New Developments in Macro-Finance Yield Curve Modelling

Transcription

1 New Developments in Macro-Finance Yield Curve Modelling Table of Contents (Expected Date of Completion December 2012: Publication Autumn 2013) 1. EDITORS INTRODUCTORY CHAPTER AND OVERVIEW: Jagjit S. Chadha, Alain C. J. Durre, Michael A. S. Joyce, Lucio Sarno Keynote Address 2. IS THE LONG-TERM INTEREST RATE A POLICY VICTIM, A POLICY VARIABLE OR A POLICY LODESTAR? Philip Turner (Philip.Turner@bis.org) 3. SOVEREIGN DEBT AND MONETARY POLICY IN THEORY AND PRACTICE: THE CASE OF THE EURO AREA Alain Durre and Frank Smets (Frank.Smets@ecb.int) 4. THE FEDERAL RESERVE S RESPONSE TO THE FINANCIAL CRISIS: WHAT IT DID AND WHAT IT SHOULD HAVE DONE Daniel L. Thornton (Federal Reserve Bank of St. Louis) (thornton21@live.com) 5. TAIL RISKS AND CONTRACT DESIGN FROM A FINANCIAL STABILITY PERSPECTIVE Patrik Edsparr (Visiting Fellow, Bank of England) and Paul Fisher (Executive Director for Markets, Member of the MPC and the interim FPC - Bank of England) (Paul.Fisher@bankofengland.co.uk)

2 New Techniques 6. COMPOUND AUTO-REGRESSIVE PROCESSES AND DEFAULTABLE BOND PRICING Alain Monfort (CREST, University of Maastricht) and Jean-Paul Renne (Bank of France) 7. YIELD CURVE DIMENSIONALITY WHEN SHORT RATE ARE NEAR THE ZERO LOWER BOUND James M. Steeley (Aston Business School) 8. THE INTELLIGIBLE FACTOR MODEL: INTERNATIONAL COMPARISON AND STYLIZED FACTS Yvan Lengwiler Carlos Lenz 9. ESTIMATING THE POLICY RULE FROM MONEY MARKET RATES WHEN TARGET RATE CHANGES ARE LUMPY Jean-Sébastien Fontaine (Bank of Canada) 10. DEVELOPING A PRACTICAL YIELD CURVE MODEL: AN ODYSSEY M.A.H.Dempster (University of Cambridge), Jack Evans (evalue FE Limited, London) & Elena Medova (Cambridge Systems Associates Limited, Cambridge) Policy 11. THE REPO AND FEDERAL FUNDS MARKETS BEFORE, DURING, AND EMERGING FROM THE FINANCIAL CRISIS Morten Bech (Bank of International Settlements), Elizabeth Klee (Federal Reserve Board), and Viktors Stebunovs (Federal Reserve Board) (Viktors.Stebunovs@frb.gov)

3 12. TAYLOR RULE UNCERTAINTY : BELIEVE IT OR NOT Andrea Buraschi (Imperial College London and University of Chicago), Andrea Carnelli (Imperial College London) and Paul Whelan (Imperial College London) (paul.whelan07@imperial.ac.uk) Estimating Inflation Risk 13. INFLATION COMPENSATION AND INFLATION RISK PREMIA IN THE EURO AREA TERM STRUCTURE OF INTEREST RATES Thomas Werner (thomas.werner@ecb.int) and Juan Angel Garcia Juan_Angel.Garcia@ecb.int). 14. THE PREDICTIVE CONTENT OF THE YIELD CURVE FOR INFLATION Hans Dewachter (Hans.Dewachter@nbb.be), Leonardo Iania (leonardo.iania@econ.kuleuven.be) and Marco Lyrio (MarcoTPL1@insper.edu.br). 15. INFLATION RISK PREMIUM AND THE TERM STRUCTURE OF MACROECONOMIC ANNOUNCEMENTS IN THE EURO AREA AND THE UNITED STATES Marcello Pericoli (Bank of Italy) (marcello.pericoli@bancaditalia.it) Default Risk 16. A TERM STRUCTURE MODEL FOR DEFAULTABLE EUROPEAN SOVEREIGN BONDS Priscilla Burity [burityp@gmail.com], Marcelo Medeiros (mcm@econ.puc-rio.br) and Luciano Vereda (lvereda@puc-rio.br or lvereda@gmail.com). 17. SOME CONSIDERATIONS ON DEBT AND INTEREST RATES Luigi Marattin (University of Bologna), Paolo Paesani (University of Rome-Tor Vergata) and Simone Salotti (Oxford Brookes University) (ssalotti@brookes.ac.uk)

