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固定收益与债券市场研讨会

2011年10月14日，中国厦门

举办方：太阳成集团tyc7111cc王亚南经济研究院、太阳成集团tyc7111cc

计量经济学教育部重点实验室（太阳成集团tyc7111cc）

地点：太阳成集团tyc7111cc经济楼A座5楼会议室

会议语言：英语

Workshop in Fixed Income and Bond Markets

October 14, 2011, Xiamen, China

Organizers: The Wang Yanan Institute for Studies in Economics, Xiamen University

School of Economics, Xiamen University

Ministry of Education Key Laboratory in Econometrics, Xiamen University

Venue: Economics Building A501, Xiamen University

Workshop Language: English

8:00-8:40 Registration

8:40 - 8:50 Opening Remarks: Yongmiao Hong, Ernest S. Liu Professor of Economics and International Studies, Cornell University, Director of School of Economics and Wang Yanan Institute for Studies in Economics, Xiamen University

8:50- 9:40 Keynote I

Chair: YongmiaoHong, Cornell University and Xiamen University

“Models of Term Structure of Interest Rates”by Oldrich Alfons Vasicek

9:40- 10:10 Workshop Photo and Coffee Break

10:10 - 12:10 Session I

Chair:Qian Han, WISE, Xiamen University

[1] “A Type of HJM Based Affine Model: Theory and Empirical Evidence”, Xiaoxia Ye, National University of Singapore, and Haitao Li, University of Michigan

Discussant: Shaoyu Li, Xiamen University

[2] “Pricing Range Accrual Notes in An Affine Term Structure Model with Stochastic Mean, Stochastic Volatility and Jump”, Shouyu Li, Xiamen University, Hongming Huang, National Central University, and Li-Chuan Tsai, Xiamen University

Discussant: Shicheng Huang, Xiamen University

[3] “The Determinants of the Credit Rating of Local Government Financing Vehicle Bonds in China”, Robin Luo and Linfeng Chen, Moody

Discussant: Xiaoxia Ye, National University of Singapore

12:00 Lunch (Yifu Building)

14:00-14:50 Keynote II

Chair: Li-Chuan Tsai, WISE, Xiamen University

“Local-Momentum Autoregression for Modeling Interest Rate and Term Structure”, by Jin-Chuan Duan, Risk Management Institute and NUS Business School, National University of Singapore

14:50-16:10 Session II

Chair:Li-Chuan Tsai, WISE, Xiamen University

[1] “The Discrete-Time Framework of Arbitrage-Free Nelson-Siegel Class of Term Strcuture Models”, Linlin Niu and Gengming Zeng, Xiamen University

Discussant: Haoxi Yang, Bocconi University

[2] “Housing C-CAPM and the term structure of interest rates”, Yin Liu and Yuan Xu, Tsinghua University

Discussant: Yufei Yuan, WISE, Xiamen University

16:10-16:30 Coffee Break

16:30-18:30 Session III

Chair: Kent Wang, WISE, Xiamen University

[1] “A Tale of Three Currencies: US and Hong Kong’s Yield Curves under RMB Appreciation Pressure”, Shicheng Huang and Linlin Niu, Xiamen University

Discussant: Yuan Xu, Tsinghua University

[2] “Demographics and the Behaviour of Interest Rates”, Carlo Favero, Arie Gozluklu and Haoxi Yang, Bocconi University

Discussant: Fuwei Jiang, Singapore Management University

[3] “Predict Bond Risk Premia Using Technical Indicators”, Jeremy Goh, Fuwei Jiang, Jun Tu, Singapore Management University, and Guofu Zhou, Washington University in St. Louis

Discussant: Haomiao Zuo, WISE, Xiamen University

18:30 Dinner

(Note: For each paper in the sessions, name of the presenter is denoted by bold letters.)