Financial Market Frictions and Systemic Risks
Organized by Wenxin Du, Alp Simsek, and Chester S. Spatt
Supported by the Office of Financial Research through an interagency agreement with the National Science Foundation
March 8, 2024
NBER, 1050 Massachusetts Ave, Cambridge, MA
Friday, March 8
2nd Floor Conference Room, NBER, 1050 Massachusetts Ave., Cambridge
Continental Breakfast
8:14 am
Session I
Chair: Chester Spatt, Carnegie Mellon University and NBER
8:15 am
Welcome and Introductions
8:30am

Liquidity Provision in a One-Sided Market: The Role of Dealer-Hedge Fund Relations

Mathias Kruttli, Indiana University
Marco Macchiavelli, University of Massachusetts, Amherst
Phillip J. Monin, Federal Reserve Board of Governors
Xing (Alex) Zhou, Southern Methodist University

Discussant:
Maureen O'Hara, Cornell University
9:30 am

Dealer Capacity and US Treasury Market Functionality

Darrell Duffie, Stanford University and NBER
Michael J. Fleming, Federal Reserve Bank of New York
Frank Keane, Federal Reserve Bank of New York
Claire Nelson, Princeton University
Or Shachar, Federal Reserve Bank of New York
Peter Van Tassel

Discussant:
Kumar Venkataraman, Southern Methodist University
10:30 am
Break
11:00 am

Failing Banks

Sergio A. Correia, Federal Reserve Bank of Richmond
Stephan Luck, Federal Reserve Bank of New York
Emil Verner, Massachusetts Institute of Technology and NBER

Discussant:
Andrew Metrick, Yale University and NBER
12:00 pm
Lunch
12:59 pm
Session II: "Lightning Round" Presentations
Chair: Alp Simsek, Yale University and NBER
1:00 pm
Discussion of Research Opportunities Involving Financial Markets and Systemic Risk
1:30pm

The Deposit Business at Large vs. Small Banks

Nancy Wallace, University of California, Berkeley
Adrien d'Avernas, Stockholm School of Economics
Andrea L. Eisfeldt, University of California, Los Angeles and NBER
Can Huang, University of Illinois Urbana-Champaign
Richard Stanton, University of California, Berkeley
1:50pm

Where Do Banks End and NBFIs Begin?

Viral V. Acharya, New York University and NBER
Nicola Cetorelli, Federal Reserve Bank of New York
Bruce Tuckman, New York University Stern School of Business
2:10pm

Quantities and Covered-Interest Parity

Tobias J. Moskowitz, Yale University and NBER
Chase P. Ross, Federal Reserve Board of Governors
Sharon Y. Ross, Federal Reserve Board of Governors
Kaushik Vasudevan, Purdue University
2:30 pm
Break
2:44 pm
Session III
Chair: Wenxin Du, Columbia University and NBER
2:45pm

Intermediary Balance Sheet Constraints, Bond Mutual Funds' Strategies, and Bond Returns

Mariassunta Giannetti, Stockholm School of Economics
Chotibhak Jotikasthira, Southern Methodist University
Andreas C. Rapp, Board of Governors of the Federal Reserve System
Martin Waibel, Stockholm School of Economics

Discussant:
Yao Zeng, University of Pennsylvania and NBER
3:45pm

Original Sin Redux: Role of Duration Risk

Hyun Song Shin, Bank for International Settlements
Valentina Bruno, American University and NBER
Carol Bertaut, Federal Reserve Board of Governors

Discussant:
Sergio L. Schmukler, The World Bank
4:45 pm
Closing Remarks and Adjourn