Understanding Macroprudential Regulation

Norges Bank, Oslo,  29 - 30 November 2012

It is now widely accepted that banking regulation should move beyond the conventional microprudential framework to incorporate macroprudential elements. However, there is a lack of understanding about what form macroprudential regulation should take and how it may affect the risk-taking incentives of financial intermediaries. There is also limited knowledge on how such regulation may interact with other objectives (such as monetary policy targeting price stability).

This workshop aims to bring together researchers and policy makers, discussing macroprudential regulation in theory and practice with the aim of advancing our knowledge of regulation in a post-crisis world.

There will be invited speakers and discussants covering areas such as:

  • Sources of systemic risks and policies that can mitigate them
  • Welfare-foundations of macroprudential regulation
  • The impact of macroprudential policies on bank risk-taking
  • Systemic risk measures and their suitability as input in macroprudential regulation
  • The conduct of macroprudential regulation and the new business model for central banks

The workshop lasts for one and half days. It brings together academics, central bank economists, and policy makers to discuss the topical issues.

Program Committee:
Jin Cao (Norges Bank), Gianni De Nicolo (International Monetary Fund), Gerhard Illing (University of Munich & CESifo), Wolf Wagner (Tilburg University)

Local Organizing Committee:
Jin Cao, Artashes Karapetyan, Vegard Mokleiv Nygård

E-mail: fstworkshop2012@norges-bank.no

List of participants (pdf)

Program

Thursday, 29 November 2012

9:00 Welcoming address (Jan F. Qvigstad, Deputy Governor, Norges Bank)

9:15-10:45 Session 1: Financial Stability in General Equilibrium (Chair: Wolf Wagner)

Gianni De Nicolò, IMF and Marcella Lucchetta, University of Venice [Presentation]: Bank Competition and Financial Stability: A General Equilibrium Exposition.

Discussant: Gabriella Chiesa, University of Bologna

Alberto Martin and Jaume Ventura, CREI, Universitat Pompeu Fabra [Presentation]: Bubbly Collateral and Economic Activity.

Discussant: Oren Sussmann, University of Oxford

11:00-12:30 Session 2: Capital Requirement and Systemic Risk (Chair: Arild Lund)

Florian Buck, Center of Economic Studies, University of Munich [Presentation] and Eva Schliephake The Regulator's Trade-off: Bank Supervision vs. Minimum Capital.

Discussant: Fabio Castiglionesi, Tilburg University

Wolf Wagner and Bálint Horváth, Tilburg University [Presentation]: The Disturbing Interaction between Countercyclical Capital Requirements and Systemic Risk.

Discussant: Benjamin Nelson, Bank of England

14:00-15:15 Keynote speech (Chair: Gerhard Illing)

Paul Pfleiderer, Stanford University

15:30-17:00 Session 3: Unstable Banking (Chair: Ingvild Svendsen)

Elena Carletti, European University Institute [Presentation], Franklin Allen, Itay Goldstein and Agnese Leonello: Government Guarantees and Financial Stability.

Discussant: Gerhard Illing, University of Munich and CESifo

Robin Greenwood, Augustin Landier, Toulouse School of Economics [Presentation], and David Thesmar: Vulnerable Banks.

Discussant: Thomas Gehrig, University of Vienna

 

Friday, 30 November 2012

9:00-11:15 Session 4: Optimal Policy in the Macro-Finance Context (Chair: Sigbjørn Atle Berg)

Pablo Federico, Carlos Végh, University of Maryland [Presentation] and Guillermo Vuletin: Macroprudential Policy over the Business Cycle: Evidence From Reserve Requirements.

Discussant: Bent Vale, Norges Bank

Javier Suárez and David Martínez Miera, Universidad Carlos III de Madrid [Presentation]: A Macroeconomic Model of Endogenous Systemic Risk Taking.

Discussant: Rafal Raciborski, European Commission

Leonardo Gambacorta, BIS [Presentation] and Federico M. Signoretti: Should Monetary Policy Lean Against the Wind? An Analysis Based on a DSGE Model with Banking.

Discussant: Paolo Gelain, Norges Bank

11:30-13:00 Session 5: Measuring Bank Risk (Chair: Farooq Akram)

Giovanni Dell'Ariccia, IMF [Presentation]: Property Prices and Bank Risk Taking.

Discussant: Diemo Dietrich, Newcastle University Business School

Mathias Drehmann, BIS [Presentation] and Mikael Juselius: Improving Early Warning Indicators for Banking Crises.

Discussant: Fabio Fornari, ECB

 

Published 21 September 2012 15:00
Edited 7 December 2012 11:24