4th Tinbergen Institute Conference: Crashes and Systemic Crises in Financial Markets: Implications for Banks, Investors and Macroeconomic Policy-makers

The fourth annual Tinbergen Institute Conference was held in Rotterdam, The Netherlands, on March 13-14, 2009.

Financial markets occasionally experience sudden and large declines in asset prices. A crucial feature of such sudden crash events is that they are contagious in nature and spread rapidly to other markets, potentially leading to global financial instability. Moreover, the impact of financial crashes may not be restricted to the financial sector only. Systemic crises in the banking sector or in the institutional investment sector may have substantial and unexpected spill-overs to the real economy. The recent sub-prime crisis, originating from the US mortgage market, is a typical example in this respect, threatening economic growth worldwide through the instability in the banking system.

The conference brought together leading researchers on crashes and systemic crises in financial markets to discuss recent developments in this area.

Casper G. de Vries (Erasmus University Rotterdam)
Erik Kole (Erasmus University Rotterdam)
André Lucas (VU Amsterdam, Tinbergen Institute)
Dick van Dijk (Erasmus University Rotterdam)

Discussed and presented papers:

• Assessing the Emerging Global Financial Architecture: Measuring the Trilemma’s Configurations over Time – Hiro Ito (Portland State University)
• More Hedging Instruments May Destabilize Markets – Cars Hommes (University of Amsterdam)
• Financial Market Turmoil and Policy Responses – Philipp Hartmann (European Central Bank)
• Bank Liquidity, Interbank Markets and Monetary Policy – Antoine Martin (Federal Reserve Bank of New York)
• The Dark Side of Bank Wholesale Funding – Lev Ratnovski (International Monetary Fund)
• The Future of Banking Regulation: Basel II, Quantitative Models, and Risk Management in the Aftermath of the Current Financial Crisis – Robin Lumsdaine (American University)
• Defending Against Speculative Attacks – Tijmen Daniëls (Technische Universiteit Berlin)
• Speculative Attacks, Private Signals and Intertemporal Trade-offs – Nikola Tarashev (Bank for International Settlements)
• Value-at-Risk across horizons and financial cycle: Are solvency capital requirement rules pro-cyclical – Frédérique Bec (THEMA, Université de Cergy-Pontoise, and CREST)
• Crises and Hedge Fund Risk – Loriana Pelizzon (University of Venice)
• Accounting for Crises – Gwen Yu (University of Michigan)
• Bank competition and economic stability: the role of monetary policy – Sylvain Champonnois (University of California, San Diego)
• Financial Globalization: Booms and Crashes – Graciela Kaminsky (George Washington University)
• An Econometric Analysis of Some Models for Constructed Binary Time Series – Don Harding (La Trobe University)
• Testing Downside Risk Efficiency Under Market Distress – Jesús Gonzalo (Universidad Carlos III de Madrid)
• Causes of the Crisis and Lessons for Macroeconomic Policy and Regulation – Stijn Claessens (International Monetary Fund)
• The Dynamics of Sovereign Credit Risk – Alexandre Jeanneret (University of Lausanne)
• Centralization versus Decentralization of the Lender of Last Resort – Itai Agur (De Nederlandsche Bank)