Joint ECB-Bank of England workshop "Understanding the yield curve: what has changed with the crisis?"

Workshop Agenda

Call for paper information

Deadline for submission of papers: 1 July 2014

The European Central Bank is organising a workshop entitled "Understanding the yield curve: what has changed with the crisis?", in cooperation with the Bank of England. The workshop will be held in Frankfurt am Main at the ECB's headquarters on 8-9 September 2014.

The financial and sovereign debt crises have raised a number of challenges for conventional models of the yield curve. They have also led to a number of developments in the literature, including a greater emphasis on the role of liquidity and credit premia and on models that allow for the impact of the zero lower bound on interest rates. The impact of central banks' standard and non-standard policy measures (including credit policies, quantitative easing and forward guidance) on the yield curve has also spawned a large body of literature that has attempted to quantify their effects, but many of the issues still remain open to further analysis. At the same time, recent debates on what information is or is not spanned by the yield curve raise important issues for how yield curve models should be constructed and how best to incorporate macroeconomic and financial market data into their estimation. As well as additional challenges, recent technical advances in estimation techniques open up new opportunities for researchers to expand the complexity of their models and to test their robustness over different specifications and samples.

The main objective of the workshop is to provide a forum for central bankers, market participants and researchers in the field of economics and finance to discuss these and other recent developments in yield curve modelling and to assess what has changed with the crisis.

We would welcome papers on the following topics in particular:

• Understanding developments in euro area sovereign yields during the crisis (including the role of contagion effects and financial fragmentation);
• The impact of standard and non-standard central bank policies on the yield curve (in particular the impact of forward guidance and asset purchase programmes);
• Recent advances in yield curve modelling techniques (including non-linear and shadow rate models that allow for the zero lower bound on interest rates, models with unspanned factors, models incorporating financial market frictions and techniques for testing model robustness);

The scope of the workshop is not limited to the topics listed and submissions on other promising areas of yield curve research are also strongly encouraged, provided they have potential implications for monetary policy analysis.

Papers should be sent by e-mail as pdf-files to YieldCurve2014@ecb.int by 1 July 2014. Each submission should include an abstract and the e-mail address of the corresponding author. Authors of submissions will be notified whether their paper has been accepted for the conference programme by the beginning of August 2014.

Keynote speakers

Greg Duffee (Johns Hopkins University) and Glenn Rudebusch (Federal Reserve Bank of San Francisco) have confirmed their participation as keynote speakers.

Expenses

The travel expenses of presenting academic authors will be reimbursed. Presenting authors from central banks and other official institutions are generally expected to cover their own expenses.

Organisational issues

The workshop will last one and a half days, starting at 9 a.m. on 8 September 2014 and concluding at lunchtime on 9 September 2014. A conference dinner is planned for the evening of 8 September 2014.

Organising Committee

Magdalena Grothe, Michael Joyce, Manfred Kremer, Thomas Werner (all ECB) and Iryna Kaminska (Bank of England)

Contacts for further information

• Thomas Werner, Head of Division
  Capital Markets/Financial Structure Division, Directorate General Economics, ECB
  E-mail: Thomas.Werner@ecb.int Tel.: +49 69 1344 8707
• Michael Joyce, Principal Economist
  Capital Markets/Financial Structure Division, Directorate General Economics, ECB
  E-mail: Michael.Joyce@ecb.int Tel.: +49 69 1344 5204
• Magdalena Grothe, Economist
  Capital Markets/Financial Structure Division, Directorate General Economics, ECB
  E-mail: Magdalena.Grothe@ecb.int Tel.: +49 69 1344 5360
• Iryna Kaminska, Adviser
  Macro Financial Analysis Division, Bank of England
  E-mail: Iryna.Kaminska@bankofengland.co.uk Tel.: +44 207 601 3413