Upcoming Events at CAFIN
Quarterly Lecture Series: "Extracting Density Forecasts from Asset Prices"
Jonathan Wright, John Hopkins University
Tuesday, May 2, 2017
Economics Conference Room (E2, 499)
Jonathan Wright is a professor of economics at Johns Hopkins University, specializing in empirical macroeconomics and finance and time series econometrics. His recent topics of research include high-frequency effects of macroeconomic news announcements, forecasting, seasonal adjustment, the term structure of interest rates, and unconventional monetary policy. He is a Research Associate at the National Bureau of Economic Research. Prof. Wright is coeditor of the Journal of Applied Econometrics, associate editor of the Journal of Monetary Economics, and former coeditor of the Journal of Business and Economic Statistics. From 1999 to 2008, he worked at the Federal Reserve Board in the Divisions of International Finance and Monetary Affairs, ending as deputy associate director, and leading to his interest in questions at the intersection of academic research and policy. He has also taught at the University of Virginia, University of Pennsylvania and University of Maryland. Jonathan Wright did a B.A. at Trinity College Dublin, an M.Sc. at the London School of Economics and a Ph.D. at Harvard University.
Abstract: This talk will discuss methods for extracting risk-neutral and physical density forecasts for macro-finance variables, notably interest rates, inflation and exchange rates. The practical uses that can be made from these densities will be discussed. Special attention will be given to risks of deflation and/or high inflation, and their implications for asset pricing. There will also be discussion of measuring the effects of Federal Reserve forward guidance, especially at the zero lower bound.
Download flyer here.