主   題：Inflation, Default, and Cross-SectionalCorporate Bond Returns

主講人：宋兆剛    約翰霍普金斯大學教授

主持人：李海奇    2003网站太阳集团教授、副院長

時   間：2024年6月25日（星期二）9:20

地   點：2003网站太阳集团紅樓3-210

内容簡介：Inflation risk exposure, as measured by the return beta with respect to changes in long-term inflation swap rate, has significantly positive effect on cross-sectional variations of corporate bond excess returns. This effect remains the same for excess returns over duration-matched Treasury bond returns, showing that inflation beta mainly affects the default component of corporate bond returns. We then analyze how two channels of inflation-default association---debt deflation and inflation procyclicality—affect the pricing effects of inflation exposure for corporate bond returns. Further analyses on short-term inflation swap rate and time-varying risk aversion indicate the importance of long-term inflation expectation.

主講人簡介：宋兆剛，康奈爾大學經濟學博士，現任約翰–霍普金斯大學凱裡商學院（Johns Hopkins Carey Business School）教授、2011年至2015年間在美聯儲理事會任經濟學家。主要研究領域為資産定價、市場結構與流動性、非銀行金融中介、金融科技、中國貨币政策和金融計量經濟學。在Journal of Finance、Journal of Econometrics、Journal of Monetary Economics、Management Science、Journal of Financial Economics、Review of Financial Studies期刊發表論文十餘篇。