Inflation-Indexed Securities and Inflation Risk Management
February 10, 2009
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 pdf
Michael Fleming, Federal Reserve Bank of New York
Neel Krishnan, Option Arbitrage Fund
Presentation >> pdf

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

Discussant: Thomas Philippon, New York University
Presentation >> pdf
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 pdf
Joseph Haubrich, Federal Reserve Bank of Cleveland
George Pennacchi, University of Illinois at Urbana-Champaign
Peter Ritchken, Case Western Reserve University
Presentation >> pdf

Discussant: Mikhail Chernov, London Business School
Presentation >> pdf

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

Discussant: Marc Giannoni, Columbia University
Presentation >> pdf
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 pdf
Noel Amenc, EDHEC Business School
Lionel Martellini, EDHEC Business School
Volker Ziemann, EDHEC Business School
Presentation >> pdf

Discussant: Jessica Wachter, University of Pennsylvania, Wharton
Presentation >> pdf
5:00 p.m. Reception
Liberty Room, 1st Floor
6:00 p.m. Adjourn

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