学术预告 | 国家金融学系列第14期暨麻豆导航第197期学术系列
报告人：朱小能教授
报告题目：债券收益的宏观经济预测研究（Macroeconomic Expectations in Bond Returns）
时 ?间：2022年05月13日（周五，14：30-16：00）
地 ?点：腾讯会议（会议号：837 309 386）
主持人:?张学志教授
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报告介绍
Recent studies show that the consensus forecasts of professional forecasters and central bankers underreact to news relative to full-information rational expectations. However, can the treasury bond market anticipate such underreaction through information aggregation? To answer this question, we extract macroeconomic expectations in bond returns from a large panel dataset of real-time macro series and compare them to the projection of survey forecasts on bond returns. We find that the extracted macroeconomic expectations subsume the information in survey forecasts, forecast revisions and even the ex-post forecast errors in bond return prediction. However, macroeconomic expectations in bond returns do not anticipate the underreaction by the major market players. Furthermore, we assess a macro-finance term structure model including inflation expectations and the extracted macroeconomic expectations. We find that macroeconomic expectations generate significant fluctuations in term premiums over business cycles and produce lower term premiums in the most recent decade.
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报告人介绍
朱小能，上海财经大学金融学院教授、博导；上海国际金融与经济研究院研究员；从事资产定价、金融市场与宏观经济、金融科技、货币政策等方面的研究。近年来在国际权威期刊《Journal of Financial Economics》、《Management Science》、《Journal of Financial and Quantitative Analysis》、《Review of Finance》等发表论文近30篇。国内权威期刊《经济研究》、《金融研究》、《经济学季刊》、《管理科学学报》等发表论文10多篇；多项决策咨询成果获批示；在《光明日报》《上海证券报》《文汇报》、《凤凰财经》等发表评论文章多篇。主持国家社科基金重大项目、国家自然科学基金、上海市决策咨询课题、教育部人文社科项目等各类课题。担任教育部中国教育智库网特聘专家、上海市金融专硕教指委委员等职。
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