"Actors, Rules and Policies in the Global Financial Crisis" XX International Tor Vergata Conference on Money, Banking and Finance:

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1 University of Rome Faculty of Economics CEIS - Centre for Economics and International Studies - Economics Foundation jointly with The Lally School of Management, Rensselaer Polytechnic Institute Arcelli Center for Monetary and Financial Studies (CASMEF) Libera Università Internazionale di Studi Sociali "Guido Carli" (LUISS) The Federal Reserve Bank of Atlanta and Journal of Financial Stability "Actors, Rules and Policies in the Global Financial Crisis" XX International Conference on Money, Banking and Finance: December 5-7, 2011 University of Rome, Faculty of Economics Sala del Consiglio - Building Ricerca - 2 nd floor Journal of Financial Stability Rivista di Politica Economica Bancaria Scientific Board Michele Bagella, Leonardo Becchetti, Alessandro Carretta, Giorgio Di Giorgio, Gerald P. Dwyer Jr., Iftekhar Hasan, James R. Lothian, Francesco Nucci, Luigi Paganetto, Gustavo Piga, Anthony M. Santomero, Pasquale Lucio Scandizzo, Giorgio Szegö, Paul Wachtel

2 Aims and Objectives of the Conference Theoretical and empirical research on financial markets and the banking system, with special focus on the interaction among economic agents, market rules and institutions, appears of foremost importance in the aftermath of the global financial crisis. In the last twenty years the abundance of liquidity at world level has led several times to the creation of growing trends in asset, currency or commodity prices which led to subsequent sharp falls and financial crises with serious consequences on the real sector, GDP growth and employment. Recovery from financial crises, especially the last one in countries most hit by failures of financial intermediaries, required huge increases in public expenditure and government debts with serious consequences for tax payers. The observation of the dynamics of the last global financial crisis, with its causes and consequences therefore urges a thorough reflection on several dimensions. Such dimensions include asset pricing models, behavioural finance, the effect of the behaviour of large players on systemic risk, the role of financial education, the reform and design or supranational financial regulatory authorities, the role of capital requirement ratios. New research contributions on all these issues will be presented and discussed in-depth in the Conference whose 20th edition probably comes at the time of the greatest challenges ever faced by the economic and financial system.

3 Monday, 05 December :00-10:30 Registration 10:30-12:30 Debt Crisis or Debt in Times of Crisis? Chairman: Gustavo PIGA - University of Rome CANNATA Maria - Italian Ministry of Economy and Finance MISSALE Alessandro - University of Milan SALTO Matteo - European Commission PEREZ QUIROS Gabriel - Bank of Spain 12:30-13:30 Lunch Break 13:30-14:00 Opening Remarks LAURO Renato - Rector - University of Rome QUINTIERI Beniamino - Dean - School of Economics BAGELLA Michele - Chair of Scientific Committee 14:00-15:30 Microfinance Chairman: Leonardo BECCHETTI - University of Rome Location: Aula C Credit Scoring Applications In The Management Of Microfinance Institutions CORTES ROMERO Antonio M. - University of Granada LARA Juan - University of Granada RAYO Salvador - University of Granada

4 Balancing flexibility and discipline in micro finance: Innovative financial products that benefit clients and service providers HAMP Michael - International Fund for Agricultural Development LAURETI Carolina - Université de Mons The impact of access to credit on rural households poverty in the Mekong Delta of Vietnam DUY Vuong Quoc - Ghent University The vulnerability of microfinance to financial turmoil evidence from the global financial crisis WAGNER Charlotte - Frankfurt School of Finance and Management WINKLER Adalbert - Frankfurt School of Finance and Management Can the Poor Save More? Evidence from Bangladesh MARINANGELI Matteo - Polytechnic University of Marche PRESBITERO Andrea F. - Polytechnic University of Marche 14:00-15:30 Entrepreneurship & Innovation Chairman: Christopher TUCCI - École Polytechnique Fédérale de Lausanne Location: Aula B Partnering Strategies in Biotech Firms:Quest for Complementary Assets or Control over IPRs? BAGLIERI Daniela - University of Messina The influence of industry downturns on the propensity to innovate BERCHICCI Luca - Rotterdam School of Management Information Technology and Innovation through Boundary Spanning: Findings From the Pharmaceutical Industry HAN Shu - Yeshiva University

