金融与财务学系系列讲座之268期

时       间：2022年5月24日（周二）13:30-15:00

腾讯会议：318 777 23993   

密       码： 111111

主       题：A Tale of Two Structures: The Life-cycle Linkage Between Interest Rate Term Structure and Demographic Age Structure

演  讲 者：牛霖琳 教授   厦门大学

摘       要：A functional regression of the short-term yield, real rate and inflation on demographic age distribution using U.S. data supports a long-run Fisher relationship and the life cycle hypothesis, implying a demographic-driven mechanism of ``falling stars'' --- the downward trend of inflation since the 1980s, followed by the falling real rate in the last two decades. A functional affine interest rate term structure model identifies a significant "S-shaped'' demographic age impact function. The model implies counter-cyclical risk premia and demonstrates superior predictability on the yield curve and excess returns. With a fading impact of aging baby-boomers, the implied yields trend in the forthcoming years remains persistently low.

简      介：Linlin Niu is a professor of Economics at the Wang Yanan Institute for Studies in Economics (WISE), Xiamen University. Professor Niu’s research interests include macro finance and applied econometrics. Her research has been published in Journal of Econometrics, Journal of International Money and Finance, Journal of Empirical Finance, Journal of Comparative Economics, and various top journals in Chinese. She has been awarded the Second Class Prize of Teaching Achievement and the Yangtze River Young Scholar by the Ministry of Education of China.

金融与财务学系

2022-5-19