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Call for papers


The Centre for International Macroeconomics and Finance (University of Cambridge) in collaboration with IÉSEG-School of Management (Lille Catholic University) and the Money, Macro Finance Group is inviting submissions of papers for an academic conference on issues related to recent developments in links between macroeconomics and financial markets, with special emphasis on the yield curve. The conference will be held on 1 and 2 September 2011 in Cambridge. The organizers are seeking to bring together leading international researchers, academics and central bankers interested and involved in this field. The aim of this 2-day conference is to cover a broad range of related topics, both theoretical and empirical, in the macro-finance literature. The conference will in particular be devoted to recent advances in both theoretical and empirical analysis of financial markets, including both money and the capital markets. In particular, it will offer the opportunity to exchange views between experts as regards the possible implications of the lessons from the recent financial crisis on research in macro-finance. Some papers will be published in the second volume of the series Modern Macroeconomic Policy Making, Cambridge University Press.
More specifically, the submission of research papers in the following fields is especially encouraged:

  1. The analysis and extraction of expectations of future monetary policy decisions at short to medium term horizons, made on the basis of money market data and more generally financial data. This includes issues such as the estimation of risk premia embedded in the yield curve and the measurement of uncertainty/volatility surrounding market expectations of future financial prices;
  2. The measurement and analysis of the impact of both macroeconomic data releases and central bank communication on the yield curve. Analyses of the impact of new information on the yield curve through the use of structural models such as affine yield curve models are of special interest;
  3. The analysis of the short-term dynamics of money market interest rates and in particular the structural channels through which developments in short-term interest rates pass-through to longer maturities. Robust analysis of the transmission along the yield curve of the spread between short-term interest rates and the policy rate are welcome.
  4. Recent new developments in the specification of the yield curve against the background of the modelling of transmission mechanisms. A special focus will be on the prices of government liabilities and the analysis of the transmission of monetary policy decisions, as well as any spill-over that can occur onto the corporate liability curve.

In analysing the issues listed above, papers which employ a broad range of modelling approaches and quantitative empirical methodologies as well as technical discussions on new advances in modelling, would be particularly welcome. In particular, methods based on recent developments in econometrics, on structural approaches such as affine term structure models and/or on microstructure analysis would be of particular interest. Empirical papers addressing especially European issues are also very welcome.

Call for Papers (PDF file 34,24 Ko)