Jianjian Jin is a Senior Analyst in the Research Division of the Funds Management and Banking Department at the Bank of Canada. His primary research interests are the impact of macroeconomy and unconventional central bank policy on returns in financial markets and investors’ asset allocation. He has also worked on topics such as stochastic volatility consumption-based asset pricing models, variance risk premium puzzles, etc. Jianjian received his Ph.D. in economics from Northwestern University.
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.
The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.