WISE Workshop in Term Structure of Interest Rates and Volatility
Organizers: The Wang Yanan Institute for Studies in Economics, Xiamen University
Ministry of Education Key Laboratory in Econometrics, Xiamen University
May 3, 2012, Xiamen, China
Venue: Economics Building D110, Xiamen University
Workshop Program
14:00 – 14:10 Opening Remarks
Guojin Chen, Professor of Finance, Vice Director of Wang Yanan Institute for Studies in Economics, Xiamen University
14:10 – 15:30 Session I
Chair: Qian Han, WISE, Xiamen University
[1] “Preferred-habitat and demand factors in the term structure: Evidence from the Chinese bond market”
Longzhen Fan, Fudan University and Guofu Zhou, Washington University in St Louis
[2] “A Generalized Arbitrage-Free Nelson-Siegel Term Structure Model with Macroeconomic Fundamentals”
Canlin Li, Federal Reserve Board, Linlin Niu and Gengming Zeng, Xiamen University
15:30 – 16:00 Workshop photo and coffee break
16:00 – 17:45 Session II
Chair: Haiqiang Chen, WISE, Xiamen University
[3] “The Price of Regime Shifts and the Expectations Hypothesis of very Short-Term Rates”
Xiaoneng Zhu, Central University of Finance and Economics
[4] “Macroeconomic Conditions, Volatility Components, and Term Structure of Implied Volatility: An Empirical Investigation”
Qian Han, Xiamen University
[5] “Sovereign credit risk and the term structure of interest rates in the Euro Area”
Shicheng Huang and Linlin Niu, Xiamen University
18:00 Dinner
(Note: The name of the presenter for each paper is denoted with bold letters.)
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