辽宁大学经济学前沿高端讲座第五十三讲    

                      Cumulative Monetary Policy Shocks   

 主讲人：李泽昊 助理教授（香港中文大学（深圳）经管学院） 

 主持人：杨程 助理教授（辽宁大学李安民经济研究院） 

 嘉宾介绍：侯尚迪 助理教授（辽宁大学中国经济研究院） 

 时间：2024年5月24日（周五）  10：00-11：30（北京时间） 

 地点：辽宁大学崇山校区五洲园一楼会议室 

 线上地址：腾讯会议701-960-636 

 语言：中文/英文  

 摘要：The cumulative sum of U.S. monetary policy shocks declines persistently over time. The series contains critical information about 1) the cointegration trend of Treasury yields, 2) bond risk premia, and 3) expected interest rates. These facts are unlikely to be due to the Fed information effect. We exploit these empirical patterns in a regression-based estimation of a shifting endpoint affine term structure model. The algorithm is fast and can be used to estimate daily term premia. The model implies stronger downward trends in risk-neutral rates and more stable term premia than canonical affine term structure models. Our decomposition of daily yields reveals that the effects of monetary policy announcements on long-maturity yields mainly worked through the expectations channel. The dynamics of risk-neutral rates are mostly determined by monetary policy shocks, while the term premia are predominantly shaped by non-monetary factors.  

 主讲人简介：   

  李泽昊是香港中文大学（深圳）经管学院助理教授。他于2020年获得威斯康辛麦迪逊大学经济学博士学位，并于同年加入香港中文大学（深圳）经管学院。他的研究主要集中于宏观经济学中的经济周期理论、金融摩擦、货币政策等方面。目前，他的研究关注美国的货币政策如何影响本国和其他国家的长期利率、风险溢价、以及其他宏观经济变量。他的研究已发表于European Economic Review。