主题：Learning and subjective beliefs about good and bad inflation ranges

主讲人：Ivan Shaliastovich，威斯康辛大学副教授

时间：5月28日（周三）上午10:00-11:30

地点：4-101教室

语言：英文

摘要：

We identify desirable/undesirable inflation outcomes under subjective beliefs by comparing survey based and risk-adjusted distributions of inflation. Intuitively, investors dislike inflation at both extremes, preferring a range in the middle. This “good inflation” region, which investors associate with lower-than-average marginal utility, varies substantially over time in position and width, revealing time-varying preferences across inflation ranges. Different ranges contribute to the inflation risk premium with mixed signs, offsetting each other and often masking important insights into the pricing of inflation risk. We rationalize these empirical patterns using a model where investors learn and update beliefs about hidden deflationary and inflationary recession states.

主讲人介绍：

Ivan Shaliastovich is Thomas D. and Barbara C. Stevens Distinguished Chair in Finance and an Associate Professor in the Department of Finance at the Wisconsin School of Business. Ivan’s areas of expertise are in asset pricing and financial econometrics. His research falls into three main areas: volatility risks, the term structure of interest rates, and investor learning in securities markets. His work in these three areas is tied together by a focus on macroeconomic uncertainty, and its impact on the economy and financial markets. His work is published in the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Econometrics, Management Science, among others.

At the University of Wisconsin-Madison, Ivan teaches undergraduate, graduate, and Ph.D. students in Finance. He serves as an Associate Editor for the Journal of Banking and Finance, Journal of Empirical Finance, and Quantitative Economics.

Ivan received his Ph.D. and M.A. in Economics from Duke University, and his B.A. in Economics and Mathematics from the American University in Bulgaria. He was at Wharton, University of Pennsylvania, before joining Wisconsin School of Business.