5 Continuity and Change in a Spin-Off Venture: The Process of Reimprinting LORENZONI Gianni - University of Bologna 14:00-15:30 Banking Crisis: Local Banks and Bad Loans Chairman: Francesco BUSATO University of Naples Parthenope Location: Aula H Did the crisis induce credit rationing forfrench SMEs? KREMP Elizabeth - Banque de France and NBER SEVESTRE Patrick - Banque de France and Université Paris 1 - Panthéon Sorbonne Does your neighbour know you better? Local banks and credit tightening in the financial crisis BARBONI Giorgia - LEM, Scuola Superiore Sant Anna and University of Namur ROSSI Carlotta - Bank of Italy Bank lending procyclicality and bad loans during the turmoil DI COLLI Stefano - Federcasse LOPEZ Juan Sergio - Federcasse Off-Balance Sheet Credit Exposure and Asset Securitization: What Impact on Bank Credit Supply? SCOPELLITI Alessandro Diego - University of Warwick Financial Crisis: Treasury Debt and Contagion Chairman: Sergio SCARLATTI University of Rome Responses to the Financial Crisis, Treasury Debt, and the Impact on Short-Term Money Markets HRUNG Warren - The Federal Reserve Bank of New York SELIGMAN Jason - The Ohio State University

6 15:30-15:45 Tea Break Early Warning Indicators of Economic Crises: Evidence from a Panel of 40 Devel oped Countries BABECKY Jan - Czech National Bank HAVRANEK Tomas - Czech National Bank MATEJU Jakub - Czech National Bank RUSNAK Marek - Czech National Bank SMIDKOVA Katerina - Czech National Bank VASICEK Borek - Czech National Bank The role of contagion in financial crises:an uncertainty test on interbank patterns CANNAS Giuseppina - European Commission DE LISA Riccardo - University of Cagliari GALLIANI Clara - Bocconi University ZEDDA Stefano - European Commission Should EMU say NO to further enlargements BROZ Tanja - Zagreb Institute of Economics 15:45-17:15 Green Finance Project Chairman: Valerio DE LUCA - Presidente AISES Corporate Governance as a Tool of Sustainable Finance DE LUCA Valerio - Presidente AISES Transparency of the information and green finance AMATO Gioacchino - Consob A Reasoning about pricing/valuation of interest rate swaps: a "green finance" perspective BUSATO Francesco - University of Naples Parthenope The Ethics of Sovereign Wealth Funds LO TURCO Celeste - Sovereign Wealth Funds Analyst - MAE Strategic Commitee Green finance and the role of taxation: the new debate on a Financial Transaction tax MAGLIOCCO Antonella - Bank of Italy

7 15:45-17:15 Euro, Monetary Policy and International Flows Chairman: Giancarlo MARINI - University of Rome Location: Aula C The British Opt-Out from the European Monetary Union: Empirical Evidence from Monetary Policy Rules D ADDONA Stefano - University of Rome Tre MUSUMECI Ilaria - University of Rome Tre International Capital Flows and Credit Market Imperfections: a Tale of Two Frictions MARTIN Alberto - Centre de Recerca en Economia Internacional TADDEI Filippo - Collegio Carlo Alberto Will the Euro survive? An assessment using the shadow EMP MARINI Giancarlo - University of Rome CONOFARI Paolo - University of Rome PIERSANTI Giovanni - University of Teramo 15:45-17:15 Financial Reforms and Saving Protection Chairman: Stefano HERZEL University of Rome Location: Aula H Money, Credit and Housing: An Empirical Evaluation CONTI Antonio - ECARES, Universite Libre de Bruxelles Excess Financial Development and Economic Growth DUCTOR Lorenzo - University of Alicante GRECHYNA Daryna - University of Auckland Government Strength and Financial Reforms DI COMITE Francesco - European Commission and Université catholique de Louvain LAMBERT Thomas - Universite Catholique de Louvain

