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

主讲人：宋兆刚    约翰霍普金斯大学教授

主持人：李海奇    9778818威尼斯教授、副院长

时   间：2024年6月25日（星期二）9:20

地   点：9778818威尼斯红楼3-210

内容简介：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.

主讲人简介：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、Journal of Econometrics、Journal of Monetary Economics、Management Science、Journal of Financial Economics、Review of Financial Studies期刊发表论文十余篇。