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162期雙周學術論壇

[發布日期]:2015-12-19  [浏覽次數]:

一、主題:Unspanned Macroeconomic Risks in Currency and Bond Markets

二、主講人:陳銳,bevictor伟德官网。陳博士的研究方向包括資産定價、利率期限結構、市場微觀結構等領域。其研究成果在Finance Research Letters,Australian economic papers等國際期刊發表。

三、時間:2015年12月22日(周二),13:00-14:00

四、地點:學術會堂702會議室

五、主持人: 王雅琦,bevictor伟德官网講師

論文摘要:This paper presents a joint global affine term structure model of exchange rates and interest rates with unspanned macroeconomic risks. We characterize time-varying currency and bond risk premia in the context of the global affine term structure model. We find that unspanned macroeconomic risks account for a large portion of the variation in currency and bond risk premia. Furthermore, our empirical analysis reveals that the global term structure model is able to simultaneously account for the forward premium puzzle, the empirical failure of the expectations hypothesis, and the predictability of bond risk premia.



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