2023 Federal Reserve Stress Testing Research Conference
This Event Has Ended
The conference will be held in a hybrid format, at the Federal Reserve Bank of Boston as well as online, on October 19 and 20, 2023.
At this time, the conference is closed to all Media. The Vice Chair's remarks will be livestreamed. Please email StressTestingConference@frb.gov with any questions.
Background
Since the financial crisis, stress testing has become a key tool for evaluating the resilience of financial institutions and the financial system. For example, stress tests of U.S. large banking organizations are now conducted annually under the Dodd-Frank Act, and similar stress testing efforts have also been adopted internationally in recent years. Stress testing has become increasingly important in assessing the resilience of the financial system as a whole and the strength of the balance sheets of firms and households. It has also become a more prominent risk management tool for financial institutions. Accordingly, stress testing as a discipline has become an increasingly important area for economic research and policy.
Conference Format
The conference will be held at the Federal Reserve Bank of Boston, with an option to participate virtually as well.
The conference will consist of presentations of academic research papers. Some of the paper presentations will be followed by discussions.
With the authors' approval, the papers presented at the conference may be made available to the public on the website of the Federal Reserve Bank of Boston.
Organizing Committee
Ronel Elul, Federal Reserve Bank of Philadelphia
Nick Klagge, Federal Reserve Bank of Chicago
Michał Kowalik, Federal Reserve Bank of Boston
John Krainer, Federal Reserve Board
Jose A. Lopez, Federal Reserve Bank of San Francisco
Doriana Ruffino, Federal Reserve Board
Daniela Scidá, Federal Reserve Bank of Richmond
Young Hwa Seok, Federal Reserve Board
Preliminary agenda, subject to change
Thursday, October, 19, 2023
Welcoming Remarks and Introductions
Session 1: Bank Funding Shocks
Banking on Uninsured Deposits
Itamar Drechsler (University of Pennsylvania)
Alexi Savov (NYU)
Philipp Schnabl (NYU)
Olivier Wang (NYU)*
Lucy White (Boston University)
Social Media as a Bank Run Catalyst
J. Anthony Cookson (University of Colorado-Boulder)*
Corbin Fox (James Madison
University)
Javier Gil-Bazo (Universitat Pompeu Fabra)
Juan F. Imbet (Université Paris Dauphine)
Christoph Schiller (ASU)
Leslie Shen (FRB-Boston)
Securities Portfolio Management in the Banking Sector
Samuel Rosen (Temple University)*
Xun Zhong (Fordham University)
Stephan Luck (FRB-New York)
Lunch Break
Keynote Address
Lisa Ryu (FRB)
Michael S. Barr, Vice Chair for Supervision, Federal Reserve Board
Break
Session 2: Inflation, Interest Rates, and Banking
Interest Rate Risk in the U.S. Banking Sector
Azamat Abdymomunov (FRB-Richmond)*
Jeffrey Gerlach (FRB-Richmond)
Yuji Sakurai (IMF)
William B. English (Yale University)
Monetary Transmission through Bank Securities Portfolios
Daniel Greenwald (NYU)*
John Krainer (Federal Reserve Board)
Pascal Paul (FRB-San Francisco)
Philip Strahan (Boston College)
Do Banks Gain from Higher Inflation? Evidence from Consumer Price Inflation Surprises
Anil Jain (Federal Reserve Board)
Nathan Converse (Federal Reserve Board)
Yufeng Wu (Ohio State University)
End of Day 1 - Happy Hour
Friday, October, 20, 2023
Welcome
Session 3: Stress Testing and its Impacts
Optimal Severity of Stress Test Scenarios
Johannes J. Fischer (Bank of England)
Natalie Kessler (Vrije Universiteit Amsterdam)*
Cecilia Parlatore (NYU-Stern)
Stress Tests, Information Disclosure and Credit Line Runs
Jose E. Gutierrez* (Banco de España)
Luis Fernández Lafuerza (Banco de España)
Ralf Meisenzahl (FRB-Chicago)
Climate Stress Tests, Bank Lending, and the Transition to the Carbon-Neutral Economy
Larissa Fuchs (University of Cologne)
Huyen Nguyen (IWH)
Trang Nguyen (University of Bristol)
Klaus Schaeck (University of Bristol)*
Ricardo Correa (Federal Reserve Board)
Break
Session 4: Lightning Session
Partial Effects of Fed Tightening on U.S. Banks' Capital
Mark J. Flannery (University of Florida)*
Sorin M. Sorescu (Texas A&M)
Flight to Safety in the Regional Bank Crisis of 2023
Cecilia Caglio (Federal Reserve Board)*
Jennifer Dlugosz (Federal Reserve Board)
Marcelo Rezende (Federal Reserve Board)
Lunch Break
Session 5: Topics in Credit Risk
Are Banks Really Informed? Evidence from their Private Credit Assessments
Mehdi Beyhaghi (FRB-Richmond)
Gregory Weitzner (McGill University)*
Mitchell Berlin (FRB-Philadelphia)
Lease Expirations and CRE Property Performance
David Glancy* (Federal Reserve Board)
J. Christina Wang (FRB-Boston)
Vrinda Mittal (UNC Chapel Hill)
End of Day 2
*presenting author