June 20, 2023
June 23, 2023
09:00
This four-day summer school will cover empirical macro-finance research on monetary policy and the yield curve. The course starts with an overview of different approaches to model the behavior of monetary policy, the term structure of interest rates, and the interactions between the two. The emphasis is on no-arbitrage macro-finance models of the yield curve and issues related to their estimation, including the presence of the zero-lower bound on nominal interest rates. The course then covers three interrelated areas with empirical applications. First, the effects of monetary policy are studied using event studies and high-frequency changes in asset prices around policy announcements. This investigation includes questions related to monetary policy communication and unconventional monetary policies, such as large-scale asset purchases and forward guidance, as well as information effects. Second, risk premia in bond markets and their economic drivers are estimated using predictive models for bond returns. In this context, the spanning hypothesis, unspanned macro risks, and related econometric issues are explored. Finally, we discuss the role of long-run structural change and macroeconomic trends (such as r*, the equilibrium real interest rate) for monetary policy, the yield curve, and risk premia. Overall, the aim of the course is to give students a solid understanding of the key issues and methods of the research and policy analysis that examines the macro-monetary and term structure linkages.
SPEAKERS:
Glenn Rudebusch
Glenn Rudebusch is a nonresident senior fellow at the Brookings Institution with the Hutchins Center on Fiscal & Monetary Policy and a senior fellow at New York University in the Volatility and Risk Institute of the Stern School of Business. Previously, Dr. Rudebusch spent several decades in Economic Research at the Federal Reserve Board and the Federal Reserve Bank of San Francisco, where he was most recently an Executive Vice President and Senior Policy Advisor. His research has been published American Economic Review, Journal of Political Economy, Journal of Monetary Economics, and Review of Finance
Michael D. Bauer
Michael D. Bauer is a Professor of Economics at Universität Hamburg, and a research fellow at CEPR, CESifo, and the IMFS. He is currently on leave from the Federal Reserve Bank of San Francisco.
Michael's research on macro-finance and climate finance has been published in leading economics and finance journals including the American Economic Review, the Economic Journal, and the Journal of Finance