For more information about this meeting, contact Victor Nistor.
|Title:||Long-Run Bond Risk Premia|
|Seminar:||Probability and Financial Mathematics Seminar|
|Speaker:||Olesya Grishchenko, Federal Reserve Board, Washington|
|NOTE: if you are interested in being on the mailing list for this seminar, please contact one of the organizers (nistor at math dot psu dot edu or mazzucat at math dot psu dot edu) to request that you be included in the list.
Abstract of the talk: In the paper that I will present, we rationalize the failure of the expectations hypothesis and the time-varying bond risk premia in the generalequilibrium model with the long-run consumption risks coupled with stochastic consumption volatility process coupled with recursive preferences and inflationuncertainty dynamics, which interact with both consumption growth and volatility. The last two effects are also present in the inflation modeling, and thusaffect both real and nominal side of the economy. This link paves a way of explaining long standing puzzle of the failure of expectations hypothesis, which wasearlier attempted to be explained only via a real economy variables. This is joint work with Hao Zhou.|
Room Reservation Information
|Date:||04 / 29 / 2013|
|Time:||03:30pm - 05:00pm|