主题：The Real Explanation of Nominal Bond-Stock Puzzles

主讲人：Mikhail Chernov，加州大学洛杉矶分校安德森商学院货币和金融市场教授

时间：10月20日（周三）上午9:00-10:30

地点：4-101教室

语言：英文

 

摘要：

We present evidence that the mix of transitory and permanent shocks to consumption is changing over time. We study implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and equity curves, upward sloping nominal yield curve, and sign-switching correlation between equities and bonds consistent with the stylized facts. This is achieved without relying on the nominal channel too much. That is, as in the data, the variation of inflation in the model is under 40% as a fraction of variation in nominal yields.

 

主讲人介绍：

Mikhail Chernov is the Warren C. Cordner Professor in Money and Financial Markets at UCLA’s Anderson School of Management, a Research Associate at NBER, and a Research Fellow at CEPR. Previously, he served on the faculty of London School of Economics, London Business School, and Columbia Business School. He has served on the editorial boards of Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, and Journal of Financial Economics. He is a board member of the Macro-Finance Society. Mikhail received his Ph.D. in Finance from the Pennsylvania State University and his B.S. in Mathematics and M.S. in Statistics from Moscow State University. Professor Chernov’s research focuses on empirical macro-based asset pricing with a particular interest in yield curve modelling, monetary policy, sovereign credit risk, and crash risk. He has published in Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Econometrics, Journal of Business and Economic Statistics, amongst others.