Joint Econometrics-Finance Lunch Seminar: Salman Huseynov, AU

Title: Monetary policy, term structure and the macroeconomy

2020.08.27 | Pernille Vorsø Jachobsen

Date Tue 15 Dec
Time 12:05 12:35
Location Online

Presenter: Salman Huseynov, AU

Title: Monetary policy, term structure and the macroeconomy

Abstract: “This paper studies the shifts in the stance of monetary policy using both macro and financial data in a no-arbitrage term structure model. Relying on economic theory, it employs both sign and zero restrictions to identify structural shocks and explain the sources of variation observed in the loadings of the output gap and inflation in the Taylor rule. I find that that the identified six shocks can only explain 20%-25% of the variation in the output gap, the inflation, and the loadings in the systematic part of monetary policy.”

 

The 'Accounting and Finance' and 'Econometrics and Business Statistics' Sections arrange lunch seminars on a regular basis. The speakers are usually section members, mostly PhD students and postdocs. The speakers can also be visiting PhD students or professors. Each lunch seminar is followed by a discussion of the paper presented.

Organizer: Daniel Borup

Joint Econometrics-Finance Lunch Seminars