Inflation-Indexed Securities and Inflation Risk Management

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Inflation-Indexed Securities and Inflation Risk Management

February 10, 2009

Agenda


Tuesday, February 10

8:00 a.m.	Breakfast and Registration 12th Floor Conference Center

9:00 a.m.	The Case for TIPS William Dudley, Federal Reserve Bank of New York Speech >>

9:20 a.m.	Session 1: TIPS Liquidity and Announcement Effects Chair: Brian Sack, Macroeconomic Advisers The Microstructure of the TIPS Market Michael Fleming, Federal Reserve Bank of New York Neel Krishnan, Option Arbitrage Fund Presentation >> Discussant: Dariush Mirfendereski, UBS Investment Bank Presentation >>

10:10 a.m.	The High-Frequency Impact of News on Long-Term Yields and Forward Rates: Is It Real? Meredith Beechey, Board of Governors of the Federal Reserve System Jonathan Wright, Johns Hopkins University Presentation >> Discussant: Thomas Philippon, New York University Presentation >>

11:00 a.m.	Coffee Break

11:30 a.m.	Session 2: Panel Discussion on the Welfare Implications of Inflation-Protected Securities Chair: Tobias Adrian, Federal Reserve Bank of New York John Y. Campbell, Harvard University Joseph Davis, Vanguard James Clouse, Federal Reserve Board Peter Fisher, BlackRock Mihir Worah, PIMCO

1:00 p.m.	Lunch Liberty Room

2:30 p.m.	Session 3: The Inflation Risk Premium Chair: Robert Engle, New York University Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates Joseph Haubrich, Federal Reserve Bank of Cleveland George Pennacchi, University of Illinois at Urbana-Champaign Peter Ritchken, Case Western Reserve University Presentation >> Discussant: Mikhail Chernov, London Business School Presentation >>

3:20 p.m.	Inflation Risk Premia in the U.S. and the Euro Area Peter Hördahl, Bank for International Settlements Oreste Tristani, European Central Bank Presentation >> Discussant: Marc Giannoni, Columbia University Presentation >>

4:10 p.m.	Session 4: Inflation Risk Management Chair: Michael Pond, Barclays Capital Inflation-Hedging Properties of Real Assets and Implications for Asset-Liability Management Decisions Noel Amenc, EDHEC Business School Lionel Martellini, EDHEC Business School Volker Ziemann, EDHEC Business School Presentation >> Discussant: Jessica Wachter, University of Pennsylvania, Wharton Presentation >>

5:00 p.m.	Reception Liberty Room, 1st Floor

6:00 p.m.	Adjourn