Papers, presentations, and full-length session videos
Policy Sessions
Policy Session 1 – Getting a grip on an individual firm's liquidity(Paper
| Presentation | Video 
) The financial crisis highlighted the importance of liquidity and led to new minimum standards. Yet our understanding of liquidity at the firm level is primitive. This session will explore perspectives on how financial firms can measure and manage liquidity.
Paper presenter: Albert (Pete) Kyle, Charles E. Smith Chair Professor of Finance, University of Maryland
Discussants:
Gregory McGreevey, CEO, Invesco Fixed Income (Presentation
)Jai Sooklal, Partner, Oliver Wyman (Presentation
)Moderator: Paul Kupiec, Resident Scholar, American Enterprise Institute
Policy Session 2 – As large banks back away, who will supply liquidity?
(Presentation | Video )
The over-the-counter markets historically relied on large banks to provide liquidity to buyers and sellers. But changes in market conditions and regulations are reducing returns to banks that serve as dealers, leading to a relative reduction in their commitment to supply liquidity. Should we be concerned? Who will be the market makers of the future?
Panelists:
Lawrence E. (Larry) Harris, Professor of Finance and Business Economics, University of Southern California
Jamil Nazarali, Senior Managing Director and Head of Citadel Execution Services, Citadel Securities
Barbara G. Novick, Vice Chairman, BlackRock Inc.
Chair: Jonathan Sokobin, Chief Economist and Senior Vice President, Financial Industry Regulatory Authority
Policy Session 3 – The new realities of market structures and liquidity: Where have we been? Where are we going?
(Paper
| Presentation | Video )
The structure and liquidity of equity markets have changed dramatically. The increased competition between exchanges and the growth of high-frequency trading have upended long-standing norms. Similarly, historic dealer markets have changed as evolving regulations have made some prices more transparent, and the market for credit default swaps has increased the transparency of credit risk pricing. Now some financial technology firms aim to restructure important markets. How should we think about the relationship between liquidity and market structure? In particular, how should we think about their joint development in the future?
Paper presenter: Chester Spatt, Professor of Finance, Carnegie Mellon University
Discussants:
Mani Mahjouri, Chief Strategist and Chief Investment Officer, Tradeworx
Seth Merrin, Chief Executive Officer and Founder, Liquidnet (Presentation)
Moderator: Paul Schultz, Professor of Finance, University of Notre Dame
(Presentation
| Video ) The over-the-counter markets historically relied on large banks to provide liquidity to buyers and sellers. But changes in market conditions and regulations are reducing returns to banks that serve as dealers, leading to a relative reduction in their commitment to supply liquidity. Should we be concerned? Who will be the market makers of the future?
Panelists:
Lawrence E. (Larry) Harris, Professor of Finance and Business Economics, University of Southern California
Jamil Nazarali, Senior Managing Director and Head of Citadel Execution Services, Citadel Securities
Barbara G. Novick, Vice Chairman, BlackRock Inc.
Chair: Jonathan Sokobin, Chief Economist and Senior Vice President, Financial Industry Regulatory Authority
Policy Session 3 – The new realities of market structures and liquidity: Where have we been? Where are we going?
(Paper
| Presentation | Video )The structure and liquidity of equity markets have changed dramatically. The increased competition between exchanges and the growth of high-frequency trading have upended long-standing norms. Similarly, historic dealer markets have changed as evolving regulations have made some prices more transparent, and the market for credit default swaps has increased the transparency of credit risk pricing. Now some financial technology firms aim to restructure important markets. How should we think about the relationship between liquidity and market structure? In particular, how should we think about their joint development in the future?
Paper presenter: Chester Spatt, Professor of Finance, Carnegie Mellon University
Discussants:
Mani Mahjouri, Chief Strategist and Chief Investment Officer, Tradeworx
Seth Merrin, Chief Executive Officer and Founder, Liquidnet (Presentation
)Moderator: Paul Schultz, Professor of Finance, University of Notre Dame
Policy Session 4 – Unconventional wisdom: How will unusual monetary policy affect market liquidity?
(Video )
A potentially important channel for unconventional monetary policy is through its withdrawal of safe, liquid securities from private investors. This can temporarily decrease liquidity in some markets, not only for the withdrawn securities but also for markets that rely on those securities for collateral. Conversely, unconventional policy can also have the intended effect of temporarily increasing liquidity in other less safe and historically less liquid markets. How much has unconventional policy affected market liquidity? How much will policy normalization affect financial markets?
Panelists:
Ulrich Bindseil, Director General, Market Operations, European Central Bank (Presentation )
Marvin Goodfriend, Professor of Economics, Carnegie Mellon University (Presentation )
Manmohan Singh, Senior Financial Economist, International Monetary Fund (Presentation ) (IMF WP/15/202
, FT Alphaville)
Chair: Loretta Mester, President and Chief Executive Officer, Federal Reserve Bank of Cleveland
Keynotes
Dinner and keynote
(Speech text | Video )
William C. Dudley, President and Chief Executive Officer, Federal Reserve Bank of New York
Dinner and keynote
(Video )
Jeffrey Tessler, Member of the Executive Board, Deutsche Borse AG
Research Papers
Research Session 1 – Collateral, rehypothecation, and efficiency
(Paper| Presentation | Video )
Paper presenter: Charles M. Kahn, Professor Emeritus, University of Illinois
Discussant: Phil Prince, Managing Director, Head of Treasury, Pine River Capital Management (Presentation )
Moderator: W. Curt Hunter, Dean Emeritus and Professor of Finance, University of Iowa
Research Session 2 – Investor flows and fragility in corporate bond funds
(Paper | Presentation | Response to Sean Collins | Video )
Paper presenter: Itay Goldstein, Professor of Finance, University of Pennsylvania
Discussant: Sean Collins, Senior Director, Industry and Financial Analysis, Investment Company Institute (Presentation )
Moderator: Paula Tkac, Vice President and Senior Economist, Federal Reserve Bank of Atlanta