主题：Adaptive Risk Preferences: Unraveling the Impact of Monetary Policy on Output

主讲人：Antje Berndt，澳大利亚国立大学商业与经济学院金融学教授

时间：3月13日（周三）上午10:00-11:30

地点：4-101教室

语言：英文

摘要：

We introduce a novel approach for measuring time variation in habit-based preferences using corporate bond data, and employ this approach to estimate moments that describe the link between surplus consumption and output. Using a model that integrates macroeconomic dynamics with habit-based preferences, we show that our evidence on the relationship between surplus consumption and the output gap is most consistent with a model specification where a monetary policy shock of 1% reduces output by 2.2% and has a trough at 9–10 quarters. This evidence is relevant for recent studies that rely on the preference-output gap link to induce hump-shaped output responses to monetary policy shocks.

主讲人介绍：

Antje Berndt is Professor of Finance. Antje’s research focuses on the theoretical and empirical analysis of different sources of delinquency risk: corporate credit risk, mortgage default risk and fiscal risk. Antje has written widely and published in leading finance and economics journals including Review of Financial Studies, Review of Finance, Journal of Monetary Economics and the American Economics Journal: Macroeconomics. Antje is regarded an expert in her field, with her work featuring in the Wall Street Journal and on CNBC Squawk Box, National Public Radio and Reuters, amongst others. Antje has presented her research at a number of academic and industry events including National Bureau of Economic Research workshops, the American Finance Association, Western Finance Association, European Finance Association, Society for Financial Studies, Econometrics Society and Society of Economic Dynamics annual meetings, and in over 70 invited seminars. Antje has received multiple research awards as well as being recipient of the ANU Futures Scheme, PNC Professorship in Computational Finance, the Global Association of Risk Professionals Research Management Award, and the Fulbright Enterprise Scholarship. Antje’s research has been funded by the US National Science Foundation and the US National Security Agency.