8 Explaining why, right or wrong, Italian households do not like reverse mortgages FORNERO Elsa - University of Turin ROSSI Maria Cristina - University of Turin URZI BRANCATI Maria Cesira - University of Rome Does Literacy Really Foster Pension Fund Participation? Some Evidence From a Survey of Italian Employees CECCARELLI Simone - Commissione di Vigilanza sui Fondi Pensione RINALDI Ambrogio Ivan - COVIP 15:45-17:15 Volatility and Stability in Stock Exchange Markets Chairman: Rocco CICIRETTI - University of Rome Location: Aula B How homogeneous diversification in balanced investment funds affects portfolio and systemic risk CICIRETTI Rocco - University of Rome CORVINO Raffaele - Collegio Carlo Alberto Globalization and Stability in Stock Exchange Markets: Evidences from the Global Financial Crisis DORODNYKH Ekaterina - University of Rome NICOLINI Gianni - University of Rome What Do Stock Markets Tell Us about the Drivers of Bank Default Risk? Evidence from Emerging Economies DOMINIK Maltritz - University of Erfurt EICHLER Stefan - Technische Universitaet Dresden KARMANN Alexander - Technische Universitaet Dresden SOBANSKI Karol - Technische Universitaet Dresden The Demand for Safe Assets in Emerging Economies and Global Imbalances AHREND Rudiger - OECD SCHWELLNUS Cyrille - OECD

9 Tuesday, 06 December :30-11:00 Banking Models and Investors Behaviours in a Changing World Chairman: Vincenzo FARINA - University of Rome Location: Aula B Does relationship lending alleviate the credit crunch? MONFERRA Stefano - University of Naples Parthenope SAMPAGNARO Gabriele - University of Naples Parthenope The Effects of Derivatives Trading on Stock Market Volatility and Market Efficiency. Some Evidence from European Markets LICCARDO Giovanni - University of Rome Mass media, spin offs and investors behaviour GRAZIANO Elvira Anna - University of Rome The credit growth of small banks in Italy: causes and effects GALLINA Simona - University of Rome India s Emerging Financial Market. A Flow Of Funds Model GON Abhishek - University of Rome Early Warnings, Crisis Risks and Cross-Border Banking Chairman: Alberto Franco POZZOLO - University of Molise Location: Aula C Cost/Benefits of the Capital Requirement Directive IV Measures for the European Union RISSI Roger - Hochschule Luzern CLERC-RENAUD Sebastien - Institut für Finanzdienstleistungen Hamburg NEUBERGER Doris - University of Rostock REIFNER Udo - Institut für Finanzdienstleistungen Hamburg

10 Drivers of Systemic Banking Crises: The Role of Bank-Balance-Sheet Contagion and Financial Account Structure AHREND Rudiger - OECD GOUJARD Antoine - OECD I Spy with my Little Eye... a Banking Crisis - Early Warnings and Compensation Systems in Banks HAKENES Hendrik - University of Bonn SCHLEGEL Friederike - University of Bonn Were multinational bank taking excessive risks before the recent financial crisis? GULAMHUSSEN M.A. - Lisbon University Institute PINHEIRO Carlos - Caixa Geral de Depositos POZZOLO Alberto Franco - University of Molise 09:30-11:00 Monetary Policy and Central Banking Chairman: Fabrizio MATTESINI University of Rome Location: Aula H Unconventional Monetary Policy and Bank Supervision GIECK Jana - Goethe University Frankfurt TRACZYK Adam - Goethe University Frankfurt Trust in the European Central Bank: The Role of Macroeconomic Performance, Regional Developments, and the Crisis BURSIAN Dirk - Goethe University Frankfurt FUERTH Sven - Goethe University Frankfurt The impact of macroeconomic news and central bank communication on the exchange rate: Evidence from the Central Europe EGERT Balazs - OECD KOCENDA Evzen - Charles University

