Guihai Zhao is a Senior Economist in the Financial Markets Department at the Bank of Canada. He is a financial economist whose research interests include asset pricing and monetary economics. Guihai Zhao received his PhD in economics from Boston University.
Staff Working Papers
Given that the stochastic discount factor (SDF) from any equilibrium model has direct implications for yield curves, the historical dynamics of the US Treasury yield curve should tell us what a good SDF should look like from a historical perspective.
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth.