March 8 – 9, 2022, Zurich (hybrid format)
Keynote speaker: Yuriy Gorodnichenko (University of California – Berkeley)

Call for Papers Deadline: 15 November 2021


Call for papers
Uncertainty surrounding inflation has widened considerably across the globe since the start of the COVID-19 pandemic. Risks have shifted from persistently on the downside over the last decade to decidedly on the upside in the face of resurging demand and supply shortages as economies reopen. These developments pose considerable challenges for households, businesses, market participants, and policymakers. This conference aims to bring together insights from academics and policymakers to discuss inflation risks, their drivers, and how they propagate to the real economy and financial markets, and the extent to which policymakers can respond to these challenges.

The Swiss National Bank, the Bank for International Settlements, and the Division of International Finance of the Federal Reserve Board will jointly organize the second conference on Global Risk, Uncertainty, and Volatility. We welcome submissions within the broad themes of inflation risk and uncertainty. Some illustrative topics/questions include:

Measuring inflation risk and uncertainty

  • How to use information from financial markets, surveys, news and textual analysis, or economic variables to measure inflation risk and uncertainty?
  • Which statistical models should be used to measure and study inflation risk and uncertainty?

The transmission of inflation uncertainty to the real economy, financial markets, and financial stability

  • How do households and businesses incorporate inflation risk and uncertainty when making financial decisions?
  • Does inflation risk and uncertainty generate downside risk to economic growth, and does it also pose challenges to financial stability?
  • Can inflationary shocks in large, advanced economies trigger capital flow reversals and financial stress in EMEs?
  • Which theoretical and statistical models can shed light on the relationship between inflation risk and uncertainty, the real economy, and financial markets?
  • What is the role of uneven shocks and sectoral heterogeneity in inflation risk and uncertainty?
  • Do the effects of inflation risk and uncertainty vary across income groups or sectors and do they affect political and social strains?

The role of policy making in the resurgence and resolution of inflation risk and uncertainty

  • Which analytical frameworks should be used to study the role of inflation risk and uncertainty for optimal monetary policy?
  • What specific challenges do inflation risk and uncertainty pose for policy makers? Are these challenges affected by the extent of income inequality and debt levels?
  • What is the role of central bank communication strategies in times of high inflation risk and uncertainty?

The deadline for submissions is November 15, 2021. Please send drafts of completed papers to [email protected]. Authors of accepted papers will be informed by January 15, 2022. The conference will be held as a hybrid event with virtual and in-person presentations.

Scientific Committee
David López-Salido, Francesca Loria, and Danilo Cascaldi-Garcia (FRB)
Deniz Igan, Benoit Mojon, and Dora Xia (BIS)
Thomas Moser, Lucas M. Fuhrer, and Simone Auer (SNB)

Timo Löyttyniemi, 08 July 2021

Financial stability is at the core of central banking. This column assesses the various risks to financial stability stemming from climate change, which arise from physical risks, transition risks, and the chosen transition path towards a net zero economy. Additional risks arise from the changes in government policies, risks in green investments, mispricing of assets, and potential changes in metrics. The channels for financial instability are, as usual, the sustainability of government debt, the vulnerability of banking, and the volatility and liquidity of securities markets. Awareness of these additional financial stability risks could increase financial stability.

Pasquale Della Corte, Lucio Sarno, Maik Schmeling, Christian Wagner, 17 May 2021

In fixed exchange rate systems, default risks tend to have devastating effects on currencies, usually leading to sharp devaluations. However, little is known about the relationship between default expectations and exchange rates in floating rate regimes. This column uses data from a broad set of currencies to uncover a strong link between exchange rate movements and sovereign risk across all exchange rate regimes. This relationship is largely caused by countries’ exposure to global sovereign risk factors and shown to be driven by changes in default expectations. 

Markus Eberhardt, Andrea Presbitero, 26 April 2021

Commodity prices are one of the most important drivers of output fluctuations in developing countries. This column shows that a major channel through which commodity price movements can affect the real economy is their effect on financial stability. Commodity price volatility is likely to trigger financial instability and banking crises through a reduction in government revenues and a shortening of sovereign debt maturity, which in turn are likely to weaken banks’ balance sheets.

Gbenga Ibikunle, Khaladdin Rzayev, 09 May 2020

Dark pools, which are trading venues that do not offer pre-trade transparency, are often suspected of causing difficulties with price discovery, and of adversely affecting market quality. This column studies the effects of COVID-19-induced volatility on trading in dark pools. Increased volatility is found to be linked with an economically significant shift of market share from dark pools to lit exchanges.

