Commodities and Emerging Market Risks
The Volatility Institute hosted its eighth annual conference on April 29, 2016 titled "Commodities and Emerging Market Risks."
Click here for the Eighth Annual Volatility Institute Conference Program. You can view photos from the event here.
Keynote Speaker Felipe Larraín B., Former Minister of Finance of Chile (left) and conference host Robert Engle pose for a photo.
The collapse of commodity prices has dramatically affected many emerging market economies. We see falling exchange rates, equity indices and GDP. Patterns of asset correlations and volatilities reflect these risks. However, financial institutions appear to be adequately capitalized in many cases. What are the causes and consequences of these events? Slowing growth in China is a key driver but slow growth in other developed economies including Japan, Europe and the US has also affected both commodity prices and emerging economies. The collapse of the carry trade and exit of “hot money” may be part of the story. Both private and sovereign borrowing are important factors in other countries. This conference will focus on the global risks, both now and in the future, pertaining to commodity prices and emerging market economies.
|8:20-8:30am||Welcome Remarks: Dean Peter Blair Henry, NYU Stern School of Business|
|8:30-9:50am||Session 1: Chair: Viral Acharya, NYU Stern School of Business
Michael Siemer, Board of Governors of the Federal Reserve System "Uncertainty and International Capital Flows"
(co-authored with Francois Gourio and Adrien Verdelhan)
Discussant: Robert Richmond, UCLA Anderson School of Management
Rui C. Mano, International Monetary Fund "Unveiling the Effects of Foreign Exchange Intervention: A Panel Approach"
(co-authored with Gustavo Adler and Noemie Lisack)
Discussant: Takatoshi Ito, School of International and Public Affairs, Columbia University
|9:50-10:35am||Keynote Speaker: Felipe Larraín B., Professor of Economics and Director of Latin American Center for Economic and Social Policies, Pontificia Universidad Catolica de Chile. Former Minister of Finance of Chile (2010-2014) "Managing Public Finances in Natural Resource Abundant Economies"|
Chair: Peter Hooper, Deutsche Bank
Reinhard Ellwanger, Bank of Canada "Driven By Fear? The Tail Risk Premium in the Crude Oil Futures Market"
Discussant: Emil Siriwardane, Harvard Business School
Lutz Kilian, University of Michigan "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil"
(co-authored with Christiane Baumeister)
Discussant: Jing Cynthia Wu, Chicago Booth and NBER
|12:20-2:00pm||Lunch & Luncheon Address:
Ryan LaFond, Managing Director, Research Head, Asia Pacific and Emerging Markets Equity Group, BlackRock Inc.
"EM Equity, What is it and Why this Matters for Risk"
Chair: Eric Ghysels, University of North Carolina, Chapel Hill
Presenter: Benjamin Hood, AQR Capital Management "Risk Everywhere: Modeling and Managing Volatility"
(co-authors Tim Bollerslev, John Huss, and Lasse Heje Pedersen)
Discussant: Liuren Wu, Zicklin School of Business, Baruch College, City University of New York
Presenter: Kasper V. Olesen, Bank of America Merrill Lynch and CREATES "Factor Structure in Commodity Futures Return and Volatility"
(co-authors Peter Christoffersen and Asger Lunde)
Discussant: Stephen Figlewski, NYU Stern School of Business
Asger Lunde, Aarhus University & CREATES "Realizing Commodity Correlations"
(co-authored with Niels S. Grønborg, Kasper V. Olesen and Harry Vander Elst)
Discussant: Andrew Patton, NYU Stern School of Business
|4:20-5:00pm||What's New In V-Lab:
Robert F. Engle, NYU Stern School of Business
Moderator: Kim Schoenholtz, NYU Stern School of Business
|6:00pm||Wine and Cheese Reception|
VOLATILITY INSTITUTE SCIENTIFIC COMMITTEE
Viral Acharya, Stern School of Business New York University
Robert Engle, Stern School of Business New York University
Stephen Figlewski, Stern School of Business New York University
Eric Ghysels, University of North Carolina – Chapel Hill
Bingxu Chen, BlackRock, Inc.
Peter Hooper, Chief Economist, Deutsche Bank Securities
Eric Jondeau, University of Lausanne HEC
Andrew Patton, Stern School of Business New York University
Matt Richardson, Stern School of Business New York University
The Volatility Institute, BlackRock, Deutsche Bank, Nasdaq OMX, The Alfred P. Sloan Foundation, SoFiE, and the AIG-NYU Collaborative Research Initiative