Third Wharton Conference on Liquidity and Financial Crises

Sponsored by Wharton Financial Institutions Center and the Review of Financial Studies

Organized by Franklin Allen, Itay Goldstein and Guillermo Ordonez

Eighth Floor Conference Facility, Jon M. Huntsman Hall, 3730 Walnut Street, Philadelphia

PDF Version of Program is available here.

Friday, October 10th 2014

8:30 - 9:30 - Breakfast

Session 1 – 9:30‐12:20 ‐ Trading in Financial Markets (includes 20 minutes break)

Chair: Itay Goldstein (Wharton)

"Investor Sophistication and Capital Income Inequality."

Marcin Kacperczyk (Imperial College), Jaromir Nosal (Columbia) and Luminita Stevens (Maryland).

Discussant: Venky Venkateswaran (NYU).

"Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets."

Martin Oehmke (Columbia) and Adam Zawadowski (Boston University).

Discussant: Andrew Winton (Minnesota).

"Trading on Sunspots."

Boyan Jovanovic (NYU) and Viktor Tsyrennikov (Cornell).

Discussant: Todd Keister (Rutgers).

12:20‐13:40 – Lunch

Session 2 – 13:40‐15:20 ‐ Endogenous Networks

Chair: Ben Lester (Federal Reserve Bank of Philadelphia)

"Adverse Selection and Intermediation Chains."

Vincent Glode (Wharton) and Christian Opp (Wharton).

Discussant: Albert “Pete” Kyle (Maryland).

"Risk Sharing and Contagion in Networks."

Antonio Cabrales (UCL), Piero Gottardi (EUI) and Fernando Vega‐Redondo (Bocconi).

Discussant: Maryam Farboodi (Princeton).

15:20‐15:40 – Break

Session 3 – 15:40‐17:20 ‐ Banking Fragility

Chair: Jakub Kastl (Princeton)

"Deposit Competition and Financial Fragility: Evidence from the US Banking Sector."

Mark Egan (Chicago), Ali Hortacsu (Chicago) and Gregor Matvos (Chicago).

Discussant: David Scharfstein (Harvard).

"Runs versus Lemons: Fiscal Capacity and Financial Stability."

Miguel de Faria e Castro (NYU), Joseba Martinez (NYU) and Thomas Philippon (NYU).

Discussant: Willie Fuchs (Berkeley).

19:00 – Dinner. Speaker: Anil Kashyap (Chicago)

(Drinks and light hors d'oeuvres will be served at 6:15pm)

 

Saturday, October 11th 2014

7:30 - 8:30 - Breakfast

Session 4 – 8:30‐10:10 ‐ Unintended Consequences of Financial Regulation

Chair: Stijn Claessens (IMF)

"Ratings‐Based Regulation and Systematic Risk Incentives."

Giuliano Iannotta (Università Cattolica) and George Pennacchi (Illinois).

Discussant: Tom Cooley (NYU).

"Shadow Insurance."

Ralph Koijen (LBS) and Motohiro Yogo (Minneapolis Fed).

Discussant: Robert McDonald (Northwestern).

10:10‐10:30 – Break

Session 5 – 10:30‐12:10 ‐ Monetary Policy and Financial Markets

Chair: Franklin Allen (Wharton & Imperial College)

"Risk‐Taking Channel of Monetary Policy."

Stephen Morris (Princeton) and Hyun Song Shin (BIS).

Discussant: Enrico Perotti (Universiteit van Amsterdam).

"A Model of Monetary Exchange in Over‐the‐Counter Markets."

Ricardo Lagos (NYU) and Shengxing Zhang (LSE).

Discussant: Nicolae Garleanu (Berkeley).

Session 6 – 12:10‐15:30 ‐ Credit Shocks

Chair: Guillermo Ordonez (University of Pennsylvania)

"Debt Constraints and Unemployment."

Virgiliu Midrigan (NYU), Patrick Kehoe (Minnesota) and Elena Pastorino (Minnesota).

Discussant: Guido Menzio (UPenn)

13:00‐13:50 – Lunch

"Bank Ratings and Lending Supply: Evidence from Sovereign Downgrades."

Manuel Adelino (Duke) and Miguel Ferreira (Nova).

Discussant: Alberto Martin (CREI).

"Credit Shocks in an Economy with Heterogeneous Firms and Default."

Aubhik Khan (OSU), Tatsuro Senga (OSU) and Julia Thomas (OSU).

Discussant: Urban Jermann (Wharton).

15:30 – Adjourn

 

 

 

Wireless Access in Conference Area:

 

Group Code for access to UPenn's wireless network, AirPennNet-Guest: C-VQNGTBLU

 

If you encounter problems accessing the wireless network please try the following:

 

1. When on campus, open a web browser. Attempt to visit the www.upenn.edu homepage if you are not automatically redirected to the "Welcome to the AirPennNet-Guest Wireless Service" page.

2. Follow the 'Group Code' link.

3. Enter the Group Code.

4. Enter your name, phone number, and e-mail address and submit the form.

5. In order to complete the process, please wait a few moments and toggle your wireless adapter off and on and then reconnect to the AirPennNet-Guest wireless network. If the connection fails, or if you are redirected to the welcome page again, please reboot your device.

 

Directions and Parking:

 

For information on directions to Penn's campus, parking and transportation please visit the following page:

 

http://www.admissions.upenn.edu/visit/directions-and-parking

 

 

 

Campus Map:

 

Jon M. Huntsman Hall (3730 Walnut Street) is only a few minutes walk away from the Sheraton University City Hotel