ECB Conference on Money Markets

Conference Chair: welcome and housekeeping

Luc Laeven, Director General Research, European Central Bank

Welcome address

Philip Lane, Member of the Executive Board, European Central Bank

Session 1 – Non-banks and the lender of last resort

Chair: Luc Laeven, Director General Research, European Central Bank

Do non-banks need access to the lender of last resort? Evidence from fund runs

Johannes Breckenfelder and Marie Hoerova*, European Central Bank; Niklas Grimm, Columbia University

Discussant: Yiming Ma, Columbia University

Liquidity restrictions, runs and central bank interventions – evidence from money market funds

Lei Li*, Yi Li, Marco Macchiavelli and Xing (Alex) Zhou, all from Federal Reserve Board

Discussant: Marcin Kacperczyk, Imperial College London

Keynote address

Chair: Florian Heider, Head of Section, Financial Market Research, European Central Bank

Central bank digital currency design: the interest rate-vs-convenience frontier

Haoxiang Zhu, Gordon Y Billard Professor of Management and Finance, MIT Sloan School of Management

Session 2 – Funding markets

Chair: Angela Maddaloni, Head of Section, Financial Intermediation Research, European Central Bank

Hedge funds and the treasury cash-futures disconnect

Daniel Barth, Federal Reserve Board; Jay Kahn*, Office for Financial Research, US Department of the Treasury

Discussant: Loriana Pelizzon, Goethe University

The paradox of conservative haircuts

Dmitry Chebotarev, Insead

Discussant: Wenqian Huang, Bank for International Settlements

End of first conference day

Session 3 – Demand for central bank reserves

Chair: Tobias Linzert, Head of Section, Policy Assessment, European Central Bank

Scarce, abundant or ample? A time-varying model of the reserve demand curve

Gara Afonso, Gabriele La Spada* and John C. Williams, all from Federal Reserve Bank of New York; Domenico Giannone, Amazon

Discussant: Huberto Ennis, Federal Reserve Bank of Richmond

How do banks manage liquidity? Evidence from the ECB’s tiering experiment

Luca Baldo, Banca d'Italia; Florian Heider, Peter Hoffmann, Jean-David Sigaux* and Olivier Vergote, all from European Central Bank

Discussant: Vasso Ioannidou, Professor of Finance, Bayes Business School (formerly Cass), University of London

Market participants panel

Chair: Thomas Vlassopoulos, Deputy Director General Market Operations, European Central Bank

Panellists:

• Corentine Poilvet-Clediere, Head of RepoClear, Collateral and Liquidity Management, LCH SA Paris
• Simon Potter, Vice-Chair FIC Millennium Hedge Fund, former head of the Markets Group and the System Open Market Account at Federal Reserve New York
• Bineet Shah, Managing Director, Treasury Funding & Investments, Barclays, London
• Agathe Zinzindohoue, Société Générale, SG Group Treasurer

Session 4 – Payments

Chair: Helmut Wacket, Head of Money Market and Liquidity Division, European Central Bank

Money creation in decentralised finance: a dynamic model of stablecoins and crypto shadow banking

Ye Li*, Ohio State University; Simon Mayer, Erasmus University Rotterdam

Discussant: Jean-Charles Rochet, University of Zurich

Strategic complementarities in the payment system in the era of ample reserves

Gara Afonso*, Federal Reserve Bank of New York; Darrell Duffie and Lorenzo Rigon, Stanford University; Hyun Song Shin, Bank for International Settlements

Discussant: Christine Parlour, University of California, Berkeley

Wrap-up of conference

Katrin Assenmacher, Head of Division, Monetary Policy Strategy, European Central Bank