4 Jagjit S. Chadha Jagjit Chadha is Professor of Economics at the University of Kent, and on the Advisory Board of the Centre of International Macroeconomics and Finance at the University of Cambridge. He was previously Professor of Economics at the University of St Andrews and Fellow at Clare College, Cambridge. He was educated at University College London and the London School of Economics and then moved to the Bank of England as an Official working on Monetary Policy. He has also spent some time as Chief Quantitative Economist at BNP Paribas. His research involves incorporating financial factors in macroeconomic models and he has acted as an advisor to many central banks throughout the world and is Editor of the series Modern Macroeconomic Policy-making by Cambridge University Press. He has published papers in many leading economics and finance journals and by downloads of his work he is in the top 1% of academic economists worldwide. Alain C.J. Durré Alain Durré is currently Principal Economist in the Financial Research Division of the Directorate General Research of the European Central Bank and Associate Professor of Finance at IÉSEG-School of Management from Lille Catholic University. He is also a member of the Centre National de la Recherche Scientifique in France (LEM-CNRS). On occasion he is also acting as Monetary Policy Advisor for the International Monetary Fund on topics related to the money market and the conduct of monetary policy (strategy and implementation) and teaches at the Economics School of Louvain from the Université catholique de Louvain. He was educated at Facultés universitaires Saint-Louis (Brussels), the University of Mannheim (Germany) and at the Université catholique de Louvain from which he holds a PhD in financial economics. He then moved to the National Bank of Belgium as a member of the Research Department before joining the Monetary Policy Stance Division in the Directorate Monetary Policy at the European Central Bank in He has also spent previously some time as Research Analyst at Deutsche Bank and as visiting scholar at the London School of Economics during his PhD programme. He has published various papers on monetary and financial economics in many leading academic journals. In 2005 he has been awarded the Josseph de la Vega Prize for his work on the microstructure analysis of the Euronext Stock Exchange focusing on volatility regimes and the provision of liquidity in order book markets. Michael A. S. Joyce Michael Joyce is currently an Adviser in the Macro Financial Analysis Division of the Bank of England and has over twenty years experience working at the Bank of England in various economics roles. Prior to joining the Bank he worked at the National Institute of Economic and Social Research on the Institute s UK macroeconomic forecast. His recent work has focused on modelling the term structure of interest rates and on analysing the effects of the

5 UK s Quantitative Easing policy. His work has appeared in many Bank of England publications and has been published in various academic journals, including the Economic Journal, the International Journal of Central Banking and the Journal of Banking and Finance. He holds a BSc and MSc in Economics from the London School of Economics. Lucio Sarno Lucio Sarno is a Professor of Finance, Deputy Dean and Head of the Finance Faculty at Cass Business School, City University London. He is also a Research Fellow of the Centre for Economic Policy Research (CEPR), London. His main research interests are in international finance, and he is a leading expert on exchange rates, a subject on which he writes prolifically and on which he is routinely called for advice by governments, international organizations, and financial companies around the world. Lucio previously held academic positions at the University of Warwick, the University of Oxford, and Columbia University. He was also the Director of Currency Research at AXA Investment Managers during He has been involved in policy advice, training, research and consulting projects for a number of institutions, including the International Monetary Fund, the European Central Bank, the US Federal Reserve, the Bank of Canada, the Central Bank of Norway, the Italian Ministry of Economy and Finance, the World Bank, the European Commission, and a number of banks and asset management companies. Lucio is the author of five books and over 70 articles in leading refereed journals in finance and economics.