July 6-9, 2021, Online and Onsite in Shanghai, China

Session Details

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Macro Risks and Bond Pricing

Time:Friday, July 9, 2021 10:15 - 12:00Location:Stream 7Session Chair:Jennifer Carpenter, New York University Zoom:

Public Debt and the Slope of the Term Structure

Thien Nguyen; The Ohio State University

  Presenter: Thien Nguyen, The Ohio State University

  Discussant: Itamar Drechsler, University of Pennsylvania

The Term Structure of Liquidity Premium

Scott Joslin; University of Southern California

Wenhao Li; University of Southern California

Yang Song; University of Washington

  Presenter: Wenhao Li, University of Southern California

  Discussant: Or Shachar, Federal Reserve Bank of New York

Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models

Michel van der Wel; Erasmus University Rotterdam

Yaoyuan Zhang; The University of Hong Kong

  Presenter: Yaoyuan Zhang, The University of Hong Kong

  Discussant: Greg Duffee, Johns Hopkins University

Risks and Risk Premia in the US Treasury Market

Junye Li; Fudan University

Lucio Sarno; University of Cambridge

Gabriele Zinna; Bank of Italy

  Presenter: Junye Li, Fudan University

  Discussant: Robert Whitelaw, New York University

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