Seminars for 2019-2020

Seminars will be posted as speakers confirm their visits.

Unless specified, seminars are held on Thursdays, from 11am to noon, Stevanovich Center Library, 5727 S. University Ave.


Thursday, October 10, 2019 – 11am-noon – Stevanovich Center Library

Shige Peng

Professor of Mathematics, Shandong University, China, and academician of the Chinese Academy of Sciences

TBA

Thursday, October 17, 2019 – 11am-noon – Stevanovich Center Library

Anne Lundgaard Hansen

Ph.D. Candidate, Department of Economics at the University of Copenhagen and Danmarks Nationalbank

Yield Curve Volatility and Macroeconomic Risks

How important are macro risks for explaining variation in bond yields? We establish new evidence by uncovering dynamic aspects of the macroeconomic impact on yield curve volatility. To achieve this, we introduce a novel no-arbitrage macro-finance term structure model with multivariate GARCH volatility. Our model is tractable and can match realized volatility of U.S. Treasury bond yields from 1971 to 2018. We find that the fraction of yield curve variation due to macro risks (i) is highly time-varying ranging from 0-70%; (ii) exhibits large month-to-month changes that can be attributed to announcement effects; (iii) is pro-cyclical; (iv) is self-reinforcing as macro risks generate more yield variation in times where the macroeconomic impact is already high; and (v) displays an upward trend throughout our sample. Furthermore, we show that the joint behavior of macroeconomic and financial variables is sensitive to the amount of yield curve volatility. Overall, our results insist on the importance of state-dependent models and methods in macro-finance.


Thursday, November 7, 2019 – 11am-noon – Stevanovich Center Library

Tarun Ramadorai

Professor of Financial Economics at Imperial College London

TBA

Thursday, April 2, 2020 – 11am-noon – Stevanovich Center Library

Christian Brownlees

Associate Professor in the Department of Economics and Business at the Universitat Pompeu Fabra, Barcelona, Spain

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