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162th biweekly Academic Forum

作者:     日期:2015-12-19    来源:

I      Theme: Unspanned Macroeconomic Risks in Currency and Bond Markets

II   Speaker: Chen Rui from the School of Finance. The research fields of Dr. Chen include asset pricing, term structure of interest rate, micro structure of the market and so on. His research has been published in international journals including Finance Research Letters, Australian economic papers.

III   Time: December 22, 2015 (Tuesday), 13:00-14:00

IV   Venue: Meeting Room 702, Academic Auditorium

V    Host: Wang Yaqi, lecturer from the School of Finance, Central University of Finance and Economics

Abstract: This paper presents a joint global affine term structure model of exchange rates and interest rates with unspanned macroeconomic risks. We characterize time-varying currency and bond risk premia in the context of the global affine term structure model. We find that unspanned macroeconomic risks account for a large portion of the variation in currency and bond risk premia. Furthermore, our empirical analysis reveals that the global term structure model is able to simultaneously account for the forward premium puzzle, the empirical failure of the expectations hypothesis, and the predictability of bond risk premia.