Navigation Path: Home > Events > Conferences & seminars > Macro-Finance Modelling of the Term Structure of Interest Rates
| 9:00 - 9:30 | Registration |
| Morning session - Chair: Lucrezia Reichlin, ECB |
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| 9:30 | Ken Singleton, Stanford University (joint with Qiang Dai and Ahn Le) Discrete-time Term Structure Models with Generalized Market Prices of Risk: pdf 401 kB, en Discussants: David Chapman, Boston College Bent Jesper Christensen, University of Aarhus |
| 11:00 | Break |
| 11:15 | Glenn Rudebusch, Federal Reserve Bank of San Francisco (joint with Tao Wu) Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models: pdf 482 kB, en Discussants: Hans Dewachter, Katholieke Universiteit Leuven Refet Gürkaynak, Bilkent University |
| 12:45 | Lunch |
| Afternoon session - Chair: Frank Smets, ECB | |
| 14:00 | Monika Piazzesi, University of Chicago (joint with Andrew Ang) No-Arbitrage Taylor Rules: pdf 1 MB, en Discussants: Stephen Schaefer, London Business School Carlo Favero, Università Bocconi |
| 15:30 | Break |
| 15:45 | Peter Hördahl, ECB (joint with Oreste Tristani and David Vestin) The Term Structure of Inflation Risk Premia and Macroeconomic Dynamics: pdf 375 kB, en Discussants: Andrea Buraschi, London Business School / University of Chicago Peter Lildholt, Bank of England |
| 19:00 | Dinner |
| Morning session - Chair: Eli Remolona, BIS |
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| 8:30 | Jeff Amato, BIS (joint with Maurizio Luisi) Macro Factors in the Term Structure of Credit Spreads: pdf 842 kB, en Discussants: Markus Leippold, Swiss Banking Institute Fabio Fornari, ECB |
| 10:00 | Break |
| 10:15 | Greg Duffee, Haas School of Business, Berkeley Are Variations in Term Premia Related to the Macroeconomy? pdf 170 kB, en Discussants: Paul Söderlind, University of St. Gallen Eric Jondeau, University of Lausanne |
| 11:45 | Break |
| 12:00 | Huw Pill, ECB Extracting information from the yield curve: a wish-list. Discussion by Ken Singleton General discussion |
| 13:00 | Lunch |
