A Forward-looking Model of the Term Structure of Interest Rates

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group 
Research Seminars in Finance
 
Topic: A Forward-looking Model of the Term Structure of Interest Rates
 
Speaker: Albert Chun, University of Queensland
 
Abstract:      
We examine and model the forward-looking relation between bond yields and multiple-horizon forecasts of inflation, output growth and monetary policy, where the short rate takes on the novel interpretation of a forward-looking multiple-horizon monetary policy rule. Short horizon expectations of real output growth are obscured in the cross section of yields, whereas longer horizon growth expectations are not hidden but strongly manifest in the yield curve’s slope and are also significant drivers of bond risk premia. Our models provide central bankers and market participants with a tool for linking the dynamic properties of the yield curve to the multiple-horizon structure of market expectations, including those possibly imputed to forward guidance
 
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday 5th June.
 
Date: Wednesday, 7th June 2017      
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
             Building 8
             Dr Chau Chak Wing Building
             14 - 28 Ultimo Road, Ultimo
 
Co-ordinator: Adrian Lee (Ph: +61 2 9514 7765)
 
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)
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Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.