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Jing Cynthia Wu and Drew Creal, Chicago Print
Wednesday, 09 May 2018, 12:30 - 14:00

Joint with NBB, KULeuven, UCL and ULB

 Jing Cynthia Wu and Drew Creal, University of Chicago - Booth School of Business

Bond Risk Premia in Consumption-Based Models

Abstract : Gaussian affine term structure models attribute time-varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a novel form of stochastic rate of time preference into an otherwise standard model with recursive preferences. Our structural model is affine and has analytical bond prices making it empirically tractable. We use particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly driven by the risk price channel. 

Before the seminar we offer a sandwich lunch from 12:00 to 12:30.
Please reply by email to This e-mail address is being protected from spam bots, you need JavaScript enabled to view it if you wish to participate to this seminar or if you want to have an appointment with the speakers. Please let us also know if you want to join lunch. In case you want to access the NBB Parking (rue Montagne aux Herbes potagères 41), please also provide us with your name and the license plate of your car. 

Location: NBB - Auditorium of the National Bank of Belgium (Room A1)
Contact: This e-mail address is being protected from spam bots, you need JavaScript enabled to view it

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