Financial stability analysis of large changes in interest rates
Seventh annual AWG and MPAG workshop
jointly hosted with Latvijas Banka
Monday, 1 July 2024
Riga
The annual workshop of the Analysis Working Group (AWG) of the ESRB and the Macroprudential Analysis Group (MPAG) of the ECB will feature presentations on the build-up and materialisation of systemic risks resulting from large changes in interest rates, including methodologies and tools to assess the impact on the financial system, both in the bank and the non-bank sector.
Programme
All times are local (CET +1)
* indicates the presenter
- 8:45
- 
          Coffee & registration 
- 9:15
- 
          Welcome remarksMāris Kālis, Deputy Governor, Latvijas Banka 
- 9:30
- 
          Opening presentation – Keynote speakerLaurent Calvet, SKEMA business school Moderator: Paul Hiebert, ECB, co-chair of the AWG and MPAG 
- 10:15
- 
          Session 1: Impact of interest rate shocks on banksChair: Katja Taipalus, Suomen Pankki – Finlands Bank, co-chair of the AWG and MPAG 
- 
          Banks in an environment of higher interest ratesAntonio Sánchez Serrano*, European Systemic Risk Board Discussant: Stefan Kerbl, Oesterreichische Nationalbank 
- 
          Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment- Cosimo Pancaro*, European Central Bank
- Lara Coulier, University of Ghent
- Alessio Reghezza, European Central Bank
 Discussant: Helinä Laakkonen, Suomen Pankki – Finlands Bank 
- 11:15
- 
          Coffee break 
- 11:45
- 
          As Interest Rates Surge: Flighty Deposits and Lending- Giuseppe Cappelletti*
- Carmelo Salleo
- Alessio Reghezza
- David Marques
 all European Central Bank Discussant: Haoshen Hu, Bundesanstalt für Finanzdienstleistungsaufsicht 
- 
          Projecting banks net interest income, an asset-liability approach, applied to the euro area- Sébastien Ray*
- Thibaut Gentil
- Oana Toader
 all Banque de France Discussant: Piotr Banbula, Narodowy Bank Polski 
- 13:00
- 
          Lunch 
- 14:00
- 
          Session 2: Transmission channels of large changes in interest ratesChair: Elmārs Zakulis, Latvijas Banka 
- 
          The macroeconomics of liquidity in financial intermediationDavide Porcellacchia*, European Central Bank Keven D. Sheedy, London School of Economics Discussant: Pawel Fiedor, Central Bank of Ireland 
- 
          Deposit flows during monetary tightening. The role of digital banking and social media- Raffaele Giuliana*
- Matteo Panfilo
- Tuomas Peltonen
 all European Systemic Risk Board Discussant: Ján Klacso, Národná banka Slovenska 
- 15:00
- 
          Session 3: Effects of large interest rate changes on non-bank financial intermediationChair: Tuomas Peltonen, European Systemic Risk Board 
- 
          Non-bank financial institutions and interest rate risks: insights from the GBP LDI funds market turbulenceAntoine Bouveret* and Hadrien Leclerc, both European Securities and Markets Authority Discussant: Esti Kemp, International Monetary Fund 
- 15:30
- 
          Coffee break 
- 16:00
- 
          Monetary policy consequences of financial stability interventions: assessing the UK LDI crisis and the central bank policy response- Jacob Stevens*, University of St. Andrews
- Nicolò Bandera, Bank of England
 Discussant: Kristīne Petrovska, Latvijas Banka 
- 
          International portfolio frictions- Alessandro Fontana*, EIOPA
- Wenxin Du, Columbia Business School, NBER, and CEPR
- Petr Jakubik, IMF
- Ralph S.J. Koijen, University of Chicago Booth School of Business, NBER, and CEPR
- Hyun-Song Shin, BIS
 Discussant: Kristy Jansen, USC Marshall/De Nederlandsche Bank 
- 17:00
- 
          Closing remarks by AWG/MPAG co-chairs Paul Hiebert and Katja Taipalus
- 17:15
- 
          End of workshop 
This programme may be subject to change without notice.
Audiovisual notice: A photographer will be present at the event taking photographs for our internet/intranet webpage. If you prefer not to have your photograph taken, please inform us in advance of the workshop. The event may be filmed and the video recording (or parts of it) may be published on the internet / intranet.
Organisational information
Riga
English
- Paul Hiebert, AWG/MPAG co-chair, ECB
- Katja Taipalus, AWG/MPAG, co-chair, Bank of Finland
- Tuomas Peltonen, Deputy Head of Secretariat, European Systemic Risk Board
- Olga Lielkalne, Latvijas Banka
- Kristīne Petrovska, Latvijas Banka
- Marco van Hengel, MPAG Secretary, ECB
- Jonathan Rice, AWG Secretary, ESRB
- Anne McTaggart, MPAG Secretariat
- Shirley Simmons-Nocca, ESRB Secretariat
Organising Committee
    euriskworkshop@ecb.europa.eu
ECB-MPAG Secretariat
    Anne McTaggart
    +49 69 1344 6372/6460 and +49 69 1344 6460
    MPAGSecretariat@ecb.int