Date: June 20th, 2014 (Fri.)
Time: 1:00pm-3:00pm
Location: Building 4, Room 101
Language: English
Topic 1: Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty
Speaker:
Drew D. Creal, Associate Professor of Econometrics and Statistic, The University of Chicago Booth School of Business
Abstract:
We propose a new model of the yield curve to capture both the dynamics of their conditional mean and the term structure of interest rate volatilities. The new class of affine term structure models exhibits multiple unpriced stochastic volatility factors without imposing constraints on the conditional mean of yields. The common movement in the volatilities extracted from the model provides a new measure of economywide uncertainty, and we use it to study the impact uncertainty has on the macroeconomy. Towards the end of the Great Recession, uncertainty accelerated the zero lower bound for the short term interest rate, added to concerns over deflation, and contributed to higher unemployment rates.
About the speaker:
Drew D. Creal is an Associate Professor of Finance at Booth School of Business in The University of Chicago. He received both his Ph.D. in Economics and M.A. in Economics from University of Washington. Professor Creal’s current research interests focus on time series econometrics, financial econometrics and macroeconometrics. His research has been published in several economic journals, such as Journal of Econometrics and Review of Economics and Statistic.
Topic 2: Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
Speaker:
Jing Cynthia Wu, Assistant Professor of Econometrics and Statistic, The University of Chicago Booth School of Business
Abstract:
This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data and can be used to summarize the macroeconomic effects of unconventional monetary policy at the zero lower bound. Our estimates imply that the efforts by the Federal Reserve to stimulate the economy since July 2009 succeeded in making the unemployment rate in December 2013 0.13% lower than it otherwise would have been.
About the speaker:
Jing Cynthia Wu is an Assistant Professor of Finance at Booth School of Business in The University of Chicago. She received her Ph.D. in Economics from University of California-San Diego in 2011. She also holds a visiting scholar in Federal Reserve Bank of St. Louis and Atlanta. Dr. Wu’s current research interests focus on time series econometrics, financial econometrics and macroeconometrics. Her research has been published in several leading economic journals, such as American Economic Review, Journal of Econometrics and International Economics Review.