Scott Baker, Nicholas Bloom, Steven Davis, Stephen Terry, 13 April 2020

While assessing the economic impact of COVID-19 is essential, it is challenging due to the extreme speed with which the crisis unfolded. This column uses three forward-looking uncertainty measures to quantify the enormous increase in economic uncertainty over the past weeks. Feeding these COVID-induced uncertainty shocks into a model of disaster effects predicts a year-on-year contraction in US real GDP of nearly 11% as of 2020 Q4.  About 60% of the forecasted output contraction is estimated to be due to COVID-induced uncertainty. 

Francis Kramarz, Julien Martin, Isabelle Mejean, 11 December 2019

Economists continue to disagree about whether international trade exacerbates or diminishes volatility. This column presents firm-level evidence from French exporters and their European trading partners over 15 years to show that firm-level volatility increases individual-level and aggregate-level volatility. High concentration among buyers as well as suppliers can amplify these shocks.

Vladimir Asriyan, Luca Fornaro, Alberto Martin, Jaume Ventura, 30 September 2019

We live in a world of low interest rates and volatile asset values. This column argues that in such a bubbly world, we can no longer disregard the role of money as a store of value, and the role of monetary policy as a supplier of stores of value. Indeed, monetary policy plays a key role by expanding and stabilising the supply of unbacked assets at an optimal level.  

Jon Danielsson, Robert Macrae, 12 August 2019

The type of risk we most care about is long-term, what happens over years or decades, but we tend to manage that risk over short periods. This column argues that the dissonance of risk is that we measure and manage what we don't care about and ignore what we do.

Wilko Bolt, Maarten R C van Oordt, 14 May 2019

What drives the volatility of Bitcoin? This column explains a theoretical framework to link exchange rates to currency creation, speculative behaviour, and real growth in goods and services transactions. It suggests that the exchange rate will be less sensitive to speculators' beliefs when a virtual currency becomes more established as a means of payment. 

Jon Danielsson, 02 January 2019

Christiane Nickel, Derry O'Brien, 20 November 2018

Just like other central banks, the ECB generally monitors a range of measures of underlying inflation to help distinguish noise from signal in headline inflation. This column describes measures of underlying inflation that are routinely used at the ECB for measuring euro area headline inflation and provides some insights on their interpretation. Each of the measures has merits and shortcomings and they should be taken together in arriving at a first-pass assessment of developments in headline inflation. At the same time, the measures need to be complemented by a more structural examination of their driving forces in order to better understand the inflation process.

Bezirgen Veliyev, 01 November 2018

Bezirgen Veliyev of Aarhus University talks to Ben Chu of The Independent about new ways to measure volatilty of asset prices. The interview was recorded at the Royal Economic Society 2018 Annual Conference.

Isaiah Hull, Conny Olovsson, Karl Walentin, Andreas Westermark, 23 August 2018

Large movements in house prices can have broad and substantial effects on the macroeconomy. This column uses property-level data to identify the key drivers of house price volatility and decompose this into national, regional, local, and idiosyncratic components. There is substantial cross-sectional variation in house price risk, with higher firm concentration, employment volatility, and manufacturing share of output and employment associated with greater risk. 

Jon Danielsson, 30 May 2018

Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, 24 April 2018

During 2016-17, market analysts and policymakers grappled with the puzzling coexistence of subdued market volatility and heightened policy uncertainty and geopolitical risk. The rise in world growth expectations can explain some but by no means all of the decline in market volatility during this period. This column argues that excess optimism about future growth prospects might have fuelled the decline in volatility. This would imply that gradual unwinding of such expectations could bring more bursts of market volatility, as we have begun to witness since the start of 2018.

Jon Danielsson, Marcela Valenzuela, Ilknur Zer, 26 March 2018

Reliable indicators of future financial crises are important for policymakers and practitioners. While most indicators consider an observation of high volatility as a warning signal, this column argues that such an alarm comes too late, arriving only once a crisis is already under way. A better warning is provided by low volatility, which is a reliable indication of an increased likelihood of a future crisis.

Tito Cordella, Anderson Ospino, 14 August 2017

While some studies suggest that financial globalisation increases volatility and leads to economic instability, others appear to show that it leads to more efficient stock markets, with higher returns but no increase in volatility. Using a new measure of financial globalisation, this column argues that, on average, it has no significant effect on stock market volatility in developed markets, but it decreases volatility in emerging and frontier markets, where domestic shocks are likely to play a relatively greater role.



CEPR Policy Research