Active Monetary or Fiscal Policy and Stock-Bond Correlation

时间：2020年10月30日（周五）10：00-11：30 am

地点：北京大学经济学院107教室

主持人： （国发院）沈艳、黄卓、孙振庭、张俊妮、胡博

              （经济学院）王一鸣、王熙、刘蕴霆

主讲人：张际

报告摘要：

We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation from 1971 to 2000 and the positive one after 2000, and (3) the coexistence of positive bond risk premiums and the negative stock-bond return correlation. We show that two distinctive shocks---the technology and investment shocks---drive positive and negative stock-bond return correlations under two policy regimes, but positive bond risk premiums are driven by the same technology shock.

主讲人简介：

张际博士现任清华大学五道口金融学院助理教授，于2013年获得美国加利福尼亚大学圣地亚哥分校经济学博士；2008年获得上海财经大学经济学硕士；2006年获得武汉大学经济学和数学双学士。张际博士主要的研究领域包括宏观经济学、货币政策、财政政策和失业理论，论文发表在Journal of International Economics、Journal of Money, Credit and Banking, Journal of Economic Dynamics Control等国际一流期刊上。