XXVII Edition

10-11 December 2018"

Monday 10 December 2018
14:00 - 14:30

Registration

14:30 - 15:30

Opening of the conference - Welcome and introduction

Chairperson: Di Giorgio Giorgio, LUISS and CASMEF
Location: Aula Toti (Room 203)

Plenary Session: Liquidation, bailout, and bail-in: Insolvency resolution mechanisms and bank lending

Keynote speaker: Bart Lambrecht (Cambridge Judge Business School)
Chairperson: Fiordelisi Franco, Università Roma Tre
Location: Aula Toti (Room 203)
15:45 - 17:15
Session: B1

Financial markets

Chairperson: Borri Nicola, LUISS
Location: Room 205A
The behaviour of the interbank market during the crisis: a theoretical explanation
Olessia Caillé, Louis Raffestin
Presenter: Olessia Caillé, Laboratoire d'Economie d'Orléans, University of Orléans
The Real Effects of Financial Technology: Marketplace Lending and Personal Bankruptcy
Danisewicz Piotr, Elard Ilaf
Presenter: Danisewicz Piotr, University of Bristol
Information Choice, Shock Transmission and Contagion
Barbalau Adelina
Presenter: Barbalau Adelina, Imperial College London
Session: B2

Monetary models

Chairperson: Zannini Ugo, Tor Vergata University of Rome
Location: Room 205B
Monetary Policy, Heterogeneous Agents, and Nominal Rigidities: a TANK Approach
Lin Alessandro
Presenter: Lin Alessandro, Brown University
Sales and Promotions and the Great Recession Deflation
Koursaros Demetris
Presenter: Koursaros Demetris, Cyprus University of Technology
Outside money in the European Monetary System
Zannini Ugo
Presenter: Zannini Ugo, Tor Vergata University of Rome
Session: B3

Bank-firm relationship

Chairperson: ROTONDI ZENO, UniCredit
Location: Room 206A
Risk Sharing, Efficiency of Capital Allocation, and the Connection between Banks and the Real Economy
Barattieri Alessandro, Eden Maya , Stevanovic Dalibor
Presenter: Barattieri Alessandro, ESG UQAM
BANK-FIRM RELATIONS AND THE ROLE OF PUBLIC GUARANTEE SCHEMES IN THE AFTERMATH OF THE EUROPEAN SOVEREIGN DEBT CRISIS
Ciani Emanuele, Gallo Marco, ROTONDI ZENO
Presenter: ROTONDI ZENO, UniCredit
Distance Effects in CMBS Loan Pricing
Mimiroglu Nagihan
Presenter: Mimiroglu Nagihan, Maastricht University
Session: B4

Asset pricing 1

Chairperson: Bressan Silvia, Free University of Bozen/Bolzano
Location: Room 206B
Testing factor models in emerging markets: Evidence from the Egyptian stock market
Elsayed Sara Elsayed
Presenter: Elsayed Sara Elsayed, University of York
The convergence approach to stock market integration
Tam Pui Sun
Presenter: Tam Pui Sun, University of Macau
The financial conglomerate discount: Insights from stock return skewness
Bressan Silvia, Weissensteiner Alex
Presenter: Bressan Silvia, Free University of Bozen/Bolzano
17:15 - 17:45

Coffee break

Shuttle bus from conference location (Viale Romania) to dinner venue (Viale Pola, 5 minutes walking) available from the parking behind the cafeteria. Walking distance from conference location to dinner venue is about 30 minutes. Cabs available
Location: Aula Toti (Room 203)
17:45 - 19:15
Session: D1

Macroeconomic modelling

Chairperson: Loria Francesca, Board of Governors of trhe Federal Reserve System
Location: Room 205A
A New Keynesian Perspective on Total Factor Productivity via Production Networks
Loria Francesca, Castro Cienfuegos Nicolas
Presenter: Loria Francesca, Board of Governors of trhe Federal Reserve System
The Role of Uncertain Government Preferences for Fiscal and Monetary Policy Interaction
Kuznetsova Olga, Merzlyakov Sergey
Presenter: Merzlyakov Sergey, National Research University Higher School of Economics
Financial Repression and Public Finance in a Calibrated General Equilibrium Model
Pekarski Sergey, Isakov Kanat
Presenter: Pekarski Sergey, National Research University Higher School of Economics
Session: D2

