Time: 10:30am-12:00pm Agust 4th Tuesday
Addr: IFS Conference Room 202 (Guanghua Campus)
Topic: Inflation Bets on the Long Bond
Speaker: Pro.Jialin Yu from the Hong Kong University Science & Technology
Jialin Yu is an associate professor at the Hong Kong University of Science & Technology. He taught classes at the Columbia University as associate professor from 2008 to 2012 . He received his PhD.degree in economics from Princeton University in 2005. Professor Jialin Yu has published many academic paper on Journal of Econometrics,Journal of Financial Economics and other international famous journal.
Please find more information about Professor Jialin Yu professor at:
The textbook liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand a larger risk premium to hold long-term bonds. Using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since the prices of long-term bonds are more sensitive to inflation than short-term ones, investors also disagree and speculate more about long-maturity payoffs when uncertainty is high. Short-sales constraints then lead long maturities to become over-priced and the yield curve to flatten. We measure this inflation-betting effect by exploiting time variation in inflation disagreement and Treasury supply.
Contact: ye Dan, Zhang Bohuai