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讲座:A Macroeconomic Model with Bond Market Liquidity

发布者:金融系    发布时间:2021-12-01

题 目:A Macroeconomic Model with Bond Market Liquidity

嘉 宾:Huifeng Chang, Ph.D. Candidate, University of California, Los Angeles

主持人:     副教授   上海交通大学安泰经济与管理学院

时 间:2021122日(周四)9:00-10:30

地 点:腾讯会议(校内师生如需获取会议号和密码,请于12月1日下午17点前发送电邮至finance@acem.sjtu.edu.cn) 

内容简介:

Do disruptions in market liquidity of long-term bonds have a quantitatively important impact on the macroeconomy? This paper introduces search-based secondary markets for long-term corporate bonds into a dynamic general equilibrium model. In the model, with borrowing constraints and incomplete insurance, firms restrict hiring ex-ante when default risk increases. A worsening of bond market liquidity, by affecting bond prices and thus the borrowing limits for firms, has aggregate negative impact on firms' labor choices. A positive default-liquidity spiral further amplifies these effects. In the quantitative analysis of my model, I show that a liquidity shock calibrated to match the observed increase in the bid-ask spread could explain about 20% of the employment losses in the Great Recession. The paper also provides a structural estimate of the impacts of the Fed's corporate bond purchasing program on the real economy during the COVID-19 crisis. By improving bond market liquidity, the Fed's interventions avoided a 2 percentage point drop in employment.

演讲人简介

Huifeng Chang is a PhD candidate in the Department of Economics at University of California, Los Angeles. Her research focuses on the relationship between financial markets and the macroeconomy, and she is particularly interested in bond markets, financial crises and government interventions, and digital currency and banking. Huifeng received her M.A. and B.A. in economics from Peking University.

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