Financial markets reactions

Chairperson: Pesic Valerio, University La Sapienza
Location: Room 205B
The Exposure of Firms to European Integration and the Role of Domestic Policy Positions
Plaga Timo
Presenter: Plaga Timo, TU Dresden
European Stock Reactions to Corporate Earnings Announcement: a First Market Assessment for Capital Markets Union’s Project
Pesic Valerio, Foglia Manzillo Vincenzo
Presenter: Pesic Valerio, University La Sapienza
Why do banks react differently to short-selling bans? Evidence from the AsiaPacific area and the United States
Paimanova Viktoriia, Previati Daniele Angelo , Galloppo Giuseppe, Aliano Mauro
Presenter: Paimanova Viktoriia, Tor Vergata University
Session: D3

Corporate finance and capital structure

Chairperson: Grandi Pietro Grandi, Université Paris 2, Panthéon-Assas
Location: Room 206A
A Study on the Government Protection to Financial Firms
Población García Francisco Javier, Ampudia Miguel
Presenter: Población García Francisco Javier, European Central Bank
Is financial distress value relevant?
Goetz Sabrina
Presenter: Goetz Sabrina, University of Hohenheim
Bank competition and €firm credit availability: €firm-bank evidence from Europe
Ninou Bozou Caroline, Grandi Pietro Grandi
Presenter: Grandi Pietro Grandi, Université Paris 2, Panthéon-Assas
Session: D4

Regulation 1

Chairperson: Cappelletti Giuseppe , European Central Bank
Location: Room 206B
Model-based regulation and lending to corporates
Tuuli Saara
Presenter: Tuuli Saara, University of Helsinki, Nordic Investment Bank
Does Monetary Policy Influence Banks’ Risk Weights under the Internal Ratings-based Approach?
Kolcunova Dominika, Malovana Simona, Broz Vaclav
Presenter: Kolcunova Dominika, Charles University in Prague, Czech National Bank
Impact of higher capital buffers on banks' lending: Evidence from the Euro Area experiments
Marques Aurea, Cappelletti Giuseppe , Varraso Paolo
Presenter: Cappelletti Giuseppe , European Central Bank
19:30 - 23:00

Social dinner

Location: Sala delle Colonne - Viale Pola 12
Tuesday 11 December 2018
09:00 - 10:30
Session: E1

Central banking innovation and financial literacy

Chairperson: arnone massimo, University La Sapiena
Location: Room 205A
SIGNIFICANT EFFECT OF THE CENTRAL BANK DIGITAL CURRENCY ON THE DESIGN OF MONETARY POLICY
Riyanti Retno, PURNAWAN Muhammad Edhie
Presenter: Riyanti Retno, Bank Indonesia Supervisory Board
THE ROLE OF FINANCIAL LITERACY ON FINANCIAL PERFORMANCE OF SMEs
Quintiliani Andrea, Modina Michele, arnone massimo
Presenter: arnone massimo, University La Sapiena
Session: E2

Exchange rates

Chairperson: Lothian James, Fordham University
Location: Room 205B
Testing Second-Generation Currency Crises Models: Evidence from the Pricing of American Depositary Receipts around FOMC Meetings
Roevekamp Ingmar
Presenter: Roevekamp Ingmar, TU Dresden
The Impact of Brexit on the British Pound/Euro Exchange rate
Arthur Korus, Kaan Celebi
Presenter: Kaan Celebi, Frankfurt University of Applied Sciences
Exchange Rates and Prices under Fixed and Flexible Exchange Rates
Lothian James
Presenter: Lothian James, Fordham University
Session: E3

Risk management

Chairperson: Quarante Anna Grazia, Università di Macerata
Location: Room 206A
The Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets
Kadiric Samir, Arthur Korus
Presenter: Kadiric Samir, University of Wuppertal
News and Sovereign CDS Spillovers: The Case of the Euro Area Markets
Louhichi Waël Louhichi
Presenter: Louhichi Waël Louhichi, ESSCA SCHOOL OF MANAGEMENT
Reatail investors and risk-return consistency of mutual fund investments
Quarante Anna Grazia
Presenter: Quarante Anna Grazia, Università di Macerata
Session: E4

Bank accounting and performance

Chairperson: Curcio Domenico, Università degli Studi di Napoli "Federico II"
Location: Room 206B
The effects of the financial crisis and the role of Stress Tests on banks accounting discretion
Cincinelli Peter, Piatti Domenico
Presenter: Cincinelli Peter, University of Bergamo
Efficiency Determinants of Banking Sectors in Central and Eastern Europe
Palečková Iveta
Presenter: Palečková Iveta, Silesian University, School of Business Administration
Loan loss provisions in banks – a shock transmission channel from shareholders to subsidiaries?
Skala Dorota
Presenter: Skala Dorota, University of Szczecin
10:30 - 10:50