11 09:30-11:00 Banking, Finance and Governance Chairman: Iftekhar HASAN - Fordham University and RPI What problem banks reveal about future financial distress: Evidence from the late 2000s financial crisis KAHN Charles - University of Illinois PAPANIKOLAOU Nikolaos - University of Luxembourg Financial Crises and Cross-Border Banking: New Evidence SANDER Harald - Cologne University of Applied Sciences Financial Contract: Banks versus Banks FRANCIS Bill - Rensselaer Polytechnic Institute HASAN Iftekhar - Fordham University and RPI LIU Liuling - Rensselaer Polytechnic Institute Finance and Growth: A counter Example for the Origins of Banking in Russia DAN Berkowitz - University of Pittsburgh HOEKSTRA Mark - Texas A&M University SCHOORS Koen - Ghent University 11:00-11:15 Coffee Break 11:15-13:00 The Role of Financial Education Chairman: Leonardo BECCHETTI University of Rome Professors on the Board: Is there any Added Value for Academic Directors HASAN Iftekhar - Fordham University and RPI Bill Francis - Rensselaer Polytechnic Institute Qiang Wu - Rensselaer Polytechnic Institute Financial Education in schools: a randomized experiment BECCHETTI Leonardo University of Rome PISANI Fabio University of Rome

12 Panelists: CARRETTA Alessandro - University of Rome DI GIORGIO Giorgio University of Rome LUISS Guido Carli and Arcelli Centre for Monetary and Financial Studies DWYER, Gerald P. Federal Reserve Bank of Atlanta and University of Carlos III LOTHIAN James R. Fordham University and Tilburg University PAGANETTO Luigi - University of Rome PIGA Gustavo - University of Rome SCANDIZZO Pasquale L. - University of Rome 13:00-14:30 Lunch Break 14:30-16:00 Exchange Rates Behaviour Chairman: James R. LOTHIAN Fordham University and Tilburg University A Primer on Exchange Rates LOTHIAN James R. Fordham University and Tilburg University Purchasing Power Parity and the Euro DWYER, Gerald P. Federal Reserve Bank of Atlanta and University of Carlos III FLAVIN Thomas NUI Maynooth FISHER Mark Federal Reserve Bank of Atlanta LOTHIAN James R. Fordham University and Tilburg University Exchange Rate Exposure and the Cost of Debt: Evidence from Bank Loans FRANCIS Bill Rensselaer Polytechnic Institute HUNTER Delroy M. University of South Florida

13 14:30-16:00 Conventional vs(?) Islamic Finance. Issues of economic justice, law and regulation Chairman: Valentino CATTELAN - University Rome Location: Aula B Whose property rights? Islamic finance and the cost of legal pluralism CATTELAN Valentino - University of Rome Islamic Moral Economy as the Foundation of Islamic Finance ASUTAY Mehmet - Durham Centre for Islamic Economics and Finance, Durham University Islamic contract law in a comparative perspective PAPA Massimo - University of Rome Islamic finance in Luxembourg: a challenge THEISEN Marc - Luxembourg for Finance IF and Italy: open issues of financial regulation and supervision FRENI Maria Alessandra - Bank of Italy 14:30-16:00 Corporate Governance Firm Chairman: Corrado CERRUTI University of Rome Location: Aula C Hedging and the failures of Corporate Governance: Lessons from the Financial Crisis ZEIDAN Rodrigo - Fundacao Dom Cabral and Nottingham University Business School China Empirical Research on Corporate Distress: Assessing Board Effectiveness ABATECOLA Gianpaolo - University of Rome FARINA Vincenzo - University of Rome GORDINI Niccolò - University of Milano - Bicocca

