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Macroéconomie
et finance: la structure à terme des taux d'intérêt
Macroeconomics and Finance: The Term Structure of Interest Rates
Vendredi
2 avril / Friday, April 2, 2004
CIRANO, 2020 rue University, 25e étage/floor, Montréal
Organisée
par
/ Organized by
Bryan Campbell (University
of Concordia, CIREQ, CIRANO), René
Garcia et Nour Meddahi
(Université de Montréal, CIREQ, CIRANO)
9:30-10:15 : Session I
Président/Chair
: Bryan Campbell (Concordia University, CIREQ, CIRANO)
Andrew Ang (Columbia
University, NBER), Monika Piazzesi (University of Chicago,
NBER), Min Wei (Columbia University)
What Does the Yield Curve Tell us about GDP Growth?
Commentateur / Discussant :
Gregor Smith (Queen's University)
10:15-10:45 : Pause
café / Coffee Break
10:45-12:15 : Session
II
Présidente/Chair
: Emanuela Cardia (Université de Montréal, CIREQ)
Francis X. Diebold
(University of Pennsylvania, NBER), Glenn Rudebusch (Federal Reserve
Bank of San Francisco), S. Boragan Aruoba (University of
Pennsylvania)
The Macroeconomy and the Yield Curve: A Nonstructural Analysis
Glenn Rudebusch,
Tao Wu (Federal Reserve Bank of San Francisco)
A Macro-Finance Model of the Term Structure, Monetary Policy,
and the Economy
Commentateurs / Discussants :
Angelo Melino (University of Toronto)
Marco Bonomo (Fundacao Getulio Vargas, Brazil, Princeton University)
12:15-13:15 :
Lunch
13:15-14:45 :
Session III
Président/Chair
: John Galbraith (McGill University, CIREQ, CIRANO)
Ravi Bansal, George
Tauchen (Duke University), Hao Zhou (Federal Reserve Board, Washington
D.C.)
Regime-Shifts, Risk Premiums in the Term Structure, and the
Business Cycle
Andrew Ang, Geert Bekaert (Columbia University, NBER)
The Term Structure of Real Rates and Expected Returns
Commentateurs / Discussants :
Qiang Dai (New York University, NBER)
René Garcia (Université de Montréal, CIREQ, CIRANO)
14:45-15:15 : Pause
café / Coffee Break
15:15-16:45 : Session
IV
Président/Chair
: Éric Jacquier (HEC Montréal, CIREQ, CIRANO)
Wayne Ferson
(Boston College, NBER), Tyler Henry, Darren Kisgen (University of
Washington)
Evaluating Government Bond Fund Performance with Stochastic
Discount Factors
Christian Gouriéroux (CREST, University of Toronto,
CIREQ, CIRANO), Razvan Sufana (University of Toronto)
Wishart Quadratic Term Structure Models
Commentateurs / Discussants :
Kris Jacobs (McGill University, CIREQ, CIRANO)
Monika Piazzesi (University of Chicago, NBER)
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