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学术前沿讲座——Macroeconomic Expectations in Bond Returns

发布时间:2022-06-17访问量:23


报告题目

Macroeconomic Expectations in Bond Returns

报告人(单位)

朱小能教授

上海财经大学金融学院副院长

点评人(单位)

刘晓星教授

(东南大学)

点评人(单位)

李守伟教授

(东南大学)

尹威 副教授

(东南大学)

时间地点

会议时间: 2022/6/18(周六)1500

腾讯会议ID457-718-732

会议密码:0618

报告内容摘要:

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 treasurybond 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.

报告人简介:

朱小能,上海财经大学金融学院教授、副院长;上海国际金融与经济研究院研究员;从事资产定价、金融科技等方面研究。

在国际权威期刊《Journal of Financial Economics》《Management Science》和国内权威期刊《经济研究》《金融研究》等发表论文40余篇;在《光明日报》《上海证券报》《凤凰财经》等发表文章多篇。主持国家社科重大项目、国家自科基金、上海决策咨询等课题,多项成果获批示。担任SSCI期刊《Economic Modelling》副主编、客座主编,《金融科学》编委。拍摄《投资学原理与中国市场实践》等在线课程,获得好评。



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