14 Bankers Compensation and Regulatory Intervention during the Financial Crisis BOYALLIAN Patricia - Universidad Carlos III de Madrid RUIZ VERDU Pablo - Universidad Carlos III de Madrid Dividend Policy and Corporate Governance: Empirical Analysis of a Sample of ASX Firms YARRAM Subba - University of New England 16:00-16:15 Tea Break 16:15 18:00 Advances in International Finance Chairman: Francesco NUCCI University of Rome La Sapienza International Diversification with Foreign Exchange Investment Styles KROENCKE Tim - Centre for European Economic Research, Mannheim SCHINDLER Felix - Centre for European Economic Research, Mannheim SCHRIMPF Andreas - Bank for International Settlements Carry Trades, Order Flow and the Forward Bias Puzzle BREEDON Francis - Queen Mary College, University of London RIME Dagfinn - Norges Bank VITALE Paolo - Universita d Annunzio Keynote presentation: Currency Momentum Strategies MENKHOFF Lukas - Leibniz Universität Hannover SARNO Lucio - Cass Business School SCHMELING Maik - Leibniz Universität Hannover SCHRIMPF Andreas - Bank for International Settlements

15 Wednesday, 07 December :30-11:00 Banking Theory Chairman: Alberto CYBO OTTONE - Assicurazioni Generali The Effects of Bank Regulator Switching on Supervisory Ratings REZENDE Marcelo - Federal Reserve Board Moral hazard, dividends, and risk in banks ONALI Enrico - Bangor University The Recapitalization of Banking and Insurance during the credit crisis of BECCARINI Andrea - University of Muenster CYBO OTTONE Alberto - Assicurazioni Generali SAVORELLI Lorenzo - Assicurazioni Generali The impact of the recent financial crisis on bank loan interest rates and guarantees. CALCAGNINI Giorgio - University of Urbino FARABULLINI Fabio - Bank of Italy GIOMBINI Germana - University of Urbino - DESP Financial and Banking Regulation Chairman: Paolo PAESANI University of Rome Location: Aula H Optimal Investment and Business Cycles Under Alternative Banking Systems KRAINER Robert - University of Wisconsin-Madison Systemic crisis and banking regulation: how could we design an efficient financial safety net? DE LISA Riccardo - University of Cagliari International Monetary and Regulatory Transmission with Bank Heterogeneity and Default Risk TSENOVA Tsvetomira - Bulgarian National Bank

16 09:30-11:00 Asset Securitization and Banking Risk Chairman: Alessandro PIERGALLINI University of Rome Location: Aula B Liquidity and Reserve Requirements in Brazil ROBITAILLE Patrice - Federal Reserve Board Can Equity Volatility Explain the Global Loan Pricing Puzzle? GAUL Lewis - Office of the Comptroller of the Currency UYSAL Pinar - École Polytechnique Federale de Lausanne A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area SALDIAS Martin - Banco de Portugal The nexus between monetary policy, banking market structure and bank risk taking MICHALAK Tobias C. - University of Bochum Asset Pricing, Equity Options and Portfolio Choice Chairman: Giovanni TROVATO University of Rome Location: Aula C Portfolio Choice under Uncertainty BLENGINI Isabella - University of Lausanne Testing habits in an asset pricing model BOSCHI Melisso - University of Rome Tre D ADDONA Stefano - University of Rome Tre GOENKA Aditya - University of Singapore Mortgage Amortization and Amplification FORLATI Chiara - Ecole Polytechnique Federale de Lausanne LAMBERTINI Luisa - Ecole Polytechnique Federale de Lausanne

17 11:00-11:15 Coffee Break 11:15-13:00 Monetary Police Changes Chairman: Giorgio DI GIORGIO University of Rome LUISS Guido Carli and Arcelli Centre for Monetary and Financial Studies The boundaries of central banking ANGELONI Ignazio European Central Bank Optimal Monetary Policy and Stock-Price Dynamics in a non-ricardian DSGE Model NISTICO Salvatore - University of Rome La Sapienza discussant Tiziano ROPELE Bank of Italy Does inflation walk on unstable path? ASCARI Guido University of Pavia discussant: Efrem CASTELNUOVO University of Padova 13:00-14:00 Lunch Break 16:30-18:00 Actors, Rules and Policies in the Global Financial Crisis Location: Palazzo Wedekind - Piazza Colonna - Roma Modera: Paolo Messa Direttore Formiche Introduce: Luigi Paganetto Professore Ordinario Università di Roma Partecipano: Michele Bagella Professore Ordinario Università di Roma Mario Baldassarri - Senatore della Repubblica Leonardo Becchetti Professore Ordinario Università di Roma Paolo Savona Presidente ASSONEB Mario Sechi Direttore Il Tempo Chiude i lavori: Michel Martone Vice-Ministro Ministero del Lavoro e dlle Politiche Sociali

