Speaker: Assistant Professor Li Zehao (School of Management and Economics, The Chinese University of Hong Kong, Shenzhen)

Host: Assistant Professor Yang Cheng (Li Anmin Institute of Economics, Liaoning University)

Guest introduction:Assistant Professor Hou Shangdi (China Institute of Economic, Liaoning University)

Time: May 24, 2024 (Friday) 10:00-11:30 (Beijing time)

Location: Conference Room, 1st Floor, Wuzhou Park, Chongshan Campus, Liaoning University

Online Venue: Tencent Meeting:701-960-636

Language: Chinese/English

abstract：

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.

Introduction to the speaker:

Li Zehao is an Assistant Professor at the School of Management and Economics, The Chinese University of Hong Kong, Shenzhen. He received his PhD in Economics from the University of Wisconsin-Madison in 2020 and joined the School of Management and Economics at The Chinese University of Hong Kong (Shenzhen) in the same year. His research focuses on economic cycle theory, financial frictions, and monetary policy in macroeconomics. Currently, his research focuses on how U.S. monetary policy affects long-term interest rates, risk premiums, and other macroeconomic variables in his home country and other countries. His research has been published in European Economic Review.