数字技术与经济金融前沿论坛（第12期）

摘要：

Beliefs on the current economic state wag the economy and have persistent　macro outcomes. We construct a single current economic condition indicator (CEC)　and find that it strongly predicts bond returns with out-of-sample R-square up to 35% and is unspanned by the yield curve. Notably, the CEC's predictive power is complementary to long-term macro trends, suggesting that the entire term structure of macroeconomic expectations is important for understanding risk premiums. We propose a term structure model upon imperfect information to illustrate the role of CEC. Indeed, it can account for countercyclical risk premiums and is superior in interest rate forecasts.
 

主讲人介绍：

朱小能，上海财经大学金融学院教授、博导；上海国际金融与经济研究院研究员；从事资产定价、金融市场与宏观经济、金融科技、货币政策等方面的研究。近年来在国际权威期刊《Journal of Financial Economics》、《Management Science》、《Journal of Financial and Quantitative Analysis》、《Review of Finance》等发表论文近30篇。国内权威期刊《经济研究》、《金融研究》、《经济学季刊》、《管理科学学报》等发表论文10多篇；多项决策咨询成果获批示；在《光明日报》《上海证券报》《文汇报》、《凤凰财经》等发表评论文章多篇。主持国家社科基金重大项目、国家自然科学基金、上海市决策咨询课题、教育部人文社科项目等各类课题。担任教育部中国教育智库网特聘专家、上海市金融专硕教指委委员等职。