18 History of the Conference The International Conference on Money Banking and Finance has progressively emerged from 1991 as one of the most important conferences organized every year in Europe, and probably as the most well known in Europe among general conferences in banking and finance not organized by official and established associations (such as the European Finance Association). The original organizing group composed by Michele Bagella (who had the idea of the format and from the beginning was the general coordinator of the conference), Leonardo Becchetti, Iftekhar Hasan (coordinator of the Conference in the US), Giorgio Szego and Anthony Santomero has been enriched across years by Jerry Dwyer, Jim Lothian, Luigi Paganetto and Paul Wachtel. Due to the characteristics of its organizing board the conference has been throughout all these years an important bridge between the two sides of the Atlantic which stimulated joint debate and research in Europe and the US on monetary policy, evolution of regulation and the banking system, asset pricing, exchange rate and many other issues from a theoretical and empirical perspective. Throughout all these years the Conference has hosted several times special issues from top journals in the field such as the Journal of Banking and Finance, the Journal of International Money and Finance, The Journal of Financial Stability and (in Italy) Rivista Bancaria. A selected number of contributions has been included in many editions in collection of papers published with Elgar, Elsevier, Federal Reserve Bank of Chicago. The wide range of conference topics covered each year and the decision not to confine them to a few issues has greatly contributed to create critical mass and to make the Conference meeting an important opportunity to meet established colleagues working in the field. In the last year special attention has been given to Young Economists with a prize awarded to the best presented paper. The Conference in the last 15 years: Asymmetric information, risk management, financial and banking innovation Financial markets: imperfect information and risk management Public debt management, financial markets and policy issues Competition among financial systems and bank firm relationship after euro Financial crises, risk management and growth Risk and regulation in the global financial markets Financial integration, competition and risks in the global economy Monetary integration, money and regulation Money markets and banks: liberalization versus regulation Transparency, governance and markets Debt, money and finance in integrated global markets Money, Finance and Growth European Financial Markets Integration, Institutional Convergences and Public Debt Policies Emerging Markets, Currencies and Financial Stability Global Institutions for Global Markets New Frontiers of Banking and Finance after the Global Crisis

19 Scientific Committee: Michele BAGELLA University of Rome Leonardo BECCHETTI University of Rome Alessandro CARRETTA University of Rome Giorgio DI GIORGIO University of Rome LUISS Guido Carli Gerald P. DWYER JR. Federal Reserve Bank of Atlanta Iftekhar HASAN Fordham University and RPI James R. LOTHIAN Fordham University of New York Francesco NUCCI University of Rome La Sapienza Luigi PAGANETTO University of Rome Gustavo PIGA University of Rome Anthony M. SANTOMERO McKinsey & Company Pasquale L. SCANDIZZO University of Rome Giorgio SZEGÖ La Sapienza University Paul WACHTEL New York University Leonard N. Stern School of Business Steering Committee: Michele BAGELLA University of Rome Leonardo BECCHETTI University of Rome Rocco CICIRETTI University of Rome Giorgio DI GIORGIO University of Rome LUISS Guido Carli Iftekhar HASAN Fordham University and RPI Francesco NUCCI University of Rome La Sapienza Paolo PAESANI University of Rome Gustavo PIGA University of Rome Damiano PINNACCHIO University of Rome Conference Secretariat: Ekaterina DORODNYKH Patrizia MARTA Tel Fax Mail: XXConference@economia.uniroma2.it Communication and Press Office: Simonetta PATTUGLIA Tel Fax

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