22 March 2021 - 22 March 2021
12:10 - 12:55



Brown Bag Seminar in Economics and Finance

 Most welcome to join the online Brown Bag Seminar in Economics and Finance presented by

 Rafael B. De RezendeJönköping International Business School


Title: Time-varying effects of bond supply on the yield curve

We propose an arbitrage-free term structure model with time-varying effects of bond supply on the yield curve. Our assertion is that shocks to bond supply have stronger effects on term premia when investors are more averse to duration risk and require higher premium to hold bonds. Time variation in duration risk aversion is introduced in our model through the parameters that drive the dynamics of the market prices of risk and that are associated with the bond supply factor. Duration risk aversion increases with the level of bond supply itself, and with current and expected short-rates, and decreases with the effective lower bound, and with changes in investors’ wealth. We also use the model to evaluate the term premium effects of Bank of England’s asset purchase programmes. Results suggest that the programmes announced from February 2009 to August 2016 jointly reduced the ten-year gilt term premium by about 80 basis points. 


Date: Monday, March 22
Time: 12:10-12:55



Have a look at the seminar program for S2 here.

Organizer: Jönköping International Business School
Last updated: 2021-03-16 12:08