International Monetary Fund

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Research Workshop

Systemic Risk and Macro Prudential Tools

IMF Headquarters, Washington, DC

April 16, 2010

Systemic Risk and Macro Prudential Tools


The 2007-2009 financial crisis has brought to the fore old and new fundamental questions about the macroeconomic policy framework.

Questions of particular interest include how to adapt macroeconomic policies to the buildup of systemic risk, is there a need for macro prudential regulation, and if so, what should its objectives and tools be?

The IMF Research Department is organizing an academic workshop, where leading economists will present their work on these issues to shed light on some of these questions. In particular, speakers will cover approaches to measure systemic risk, tools to limit systemic externalities, and ways to model interactions between financial and real variables.


The website contains papers and web links to papers that will be considered at the workshop. The views expressed in these papers are those of the authors only, and the presence of them, or of links to them, on the IMF website does not imply that the IMF, its Executive Board, or its management endorses or shares the views expressed in the papers.

Systemic Risk and Macro Prudential Tools
Friday, April 16, 2010
9:00 a.m. Opening Remarks by Olivier Blanchard, Economic Counselor and Director, Research Department
9:15-10:55 a.m. Session I — Measuring and Preventing Systemic Externalities

Laura Kodres (Division Chief, Monetary and Capital Markets Department)

1. Measuring Systemic Risk, Viral Acharya (New York University), Lasse Pedersen (NYU), Thomas Philippon (NYU), and Matthew Richardson (NYU)

Mark Carey (Federal Reserve Board of Governors)

2. Managing Credit Booms and Busts: A Pigouvian Taxation Approach, Olivier Jeanne (Johns Hopkins University), and Anton Korinek (University of Maryland)

Bora Durdu (Federal Reserve Board of Governors)

10:55-11:10 a.m. Coffee Break
11:10 a.m.-12:50 p.m. Session II — Dealing with Systemic Externalities

Chair Rodrigo Valdes (Senior Advisor, Western Hemisphere Department)

1. A New Capital Regulation for Large Financial Institutions, Oliver Hart (Harvard), and Luigi Zingales (University of Chicago)

Giovanni Dell’Ariccia (IMF, Research Department)

2. Contingent Debt Currency, Markus Brunnermeier (Princeton), Arvind Krishnamurthy (Northwestern University), and Guido Lorenzoni (MIT)

Olivier Jeanne (Johns Hopkins University)

12:50-2:20 p.m. Luncheon—IMF Gallery (by invitation only)
2:20-4:00 p.m. Session III — Modeling Macro–Financial Linkages

Enrica Detragiache (Advisor, IMF Institute)

1. A Macroeconomic Model with a Financial Sector, Markus Brunnermeier (Princeton), and Yuliy Sannikov (Princeton)

Huberto Ennis (Federal Reserve Bank of Richmond)

2. Financial Intermediation and Credit Policy in Business Cycle Analysis, Mark Gertler (NYU), and Nobuhiro Kiyotaki (Princeton)

Jon Faust (Johns Hopkins University)

For further information please contact Helen Hwang (