Mikhail Chernov, Professor, UCLA Anderson School of Management: The Real Explanation of Nominal Bond-Stock Puzzles

Time: 2021-10-20 09:00 Print


Topic: The Real Explanation of Nominal Bond-Stock Puzzles

Speaker: Mikhail Chernov, Warren C. Cordner Professor in Money and Financial Markets, UCLA Anderson School of Management

Date: October 20, 2021 (Wednesday)

Time: 9:00-10:30

Location: 4-101

Language: English


We present evidence that the mix of transitory and permanent shocks to consumption is changing over time. We study implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and equity curves, upward sloping nominal yield curve, and sign-switching correlation between equities and bonds consistent with the stylized facts. This is achieved without relying on the nominal channel too much. That is, as in the data, the variation of inflation in the model is under 40% as a fraction of variation in nominal yields.

About the Speaker:

Mikhail Chernov is the Warren C. Cordner Professor in Money and Financial Markets at UCLA’s Anderson School of Management, a Research Associate at NBER, and a Research Fellow at CEPR. Previously, he served on the faculty of London School of Economics, London Business School, and Columbia Business School. He has served on the editorial boards of Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, and Journal of Financial Economics. He is a board member of the Macro-Finance Society. Mikhail received his Ph.D. in Finance from the Pennsylvania State University and his B.S. in Mathematics and M.S. in Statistics from Moscow State University. Professor Chernov’s research focuses on empirical macro-based asset pricing with a particular interest in yield curve modelling, monetary policy, sovereign credit risk, and crash risk. He has published in Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Econometrics, Journal of Business and Economic Statistics, amongst others.