Workshop: Monetary Policy and the Money Market

June 5 - 6, 2003

Overview
The money market is the first step in the transmission of monetary policy and a key source of information on expectations about monetary policy. The scope of this workshop is to discuss a selected number of research papers focusing on interactions between money markets, financial markets and monetary policy in the United States and in the euro area.

Program Organizers
Ignazio Angeloni (European Central Bank)
Leonardo Bartolini (Federal Reserve Bank of New York)
Marvin Goodfriend (Federal Reserve Bank of Richmond)
Local Contact and Workshop Registration
Marie Krynicky, marie.krynicky@ny.frb.org, (1-212)720-8631
Linda Cimini, linda.cimini@ny.frb.org, (1-212)720-1750

Contact at the ECB
Johanna Klukowski, johanna.klukowski@ecb.int, (49-69) 1344-7890

Location
The conference will be held in the twelfth floor conference area of the Federal Reserve Bank of New York.

Agenda
Thursday, June 5
12:00 p.m. Luncheon
Officers’ Dining Room
Federal Reserve Bank of New York
10th floor

Welcome Remarks:
Christine M. Cumming
Executive Vice President and Director of Research
Federal Reserve Bank of New York

1:15 p.m. Spillovers Across U.S. Financial Markets PDF
Roberto Rigobon (Massachusetts Institute of Technology)
Brian Sack (Board of Governors of the Federal Reserve)

Discussant: Pierluigi Balduzzi (Boston College, Carroll School of Management)
2:45 p.m. Coffee
3:00 p.m.

Excess Reserves and the ECB’s Implementation of Monetary Policy PDF
Ulrich Bindseil (European Central Bank)
Gonzalo Camba-Mendez (European Central Bank)
Astrid Hirsch (European Central Bank)
Benedict Weller (European Central Bank)

Discussant: James Clouse (Board of Governors of the Federal Reserve)

4:30 p.m. Coffee
4:45 p.m.

Euler Equations and Money Market Interest Rates: A Challenge for
Monetary Policy Models
PDF
Robert Cumby (Georgetown University)
Behzad Diba (Georgetown University)
Matt Canzoneri (Georgetown University)

Discussant: Marvin Goodfriend (Federal Reserve Bank of Richmond)

6:15 p.m. Reception
Federal Reserve Bank of New York
11th floor
6:45 p.m.

Dinner
President’s Lounge and Dining Room A
Federal Reserve Bank of New York
11th floor

Friday, June 6
8:30 a.m. Continental Breakfast
9:00 a.m. The Performance of the Euribor Futures Market: Efficiency and the Impact
of ECB Policy Announcements
PDF
Kerstin Bernoth (ZEI, Center for European Integration Studies)
Jürgen Von Hagen (ZEI, Center for European Integration Studies)

Discussant: Ken Kuttner (Federal Reserve Bank of New York)
10:30 a.m. Coffee
10:45 a.m.

The Fed’s New Discount Window and Interbank Borrowing PDF
Craig Furfine (Federal Reserve Bank of Chicago)

Discussant: Rick Mishkin (Columbia University, Graduate School of Business)

12:15 p.m. Luncheon
President’s Lounge and Dining Room A
Federal Reserve Bank of New York
11th floor
1:45 p.m.

Interdependence Between the Euro Area and the U.S.: What Role for EMU? PDF
Michael Ehrmann (European Central Bank)
Marcel Fratzcher (European Central Bank)

Discussant: Frank Diebold (University of Pennsylvania)

3:00 p.m. Coffee
3:15 p.m.

Liquidity and Announcement Effects in the Euro Area PDF
Paolo Angelini (Banca d’Italia)

Discussant: Oscar Jorda (University of California, Davis)

4:45 p.m.

Concluding Remarks:

Francesco Papadia
Director General, Operations
European Central Bank

5:00 p.m. Adjourn
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