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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

Content Type(s): Conferences and workshops