题目：Inflation Expectation and the Predictability of Yield Curve for Real Economic Activity

时间：2020年4月16日（周四）14:00

地点：腾讯会议

会议 ID：微信群内公布

主讲人：贾明远博士

主讲人简介：

    贾明远博士2019年毕业于美国加州大学河滨分校(UC, Riverside)，现供职于华南师范大学经济与管理研究院。贾明远博士曾受邀担任Quantitative Economics 和 Empirical Economics 的匿名审稿人。 他的研究兴趣包括应用宏观经济学和时间序列分析。贾明远博士目前的研究力图构建新的计量模型，利用混频和高频数据对宏观经济状况和货币政策走向进行实时监控和预测。

 Abstract：We build the term structure of inflation expectation with a Nelson-Siegel dynamic factor model. The inflation expectations are summarized using the latent level, slope, and curvature factors. We also show that the model breaks down the nominal yield spread into real interest rate and inflation expectation. A decomposition of the yield curve into its expectations and risk premia components helps disentangle the channels that connect fluctuations in treasury rates and the future state of the economy. In particular, a change in the yield curve slope due to expected real rate path or inflation expectation path is associated with future industrial production growth and the probability of recession. In contrast, the term premium component appears to have lost the predictive power significantly.