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DTSTART:20250422T123000
DTEND:20250422T134500
DTSTAMP:20260422T155000
SUMMARY:DF Lunch Seminar with Guillaume Roussellet (Federal Reserve Bank of NY)
DESCRIPTION:“When Long-run Trends are Unknown: Bond Pricing Implications”\n\nWith the Lunch Seminar series, the Department of Finance is bringing eminent and up-and-coming researchers from around the world to Luxembourg.\n\nAbstract\n\nWhat macroeconomic insights can the term structure of Treasury yields give us when investors need to disentangle permanent and transitory aggregate shocks? We formulate a macro-finance model where inflation, growth, and the monetary policy rate are driven by a combination of long-run trends and shorter-lived cycles. The representative investor only observes the aggregate macroeconomic variables but not their decomposition in permanent and transitory components, so she performs Bayesian learning. Despite the learning complexity, our model produces closed-form affine Treasury yields formulas. Estimation reveals significant uncertainty about long-term real interest rate estimates, in sharp contrast with those obtained from perfect information models. We find that because the investor confuses trends with cycles when faced with aggregate macroeconomic movements, the yield curve can under or overreact to structural shocks.\n\nAbout the speaker\n\nGuillaume Roussellet is an Assistant Professor of Finance at McGill University and Research Economist at the Federal Reserve Bank of New York.\n\nLanguage\n\nEnglish.\n\nThis is a free event. Registration is mandatory.\n\nCold lunches are provided to registered participants only.\n\nLocation: https://www.uni.lu/en/about/campuses/kirchberg-campus/\nRead more: https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-guillaume-roussellet-federal-reserve-bank-of-ny/
UID:UL-19171
LOCATION:Kirchberg Campus 6 - rue Richard Couden­­­hove-Kalergi 1359 Luxembourg Luxembourg
URL:https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-guillaume-roussellet-federal-reserve-bank-of-ny/
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