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Programme: Macroéconomie et finance: la structure à terme des taux d’intérêt


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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