Liquidity Conference

October 6-7, 2005
A conference jointly sponsored by the Federal Reserve Bank of New York and the Bendheim Center for Finance of Princeton University.

Agenda


Thursday, October 6


11:00 a.m. Registration and buffet lunch

12:15 p.m. Welcome remarks by Timothy Geithner, President, Federal Reserve Bank of New York

12:30 p.m. Asset Fire Sales (and Purchases) in Equity Markets
Joshua Coval and Erik Stafford, Harvard University
Discussant: Lasse Pedersen, New York University
Practitioner view: Ulrike Hoffmann-Burchardi, Tudor Investment

1:30 p.m. Episodic Liquidity Crises
Bruce Carlin, Miguel Lobo, and S. Viswanathan, Duke University
Discussant: Matthew Pritsker, Board of Governors of the Federal Reserve System
Practitioner View: Louis Scott, Morgan Stanley

2:30 p.m. Break

3:00 p.m. Cross-Sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk
Matthew Spiegel and Xiatong Vivian Wang, Yale University
Discussant: Robert Stambaugh, University of Pennsylvania
Practitioner View: Russell Fuller, Fuller and Thaler Asset Management

4:00 p.m. Financial System Risk and Flight to Quality
Ricardo Caballero, Massachusetts Institute of Technology; and Arvind Krishnamurthy, Northwestern University
Discussant: Dimitri Vayanos, London School of Economics
Practitioner View: Mike Rashes, Bracebridge Capital

Friday, October 7

8:00 a.m. Breakfast

8:30 a.m Asset Prices and Liquidity in an Exchange Economy
Ricardo Lagos, Federal Reserve Bank of Minneapolis and New York University
Discussant: Nobuhiro Kiyotaki, London School of Economics
Practitioner View: David Mordecai, Risk Economics

9:30 a.m Firms as Buyers of Last Resort
Harrison Hong, Princeton University; Jiang Wang, Massachusetts Institute of Technology; and Jialin Yu, Columbia University
Discussant: Ronnie Sadka, University of Washington
Practitioner View: Paul Bennett, New York Stock Exchange

10:30 a.m. Break

11:00 a.m. Credit Risk Transfer
Christine Parlour and Guillaume Plantin, Carnegie Mellon University
Discussant: Viral Acharya, London Business School
Practitioner View: Rupert Cox, Bear Stearns

12:00 a.m Public Provision of Private Liquidity Prior to the Millenium Date Change
Suresh Sundaresan, Columbia University; and Zhenyu Wang, Federal Reserve Bank of New York
Discussant: Bengt Holmstrom, Massachusetts Institute of Technology
Practitioner View: Spence Hilton, Federal Reserve Bank of New York

1:00 p.m Lunch

2:00 p.m Panel Discussion: Liquidity, Financial Institutions, and Economic Policy
Franklin Allen, University of Pennsylvania
Bengt Holmstrom, Massachusetts Institute of Technology
Chi-Fu Huang, Oak Hill Platinum Partners
Maureen O’Hara, Cornell University
Albert “Pete” Kyle, Duke University

3:30 p.m. Adjourn

More Information
Please contact Tobias Adrian at tobias.adrian@ny.frb.org if you have any questions.