报 告 人：宋兆刚    约翰霍普金斯大学，教授

报告时间：2024.08.13(周二) 10:00-11:00

报告地点：金融工程研究中心105报告厅

报告摘要：

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.

个人简介：

宋兆刚，康奈尔大学经济学博士，现任约翰–霍普金斯大学凯里商学院（Johns Hopkins Carey Business School）教授、2011年至2015年间在美联储理事会任经济学家。主要研究领域为资产定价、市场结构与流动性、非银行金融中介、金融科技、中国货币政策和金融计量经济学。在Journal of Finance、Management Science、Journal of Financial Economics、Review of Financial Studies、Journal of Econometrics等顶级期刊发表论文十余篇。