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SUMMARY:Macro Risks and the Term Structure of Interest Rates - Geert Bekae
 rt\, Finance and Economics\, Columbia Business School\, Leon G. Cooperman 
 Professor of Finance and Economics.
DTSTART:20170615T120000Z
DTEND:20170615T130000Z
UID:TALK70867@talks.cam.ac.uk
CONTACT:Cerf Admin
DESCRIPTION:Abstract\n\nWe use non-Gaussian features in macroeconomic data
  to identify aggregate supply and demand shocks for the US economy\, while
  imposing minimal economic assumptions. Recessions in the 1970s and 1980s 
 were driven primarily by supply shocks while later recessions were driven 
 primarily by demand shocks. The Great Recession exhibited large negative s
 hocks to both demand and supply. We then estimate "macro risk factors" tha
 t drive "bad" (negatively skewed) and "good" (positively skewed) variation
  for supply and demand shocks. The Great Moderation\, a general decline in
  the volatility of many macroeconomic time series since the 1980s\, is mos
 tly accounted for by a reduction in the good variance risk factors. In con
 trast\, the risk factors driving bad variance for both supply and demand s
 hocks\, which account for most recessions\, show no secular decline. Final
 ly\, we find that macro risks significantly contribute to the variation in
  yields\, bond risk premiums and bond return variances. While overall bond
  risk premiums are counter-cyclical\, an increase in demand variance is as
 sociated with lower risk premiums on bonds. \n
LOCATION:Room W4.03 Judge Business School
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