時間：2022年5月12日（周四）16點30分

平台：騰訊在線會議 會議ID：479-319-356

内容提要：

Recent studies show that the consensus forecasts of professional forecasters and central bankers underreact to news relative to full-information rational expectations. However, can the treasury bond market anticipate such underreaction through information aggregation? To answer this question, we extract macroeconomic expectations in bond returns from a large panel dataset of real-time macro series and compare them to the projection of survey forecasts on bond returns. We find that the extracted macroeconomic expectations subsume the information in survey forecasts, forecast revisions and even the ex-post forecast errors in bond return prediction. However, macroeconomic expectations in bond returns do not anticipate the underreaction by the major market players. Furthermore, we assess a macro-finance term structure model including inflation expectations and the extracted macroeconomic expectations. We find that macroeconomic expectations generate significant fluctuations in term premiums over business cycles and produce lower term premiums in the most recent decade

主講人：朱小能

朱小能，上海财經大學bevictor伟德官网教授、博導；上海國際金融與經濟研究院研究員；從事資産定價、金融市場與宏觀經濟、金融科技、貨币政策等方面的研究。近年來在國際權威期刊《Journal of Financial Economics》、《Management Science》、《Journal of Financial and Quantitative Analysis》、《Review of Finance》等發表論文近30篇。國内權威期刊《經濟研究》、《金融研究》、《經濟學季刊》、《管理科學學報》等發表論文10多篇；多項決策咨詢成果獲批示；在《光明日報》《上海證券報》《文彙報》、《鳳凰财經》等發表評論文章多篇。主持國家社科基金重大項目、國家自然科學基金、上海市決策咨詢課題、教育部人文社科項目等各類課題。擔任教育部中國教育智庫網特聘專家、上海市金融專碩教指委委員等職。

主持人：

張學勇

bevictor伟德官网研究生工作部部長、研究生院院長、bevictor伟德官网教授、中國資産管理研究中心主任

主辦單位：

bevictor伟德官网

中國資産管理研究中心