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SUMMARY:The macroeconomics of announcement premium
DTSTART:20190118T103000
DTEND:20190118T120000
DTSTAMP:20260917T010730Z
UID:d6744efa6f9ff180ac3acdab942da47bc5d36be1ee22c4bbf95229dc
CATEGORIES:Conferences - Seminars
DESCRIPTION:Hengjie AI\, Carlson School of Management\, University of Minn
 esota\nEmpirically\, a large fraction of the market equity premium is real
 ized immediately upon macroeconomic announcements\, such as the FOMC annou
 ncements and the unemployment report. In contrast\, macroeconomic quantiti
 es respond slowly to these announcements. We show  that the joint behavio
 r of the reactions of capital markets and macroeconomic quantities with re
 spect to macro announcements imposes strong restrictions on  the specific
 ation of preferences in macro and finance models. We present a quantitativ
 e general equilibrium model to jointly account for the announcement  prem
 ium in time series and in the cross section\, as well the impulse response
 s of macroeconomic quantities with respect to these announcements.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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