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

主讲嘉宾：牛霖琳，厦门大学王亚南经济研究院

讲座时间：2022年5月26日14:00-16:00

讲座地点：腾讯会议ID 281-312-917

嘉宾简介：牛霖琳，厦门大学王亚南经济研究院教授、副经理，国家级青年人才（教育部）。研究领域为宏观金融和应用计量经济学。研究成果发表于Journal of Econometrics、Journal of International Money and Finance、Journal of Empirical Finance、Journal of Comparative Economics、《经济研究》《经济学（季刊）》和《金融研究》等国内外优秀学术刊物。

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.