Coffee break

Location: Faculty Lounge (5th floor)
10:50 - 12:00

Plenary Session: The analytic theory of monetary shocks

Keynote Speaker: Francesco Lippi (LUISS and EIEF)
Chairperson: Nucci Francesco, Università di Roma La Sapienza
Location: Aula Toti (Room 203)
12:00 - 13:30
Session: H1

Banks and systemic risk 1

Chairperson: Foglia Matteo, University G.D'Annunzio of Chieti-Pescara, Department of Economics
Location: Room 205A
The time-spatial dimension of Eurozone Banking Systemic Risk
Foglia Matteo
Presenter: Foglia Matteo, University G.D'Annunzio of Chieti-Pescara, Department of Economics
Measuring Network Systemic Risk Contributions: A Leave-one-out Approach
Yannick Lucotte, Sullivan Hué
Presenter: Sullivan Hué, Université d'Orléans
Session: H2

Monetary policy and the transmission mechanism

Chairperson: Porcellacchia Davide, European Central Bank
Location: Room 205B
Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization
Crayton Ancil
Presenter: Crayton Ancil, University College Dublin
Transmission of the monetary policy in the euro area at the zero lower bound
SALIMA OUERK, Christophe BOUCHER
Presenter: SALIMA OUERK, ESCP EUROPE / SORBONNE UNIVERSITY
Optimal Negative Interest on Reserves
Porcellacchia Davide
Presenter: Porcellacchia Davide, European Central Bank
Session: H3

Regulation 2

Chairperson: Guerello Chiara, LUISS Guido Carli
Location: Room 206A
The Nexus between Loan Portfolio Size and Volatility: Does Banking Regulation Matter?
Ludolph Melina, Bremus Franziska
Presenter: Ludolph Melina, Humboldt University Berlin
Is there a regulatory trade-off between stability and performance? Evidence from Italian banks.
Guerello Chiara, Murè Pina, Rovo Natasha, Spallone Marco
Presenter: Guerello Chiara, LUISS Guido Carli
The effects of countercyclical macroprudential policy – Does competition matter?
Olszak Małgorzata Olszak
Presenter: Olszak Małgorzata Olszak, University of Warsaw
13:30 - 14:45

Lunch

Location: Faculty Lounge (5th floor)
14:45 - 16:15
Session: J1

Econometric analysis of monetary policy

Chairperson: Nedeljkovic Milan, FEFA and CESifo
Location: Room 205A
Did the European Central Bank's Response to the Crisis Improve Financial Market Sentiment?
Mody Ashoka, Nedeljkovic Milan
Presenter: Nedeljkovic Milan, FEFA and CESifo
Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
Furlanetto Francesco, Loria Francesca
Presenter: Loria Francesca, Board of Governors of trhe Federal Reserve System
Monetary Policy Interaction with Government Bond Yields and Liquidity
Jurksas Linas
Presenter: Jurksas Linas, PhD candidate
Session: J2

Monetary policy in open economies

Chairperson: Menna Lorenzo, Banco de México
Location: Room 205B
Monetary policies and carry trades: A new Keynesian model with adaptive learning
Dell'Eva Cyril
Presenter: Dell'Eva Cyril, University of Pretoria
Capital flows and the business cycle
Menna Lorenzo Menna, Cuadra Gabriel
Presenter: Menna Lorenzo Menna, Banco de México
Policy Guidance and the International Transmission of Macro News: Evidence from Investment Funds
Ciminelli Gabriele
Presenter: Ciminelli Gabriele, University of Amsterdam and International Monetary Fund
Session: J3

Banks and systemic risk 2

Chairperson: Covi Giovanni, European Central Bank
Location: Room 206A
CoMap: Mapping Contagion in the Euro Area Banking Sector
Covi Giovanni, Gorpe Ziya, Kok Christoffer
Presenter: Covi Giovanni, European Central Bank
The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk
Ngo Huyen Trang, van Dellen Stefan , Benamraoui Abdelhafid, Ayton Julie
Presenter: Ngo Huyen Trang, University of Westminster
Session: J4

Banks and sovereign exposure

Chairperson: Boumparis Periklis, University of Liverpool
Location: Room 206B
Sovereign rating assessment and non-performing loans
Boumparis Periklis
Presenter: Boumparis Periklis, University of Liverpool
Eurozone Exit Risk
Eichler Stefan , Roevekamp Ingmar
Presenter: Eichler Stefan , TU Dresden
Are Banks' Sovereign Exposures Really a Curse? Micro-evidence from Europe
Pesic Valerio, Ferri Giovanni , D'Apice Vincenzo
Presenter: Pesic Valerio, University La Sapienza

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