主题｜Topic：The Role of Long-run Risk and Valuation Risk in Explaining Nominal Bond Yields
时间｜Time：6月8号（周五）｜June 8th (Friday), 3：15 - 6：15 PM
地点｜Venue：文波208｜208，WENBO
主讲｜Speaker
罗希博士， 经济学博士毕业于美国西北大学,当前为美国史蒂文斯理工学院（Stevens Institute of Technology）助理教授。曾就职于芝加哥联邦储备银行和西北大学宏观经济研究中心。他长期从事金融经济、宏观经济学、时间序列的研究。已在 The Journal of Finance 发表文章。
研究领域｜Research Interests
Financial Economics, Macroeconomics and Time Series Analysis
金融经济、宏观经济学、时间序列
摘要｜Abstract
This paper assesses the relative importance of long-run risk and valuation risk in accounting for the behavior of stock returns and nominal bond yields. I do so by estimating a consumption-based asset-pricing model that allows for both types of risk. I argue that valuation risk, modeled as persistent shocks to agents’ discount rates, plays a key role in accounting for the salient properties of the nominal yield curve. I also show that valuation risks are more correlated with statistical affine factors than long-run risks. I find that the valuation risks enter into the standard affine term structure model in a statistically significant manner, playing a particular role in accounting for movements in the long end of the yield curve.
