Topic: Risk, Monetary Policy and Asset Prices in a Global World

Speaker: Geert Bekaert, Professor of Finance and Economics, Columbia Business School

Time: 9:00am-10:30am, March 22 (Beijing Time)

Location: 4-101

Abstract:

We study how monetary policy and risk shocks affect major asset prices (short-term interest rates, stocks, long-term bonds) in three large economies, the US, the euro area, and Japan, since the turn of the century. Examining the impact of monetary policy on risk, monetary policy does not drive asset price cycles through a risk channel. Instead, we find a strong global common component in risk shocks which is not driven by monetary policy. Comparing the impact of monetary policy and risk shocks on asset prices across countries, monetary policy spillovers are economically more (less) important for interest rates and bond prices (stock prices) than risk shocks. The US generates relatively important monetary policy spillovers, but information shocks emanating from the euro area produce the strongest effects on international stock and bond markets. We provide suggestive evidence that monetary policy effects on asset prices reflect a persistent interest rate rather than a risk premium effect.

About the speaker:

Professor Geert Bekaert teaches courses on global investments and asset management. His research focus is on international finance, emerging markets, empirical asset pricing and portfolio management. His thesis won the Zellner Thesis Award in Business and Economic Statistics. Geert Bekaert has published over 60 articles in the Journal of Finance, the Journal of Financial Economics, the Journal of Political Economy, the Review of Financial Studies and other academic journals. Geert‘s research has been supported by two NSF grants so far. He is a Co-Managing Editor at the Journal of Banking and Finance. Bekaert is also a research associate at the National Bureau of Economic Research and a consultant for the European Central Bank in Frankfurt. With Bob Hodrick, he is the author of a textbook on International Financial Management.