The Economics Seminar series presents Dr. Phuong Ngo, Cleveland State University, on Oct. 21 at 3 p.m. in the Bentley Annex 302 Conference Room.
Ngo will discuss “Risk Premia at the ZLB: a Macroeconomic Interpretation.”
Dr. Phuong V. Ngo
He is Assistant Professor of Economics at Cleveland State University.
Abstract: Historically, inflation is associated with low stock returns, leading investors to fear inflation. We document that this correlation changes after 2008: inflation are now associated with high stock returns. We interpret this as a change in the conditional covariance of (news about) economic activity and inflation. We then show how the zero lower bound (ZLB) on nominal interest rates can explain this change of covariance owing to the changing propagation mechanisms at the ZLB. This has important implications for asset prices since covariances determine risk premia. A fairly standard New Keynesian macroeconomic model can generates positive term premia and inflation risk in normal times (far from the zero lower bound), but these premia fall as the economy becomes closer to the ZLB.
Upcoming Seminars
The seminars are on Fridays from 3 to 4 p.m. in the Bentley Annex 302 Conference Room.
Sept. 23—Cortney Rodet, Ohio University, “Poor Institutions as a Comparative Advantage”
Sept. 30—Gregory D’Angelo, West Virginia University
Oct. 7—Daniel Karney, Ohio University
Oct. 21—Phuong Ngo, Cleveland State University
Oct. 28—Yashar Heydari, Ohio University
Nov. 4—Trevon Logan, Ohio State University
Dec. 2—Philipp Lergetporer, Ifo Institute for Economic Research
Jan. 13—Will Neilson, University of Tennessee
Feb. 17—Nick Dadzie, Ohio University
Feb. 24—Glenn Dutcher, Ohio University
March 3—Luke Fitzpatrick, Ohio University
March 17—Klara Peter, North Carolina—Chapel Hill
March 24—Matt McGill, Ohio University
April 7—Mehrnoush Shahhosseini, University of San Francisco
April 14—Olga Belskaya, Ohio University
April 21—Rania Gihleb, Pittsburgh University
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