【主题】Cumulative Monetary Policy Shocks
【报告人】李泽昊（助理教授，香港中文大学深圳校区）
【时间】 2024年5月15日周三13:30-15:00
【地点】高等研究院楼232会议室
【语言】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.
【报告人简介】Li Zehao received his Ph.D. in economics from University of Wisconsin-Madison before joining CUHK Shenzhen in 2020. He is interested in macroeconomics, focusing on business cycle theory, financial frictions, and monetary policy. His research has been published at renowned journals such as the European Economic Review.
