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  • Joint European Central Bank and Central Bank of Ireland research workshop

Macroprudential policy: from research to implementation

10 July 2018, Dublin,
Central Bank of Ireland, New Wapping Street, North Wall Quay, Dublin 1, D01F7X3

Programme

Tuesday, 10 July 2018
08:30

Opening remarks by Sharon Donnery, Deputy Governor-Central Banking, Central Bank of Ireland

 

Session 1: Packaging borrower-based instruments

Chair: Maurice McGuire, Director of Financial Stability, Central Bank of Ireland

08:40

On the effectiveness of loan-to-value regulation in a multiconstraint framework

Presenter: Anna Grodecka (Sveriges Riksbank)

Discussant: Lorenzo Burlon (Banca d'Italia)

09:15

Multiple Credit Constraints and Time-Varying Macroeconomic Dynamics

Presenter: Marcus Mølbak Ingholt (University of Copenhagen)

Discussant: Michael O’Grady (Central Bank of Ireland)

09:50

Coffee break

10:15

Keynote speaker: Enrique G. Mendoza , University of Pennsylvania

Macroprudential Policy: Promise and Challenges

 

Session 2: Transmission channels of instruments targeting real estate markets

Chair: Giorgio Gobbi, Head of Financial Stability Directorate at the Banca d'Italia, ATC/FSC member

11:00

How do Capital Requirements Impact Loan Rates? Evidence from a Quasi-Experiment in the Commercial Real Estate Market

Presenter: David Glancy (Federal Reserve Board of Governors)
Co-author: Robert Kurtzman (Federal Reserve Board of Governors)

Discussant: Wanda Cornacchia (Banca d'Italia)

11:35

LTV Limit and Borrower Risk

Presenter: Nitzan Tzur-Ilan (Bank of Israel)

Discussant:Robert Kelly (Central Bank of Ireland)

12:10

Lunch

13:30

Keynote speaker: Dirk Schoenmaker, Rotterdam School of Management, Erasmus University; Erasmus Research Institute of Management (ERIM); Centre for Economic Policy Research (CEPR)European Banks Straddling Borders: Risky or Rewarding?

Co-author: Patty Duijm (De Nederlandsche Bank)

 

Session 3: Bank and non-bank credit and macroprudential policies

Chair: Carmelo Salleo, Head of Stress Test Modelling Division at the European Central Bank

14:15

The effect of macroprudential policies on credit developments in Europe 1995-2017

Presenter: Katarzyna Budnik (European Central Bank)
Co-author: Martina Jasova (European Central Bank)

Discussant: Sebastiaan Pool (De Nederlandsche Bank)

15:00

Capturing macroprudential regulation effectiveness: a DSGE approach with shadow intermediaries

Presenter: Federico Lubello (Banque centrale du Luxembourg)
Co-author: Abdelaziz Rouabah (Banque centrale du Luxembourg)

Discussant: Johannes Poeschl (Danmarks Nationalbank)

15:45

Coffee break

16:00

Policy Panel: Can macroprudential policies address asset price bubbles: tulips, stocks, real-estate and crypto-currencies

Chair: Tomas Garbaravičius, Board member of Lietuvos bankas and MPPG co-Chair

Soledad Martinez Peria (IMF)
Philip Turner (National Institute of Economic and Social Research and University of Basel)

17:00

Closing remarks by John Fell (Deputy Director General, European Central Bank, and MPPG co-Chair)

Call for paper information

Submission deadline: 1 May 2018

Call for Papers

Joint European Central Bank and Central Bank of Ireland research workshop

“Macroprudential policy: from research to implementation”

10 July 2018, Dublin

In recent years, policymakers have made significant progress in applying macroprudential instruments, particularly in the banking sector. This prompts us to re-evaluate the transmission channels and effectiveness of instruments designed to mitigate systemic risks. In a set-up with numerous macroprudential instruments one of the key challenges is to make a holistic assessment of the macroprudential stance. This requires an understanding of whether an instrument is appropriate with respect to the systemic risk and of the interactions between the macroprudential instruments applied. Against this background, the Macroprudential Policy Group (MPPG) of the European Central Bank’s Financial Stability Committee (FSC) is organising its third research workshop entitled “Macroprudential policy: from research to implementation”, to be held in Dublin on 10 July 2018 and hosted by the Central Bank of Ireland. This workshop brings together the most recent advances regarding analytical tools for the assessment of macroprudential instruments. The models and techniques assessed will encompass systemic risk identification, including an assessment of the systemic importance of financial institutions; an evaluation of the effectiveness of macroprudential measures; network and contagion analysis; and macro stress-testing.

