题目：Monetary-Fiscal Mix and Risks of Nominal Bonds
报告人:Erica Xuenan Li (Associate Professor, CKGSB)
报告时间：2017年12月7日（周四） 13：30 pm
We propose a New Keynesian model with monetary-fiscal policy regime switch to explain the time-varying correlation between returns on stock and nominal Treasury bond found in the data. In the active monetary and passive fiscal policy (AMPF) regime, neutral technology (NT) and marginal efficiency of investment (MEI) shocks are the most important drivers of economic fluctuations. In the passive monetary and active fiscal policy (PMAF) regime, the effect of the NT shock is depressed due to the weak reaction of interest rate to inflation, while the effect of the MEI shock remains strong. Because the NT shock leads to positive, while the MEI shock leads to negative correlation between returns on stock and nominal bond, our model thus provides a coherent explanation for the negative correlation between stock and bond returns during 1950s and 2000s when the fiscal policies are active, and for the positive correlation during 1980-2000 when monetary policies are active.
Dr Erica X.N. Li is an Associate Professor of Finance at CKGSB. Dr Li holds a PhD in Finance with a minor in Macroeconomics from the University of Rochester and a PhD in Physics from the University of Massachusetts, Amherst. She also holds bachelor's degrees in Physics and Economics from Peking University. She works mainly on asset pricing, monetary policy and corporate management. Her papers have been published on Review of Financial Studies, Journal of Monetary Economics, and Management Sciences. For more detailed information, please refer to http://www.ckgsb.edu.cn/faculty/professor_team/detail/156/EricaX.N.L.html