演讲主题：How does government spending news affect interest rates? Evidence from the United States

演讲者：刘鼎铭，助理教授，厦门大学

时间： 2017年11月1日（周三）2：30-4pm

地点：文泉楼南313

摘要：This paper studies the effects of government spending news shocks on interest rates and investigated what is the role of agents' expectation in the propagation of government spending to the term structure using quarterly data from 1981Q3 to 2016Q1 in the United States. We start by setting a VAR system including the information from the Survey of Professional Forecaster, which does not suffer from the problem of non-fundamentalness. We then identify government spending surprise shocks by sign restrictions following Enders et al. (2001) and news shocks to government spending as the shocks that best explain future movements in government spending over a four-year horizon and are orthogonal to current government spending. We find that positive government spending news shocks lead to increases in both short-term and long-term interest rates. The increase in long-term interest rates is partly due to higher expected spot rates, and partly due to higher risk premia on long term bonds. For the effect on the shape of the yield curve, government spending news shocks raise the level and curvature factors of the yield curve.

演讲者简介：

刘鼎铭，厦门大学王亚南经济研究院助理教授。2012年获University of Minnesota博士。在Emerging Markets Finance and Trade, Economic Modelling, The B.E. Journal of Theoretical Economics, Annals of Economics a