The Second Joint Central Bank Research Conference on Risk Measurement and Systemic Risk Toward a Better Understanding of Market Dynamics during Periods of Stress
The Bank of Japan in collaboration with the Bank for International Settlements, the Bank of England, the Board of Governors of the Federal Reserve System, and the Federal Reserve Bank of New York held the conference on risk measurement and systemic risk on November 16-17, 1998 at the Bank of Japan in Tokyo. This conference was held as part of continuing efforts by central banks to conduct research into the robustness of financial systems and market mechanisms under stress. The organizers also intended to support the ongoing work of the Committee on the Global Financial System, a committee of the Governors of the G-10 central banks, which has as a key part of its mandate the monitoring of risk in global financial markets.
Staff from the Bank for International Settlements (Sean Craig), the Bank of England (Ian Michael), the Bank of Japan (Tokiko Shimizu), the Federal Reserve Bank of New York (John Kambhu), and the Board of Governors of the Federal Reserve System (Allen Frankel and Michael Gibson) were the principal organizers of the conference. In addition, important contributions to the administration of the conference were made by Yoshifumi Hisata, Shuji Kobayakawa, Naoko Maeda, Jun Muranaga, and Takashi Ui, and Kunio Okina and Mahito Uchida served as ongoing advisers to the organizers on questions related to the scope and objectives of the project.
The views set forth in this volume are those of the contributors and do not necessarily reflect the views of the Bank of Japan or of other members of its staff.
Conference Summary (English:[86KB PDF], Japanese: [161KB PDF])
Monday, November 16
Opening Remarks: Kunio Okina, Director, Institute for Monetary and Economic Studies, BOJ [161KB PDF]
Session 1: Sources of Systemic Disruption and Contagion
Moderator: Motoshige Itoh, Univ. of Tokyo
Discussant: Jeffrey M. Lacker, FRB Richmond
Author |
Title |
Size |
Oliver De Bandt, Philipp Hartmann |
What Is Systemic Risk Today? | |
Dirk Schoenmaker | Contagion Risk in Banking | |
Yukinobu Kitamura, Shuji Kobayakawa |
Risk Accumulation, Contagion and the Rules for Bank Failure |
Session 2: Payment System Risks
Moderator: Hiroaki Shinoda, Fuji Bank
Discussant: William C. Hunter, FRB Chicago [26KB PDF]
Author |
Title |
Size |
Hiroshi Fujiki, Edward J. Green, Akira Yamazaki |
Sharing the Risk of Settlement Failure | |
Claudio Impenna, Paola Masi |
Risks in Interlinked Settlement Systems: How to Measure the Impact of Settlement Delay in the Italian RTGS System (BIREL) | |
Xavier Freixas, Bruno Parigi, Jean-Charles Rochet |
Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank |
Luncheon Address: Yutaka Yamaguchi, Deputy Governor, BOJ [27KB PDF]
Session 3: Empirical Studies on Market Behavior
Moderator: Masaaki Shirakawa, BOJ
Author |
Title |
Size |
Michael J. Fleming, Eli M. Remolona |
Price Formation and Liquidity in the U.S Treasury Market: The Response to Public Information |
(abstract) |
Robert A. Connolly, F. Albert Wang |
Economic News and Stock Market Linkages: Evidence from the U.S., U.K., and Japan | |
M. Ameziane Lasfer, Arie Melnik, Dylan Thomas, |
Stock Price Reaction in Stressful Circumstances: An International Comparison | |
Sandeep Patel, Asani Sarkar |
Crises in Developed and Emerging Stock Markets | |
Shigeru Yoshifuji, Hiroaki Demizu |
A Study of Mechanism of Stress/shock Movements in Financial Markets |
Tuesday, November 17
Session 4: Market Microstructure and Market Stability
Moderator: Megumi Suto, Chuo Univ.
Discussants: Michael J. Fleming, Asani Sarkar, both FRBNY, and Toshinori Takayama, MTEC
Author |
Title |
Size |
Jun Muranaga, Tokiko Shimizu |
Effect of Trading Halt System on Market Functioning: Simulation Analysis of Market Behavior with Artificial Shutdown | |
Michael A. Goldstein, Joan E. Evans, James M. Mahoney |
Circuit Breakers, Volatility, and the U.S. Equity Markets: Evidence from NYSE Rule 80A | |
Laura E. Kodres, Matthew Pritsker |
A Rational Expectations Model of Financial Contagion | |
Stephen Brown, Onno W. Steenbeek |
Price Discovery during Periods of Stress: Barings, the Kobe Quake and the Nikkei Futures Market * For an updated version, please contact steenbeek@few.eur.nl |
|
Joe Ganley, Giorgio Trebeschi |
Equity Markets under Stress: Tests for Arbitrage Anomalies in the Stock-futures Basis |
Session 5: New Approaches to Risk Management
Moderator: Keishi Hotsuki, Bankers Trust
Author |
Title |
Size |
Durrel Duffie, Kenneth Singleton |
Simulating Correlated Defaults |
(abstract) |
Kenji Miyazaki, Makoto Saito |
On the Market Risk Involved in the Public Financial System in Japan: A Theoretical and Numerical Investigation |
(abstract) |
Michael S. Gibson | The Implications of Risk Management Information Systems for the Organization of Financial Firms |
Luncheon Address: Akira Watanabe, Regional Executive of Singapore, Bank of Tokyo-Mitsubishi [29KB PDF]
Session 6: Systemic Risk and Central Banks
Moderator: Hiroshi Nakaso, BOJ
Author |
Title |
Size |
Arthur J. Rolnick, Bruce D. Smith, Warren E. Weber |
The Suffolk Bank and the Panic of 1837: How a Private Bank Acted as a Lender-of-Last-Resort | |
Tokiko Shimizu, Takashi Ui |
Contagious Expectation and Malfunctions of Markets: Some Lessons from Japanese Financial Institution Failures of 1997 | |
Marvin Goodfriend, Jeffrey M. Lacker |
Limited Commitment and Central Bank Lending |
Session 7: Panel Discussion
Moderator: Kenneth J. Singleton, Professor, Stanford Univ. [27KB PDF]
Panelists:
Ken P. Y. Cheng, Senior Manager, Hong Kong Monetary Authority
Allen B. Frankel, Chief, Division of International Finance, FRB [14KB PDF]
Takatoshi Ito, Professor, Hitotsubashi Univ. [27KB PDF]
Iwao Kuroda, Executive Director, BOJ [12KB PDF]
Robert B. Litterman, Managing Director, Goldman, Sachs & Co. [29KB PDF]