The workshop aims to facilitate a dialogue between policymakers and researchers in order to deepen our collective understanding of the functioning of macroprudential policies. It will review empirical results, as well as state of the art models and tools currently being developed in academia and policy institutions for the assessment of macroprudential policies. The review is intended to shed further light on possible complementarities, interactions and spillover effects created by the implementation of macroprudential measures.

Topics

We welcome theoretical and empirical contributions on the calibration and effectiveness of macroprudential instruments. Possible topics could, for example, include:

  • What analytical methods can be used to assess leakages and cross-border spillover effects following the application of macroprudential policies? How can the introduction of different macroprudential instruments minimise leakages and unintended consequences (cross-border and cross-sector), so as to maximise the efficiency of the measures?
  • How should rules steering macroprudential policy be defined and applied? How should indicators for guiding the activation and calibration of macroprudential instruments be selected and aggregated? What analytical methods (including indicators) can be used for calibrating macroprudential instruments (e.g. for setting the extent of buffers, the levels of (de)activation/accumulation thresholds, and the scope and timing of the instruments used?
  • Which are the main justifications for macroprudential interventions? Which are the key distortions contributing to market inefficiencies, necessitating policy interventions? Which are the global asymmetries and local determinants of financial distress?
  • How can an ex ante and ex post evaluation of the effectiveness of macroprudential measures best be carried out? Is the effectiveness of macroprudential measures dependent on the time of their application (boom/bust)? How can we assess the costs and benefits of macroprudential instruments? What are the main limitations of the macroprudential toolkit in mitigating financial cycles and structural risks?
  • Which instruments are complementary and should be activated jointly to improve their effectiveness? Which instruments can be considered as substitutes? Which criteria or methods are applied to assess complementarity or substitutability between instruments? In the event of overlap between instruments, which criteria (effectiveness, efficiency, costs/benefits, leakages) should be used to select those most appropriate?
  • What analytical methods can be used to assess leakages and cross-border spillover effects following the application of macroprudential policies? How can the introduction of different macroprudential instruments minimise leakages and unintended consequences (cross-border and cross-sector), so as to maximise the efficiency of the measures?
  • Is there a role for communications policy in fostering the effectiveness of macroprudential policies? How can we best assess the role and advantages of a communications channel for macroprudential policies?

The above list is not exhaustive, and all submissions related to the topic of the calibration and effectiveness of macroprudential policies will be considered for presentation at the workshop.

Keynote speakers and panellists

Keynote Speakers

  • Enrique G. Mendoza (University of Pennsylvania) – paper “Macroprudential Policy: Promise and Challenges”
  • Elena Carletti (Bocconi University) – paper “Government guarantees and financial stability” (co-authored with F. Allen, I. Goldstein and A. Leonello)

Policy Panel: “Can macroprudential policies address asset price bubbles: tulips, stocks, real-estate and crypto-currencies?”

  • Tomas Garbaravičius (Board member of Lietuvos bankas)
  • Dirk Schoenmaker (Rotterdam School of Management, Erasmus University Rotterdam)
  • Philip Turner (National Institute of Economic and Social Research and University of Basel)

Invited speakers of other sessions

  • Philip Lane (Governor of the Central Bank of Ireland)
  • John Fell (Deputy Director in the European Central Bank)

Any additional names of invited speakers will be published shortly, once confirmed.

Attending the workshop

The invitation to attend the workshop is extended to:

  • members of the MPPG
  • members of any department within the European System of Central Banks (ESCB) represented in the substructures of the FSC who are working on topics related to the content of the workshop
  • members of any EU or international financial institution (e.g. the Bank for International Settlements, the Federal Reserve System and the International Monetary Fund) who are working on topics related to the content of the workshop

However, owing to restrictions on space, places for non-MPPG attendees will be limited to one participant from each institution (not including those presenting papers).

Submissions

Submissions are welcome from those within the ESCB and EU or international financial institutions who are working on topics related to the calibration and effectiveness of macroprudential policies. Interested authors should submit their papers to workshopmacropru@ecb.int. The deadline for submitting the extended abstract or completed draft (strongly preferred) of the paper is 18:00 CET on 1 May 2018. Authors of accepted papers will be notified by 4 June 2018.

Expenses

Travel and accommodation expenses of all attendees, presenters of accepted papers and discussants are to be covered by their own ESCB entity or EU or international financial institution. Costs of participants from academic institutions may be reimbursed by the organisers upon request. No conference fee will be charged.

Organising committee

  • Katarzyna Budnik (European Central Bank)
  • Antonio Di Cesare (Banca d’Italia)
  • Petra Lennartsdotter (European Central Bank)
  • Aurea Marques (European Central Bank)
  • Martin O’Brien (Central Bank of Ireland)