主题： Dynamics of the
Expectation and Risk Premium in the OIS Term Structure
（OIS利率期限结构中期望与风险溢价的动态关系）
主讲人：王震宇，印第安纳大学凯莱商德州扑克大小
金融学教授
日期：2016年9月14日（周三）
时间：下午2:30-4:00
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
We show the dynamics of the
expectation and risk premium in the short-term OIS curve. The market
expectation drove the OIS curve during 2002–2015 and caused the curve to invert
before the Great Recession. The risk premium was rising before the global financial
crisis and peaked in the early stage of the crisis. The Fed’s monetary policy
lagged behind the market expectation before the crisis and moved ahead the
expectation during the crisis. We introduce dynamic term structure models to incorporate
a database of daily public information on the FOMC meeting schedule, which proves
crucial for understanding the OIS curve.
主讲人简介:
Zhenyu Wang is Professor of Business Finance and Edward E. Edwards
Professor at the Kelley School of Business in Indiana University. He was
formerly a Vice President at the Federal Reserve Bank of New York, where he was
the Head of Financial Intermediation Function. Before joining the Fed, he had
been a tenured faculty member at the University of Texas at Austin and an
associate professor at Columbia University. Professor Wang specializes in
financial markets, financial intermediation, derivatives securities, risk
management, portfolio management, and financial econometrics. He has published
research papers in top finance journals including the Journal of
Finance, the Review of Financial Studies, the Journal of Financial Economics, and Management
Science. He won the American Association of Individual Investors Award for
Best Paper on Investments at the Western Finance Association Meeting in 1994.
