Advances in Fixed Income and Macro-Finance Research
Welcome Remarks
Ali Dastmalchian, Dean, Beedie School of Business (Simon Fraser University)
Session 1: Monetary Policy Communication
Morning Chair: Jens Christensen, Federal Reserve Bank of San Francisco
Central Bank Communication and the Yield Curve
Matteo Leombroni, Stanford
Andrea Vedolin, London School of Economics and CEPR
Gyuri Venter, Copenhagen Business School
Paul Whelan, Copenhagen Business School
Discussant: John Rogers, Federal Reserve Board of Governors
Identifying the Effects of Partially-Measured News Surprises
Refet Gürkaynak, Bilkent University and CEPR
Burcin Kisacikoglu, Bilkent University
Jonathan Wright, Johns Hopkins University
Discussant: Eric Swanson, UC Irvine
Session 2: Channels of Quantitative Easing
Expectation and Duration at the Effective Lower Bound
Thomas King, Federal Reserve Bank of Chicago
Discussant: Don Kim, Federal Reserve Board
Quantitative Easing and the Fiscal Theory
Alexandre Corhay, University of Toronto
Howard Kung, London Business School
Gonzalo Morales, University of Alberta
Discussant: Ian Dew-Becker, Northwestern Kellogg School of Management
Term Structure and Macro-Financial Linkages
Introduction: Lynn Patterson, Deputy Governor, Bank of Canada
Speaker: Tobias Adrian, Financial Counsellor and Director of the Monetary and Capital Markets Department, International Monetary Fund
Session 3: Macro Trends and the Yield Curve
Afternoon Chair: Jean-Sébastien Fontaine, Bank of Canada
Interest Rates Under Falling Stars
Michael Bauer, Federal Reserve Bank of San Francisco
Glenn Rudebusch, Federal Reserve Bank of San Francisco
Discussant: Anna Cieslak, Duke Fuqua
A Time Series Model of Interest Rates With the Effective Lower Bound
Benjamin Johannsen, Federal Reserve Board of Governors
Elmar Mertens, Bank of International Settlements
Discussant: Greg Duffee, Johns Hopkins University
Session 4: Credit Risk
Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion
Alain Monfort, CREST and Banque de France
Fulvio Pegoraro, Banque de France and CREST
Jean-Paul Renne, HEC Lausanne
Guillaume Roussellet, NYU Stern
Discussant: Gustavo Schwenkler, Boston University
Credit-Implied Volatility
Bryan Kelly, University of Chicago and NBER
Gerardo Manzo, University of Chicago and Two Sigma
Diogo Palhares, AQR
Discussant: Lukas Schmid, Duke Fuqua
Session 5: Asset Pricing and Risk Premia
Morning Chair: Michael Bauer, Federal Reserve Bank of San Francisco
Low Inflation: High Default Risk and High Equity Valuations
Harjoat Bhamra, Imperial College Business School
Christian Dorion, HEC Montréal
Alexandre Jeanneret, HEC Montréal
Michael Weber, Chicago Booth
Discussant: Min Wei, Federal Reserve Board of Governors
Ambiguity, Nominal Bond Yields, and Real Bond Yields
Guihai Zhao, Bank of Canada
Discussant: Carolin Pflueger, University of British Columbia
Session 6: Uncertainty and Volatility
The Term Structure and Inflation Uncertainty
Tomas Breach, Federal Reserve Bank of Chicago
Stefania D’Amico, Federal Reserve Bank of Chicago
Athanasios Orphanides, MIT Sloan
Discussant: Philippe Mueller, London School of Economics
What Fed Funds Futures Tell Us about Monetary Policy Uncertainty
Jean-Sébastien Fontaine, Bank of Canada
Discussant: Albert Chun, University of Queensland
Closing Remarks
Glenn Rudebusch, Senior Policy Advisor, Federal Reserve Bank of San Francisco