講座主題：A Tale of Two Structures: The life-cycle Linkage between Interest Rate Term Structure and Demographic Age Structure

主講嘉賓：牛霖琳，廈門大學王亞南經濟研究院

講座時間：2022年5月26日14:00-16:00

講座地點：騰訊會議ID 281-312-917

嘉賓簡介：牛霖琳，廈門大學王亞南經濟研究院教授、副院長，國家級青年人才（教育部）。研究領域為宏觀金融和應用計量經濟學。研究成果發表于Journal of Econometrics、Journal of International Money and Finance、Journal of Empirical Finance、Journal of Comparative Economics、《經濟研究》《經濟學（季刊）》和《金融研究》等國内外優秀學術刊物。

内容摘要：A functional regression of the short-term yield, real rate and inflation on demographic age distribution using U.S. data supports a long-run Fisher relationship and the life cycle hypothesis, implying a demographic-driven mechanism of ``falling stars'' --- the downward trend of inflation since the 1980s, followed by the falling real rate in the last two decades. A functional affine interest rate term structure model identifies a significant "S-shaped'' demographic age impact function. The model implies counter-cyclical risk premia and demonstrates superior predictability on the yield curve and excess returns. With a fading impact of aging baby-boomers, the implied yields trend in the forthcoming years remains persistently low.