“華師經(jīng)英Seminar”第十一期
題目：Inflation Expectation and the Predictability of Yield Curve for Real Economic Activity
時(shí)間：2020年4月16日（周四）14:00
地點(diǎn)：騰訊會(huì)議
會(huì)議 ID：微信群內(nèi)公布
主講人：賈明遠(yuǎn)博士
主講人簡(jiǎn)介：
賈明遠(yuǎn)博士2019年畢業(yè)于美國(guó)加州大學(xué)河濱分校(UC, Riverside)，現(xiàn)供職于新葡的京集團(tuán)350vip8888經(jīng)濟(jì)與管理研究院。賈明遠(yuǎn)博士曾受邀擔(dān)任Quantitative Economics 和 Empirical Economics 的匿名審稿人。 他的研究興趣包括應(yīng)用宏觀經(jīng)濟(jì)學(xué)和時(shí)間序列分析。賈明遠(yuǎn)博士目前的研究力圖構(gòu)建新的計(jì)量模型，利用混頻和高頻數(shù)據(jù)對(duì)宏觀經(jīng)濟(jì)狀況和貨幣政策走向進(jìn)行實(shí)時(shí)監(jiān)控和預(yù)測(cè)。
Abstract：We build the term structure of inflation expectation with a Nelson-Siegel dynamic factor model. The inflation expectations are summarized using the latent level, slope, and curvature factors. We also show that the model breaks down the nominal yield spread into real interest rate and inflation expectation. A decomposition of the yield curve into its expectations and risk premia components helps disentangle the channels that connect fluctuations in treasury rates and the future state of the economy. In particular, a change in the yield curve slope due to expected real rate path or inflation expectation path is associated with future industrial production growth and the probability of recession. In contrast, the term premium component appears to have lost the predictive power significantly.