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美国印第安纳大学王震宇教授讲座
Published:2016-05-30 16:03:06    Text Size:【BIG】【MEDIUM】【SMALL

创源大讲堂专题讲座系列:

讲座题目Dynamics of the Expectation and Risk Premium in the OIS Term Structure

讲座时间:201666日(星期一)上午10:00-11:30(第一场)

                                                                          

                                                                          下午2:30-4:00(第二场)

 

讲座地点:九里校区信息楼0228教室

 

主讲人:美国印第安纳大学王震宇教授: Professor of Business Finance and Edward E. Edwards Professor at the Kelley School of Business in Indiana University

 

主持人:李维萍 教授

 

主讲人简介:

   Zhenyu Wang is currently Professor of Business Finance and Edward E. Edwards Professor at the Kelley School of Business in Indiana University. He was formerly a vice president at the Federal Reserve Bank of New York, where

he was the head of Financial Intermediation Function. During the 2007-2008

financial crisis, he contributed directly to the design of several Federal Reserve emergency liquidity facilities, the reform of the Federal Reserve discount window collateral management, the bailout of Bear Stearns and AIG, the security design of the TARP, and the development of new capital requirements for banks. Before working at the NY Fed, he was a faculty member at the Graduate School of Business in Columbia University for nine years and at the School of Business in UT Austin for one year. He also served on editorial boards for several academic journals. Professor Wang has published research on equity, fixed income, derivative securities, asset management, and financial econometrics. His research papers have been published in the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, and Management Science. Some of his publications are influential in business education and bank regulation. One of his papers was awarded the Best Paper on Investments at the Western Finance Association. Professor Wang obtained his Ph.D. degree in economics from the University of Minnesota, where he received the Alfred P. Sloan Doctoral Dissertation Fellowship.

 

讲座内容简介:  

    The term structure of the overnight index swap (OIS) rates varied dramatically and alternated between positive and negative slopes during 2002-2015, as the economy went through the recovery from the 2001 recession, the real estate boom before the 2007--2009 financial crisis, the Great Recession accompanied by the crisis, and the near-zero interest rate monetary policy after the crisis. To study the dynamics of the expectation and risk premium in the OIS term structure, we introduce a model that incorporates the Federal Reserve's open market operations but still preserves the economic foundation and the analytical tractability of the traditional CIR model. Besides fitting the OIS term structure well, our model accounts for the change in the market expectation of monetary policy over time while keeping the risk premium positive. The model shows that the expectation of future interest rate cuts resulted in the inversion of the short-term yield curve in the year right before the financial crisis. The model also demonstrates that the risk premium in the OIS rates was increasing during the three years prior to the Great Recession, peaked at the beginning of the recession, and plunged when the Fed started the extended period of the near-zero interest rate policy. The model also captures the market expectation of the monetary policy normalization in 2015. These results are in contrast to the dynamics of the expectation and risk premium estimated from sophisticated multifactor models.

 

 

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