Diogo Serra, Banco de Portugal, Lucas Avezum, Banco de Portugal, Vítor Oliveira, Banco de Portugal
Discussant: Aurea Ponte Marques, European Central Bank

14.45–15.00 Coffee break

15.00–16.15 Keynote speech - Interest Rates, Market Power, and Financial Stability
Rafael Repullo, CEMFI
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16.15–17.45 Session 6: Systemic risk and contagion
Chair: Maria Teresa Gonzalez Perez, Banco de España

Contagion from market price impact: a price-at-risk perspective
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Gábor Fukker, European Central Bank, Michiel Kaijser, De Nederlandsche Bank, Luca Mingarelli, European Central Bank, Matthias Sydow, European Central Bank
Discussant: Norbert Metiu, Deutsche Bundesbank

Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector
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Daniel Dimitrov, De Nederlandsche Bank, Sweder van Wijnbergen, University Of Amsterdam
Discussant: Philipp König, Deutsche Bundesbank

SATURDAY, 25 November 2023

9.00–10.30 Session 7: Limits on lenders and borrowers
Chair: Roman Vasil, Národná banka Slovenska

How do Banks Respond to Limits on Maturity Transformation?
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Pierluigi Bologna, Banca d’Italia, Maddalena Galardo, Banca d’Italia
Discussant: Glenn Schepens, European Central Bank

Measuring the effects of borrower-based policies on new housing loans
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Merike Kukk, Eesti Pank, Natalia Levenko, Eesti Pank, Nicolas Reigl, Eesti Pank
Discussant: Ursula Vogel, Deutsche Bundesbank

10.30–10.45 Coffee break

10.45–12.15 Session 8: Transmission of macroprudential policy II
Chair: Diana Bonfim, Banco de Portugal

The Transmission of Macroprudential Policy in the Tails: Evidence from a Narrative Approach
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Alvaro Fernández-Gallardo, Universidad Alicante, Simon Lloyd, Bank of England, Ed Manuel, Bank of England
Discussant: Michal Franta, Czech National Bank

Leakages from macroprudential regulations: The case of household-specific tools and corporate credit
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Apoorv Bhargava, Breakout Capital, Lucyna Gornicka, European Central Bank, Peichu Xie, International Monetary Fund
Discussant: Dennis Reinhardt, Bank of England

12.15-13.15 Lunch

13.15 End of the program