Title:A Tale of Two Structures: The life-cycle Linkage between Interest Rate Term Structure and Demographic Age Structure
Speaker: Linlin Niu（Professor, Wang Yanan Economic Research Institute, Xiamen University）
Description：A functional regression of the short-term yield, real rate and inflation on demographic age distribution using U.S. data supports a long-run Fisher relationship and the life cycle hypothesis, implying a demographic-driven mechanism of ``falling stars'' --- the downward trend of inflation since the 1980s, followed by the falling real rate in the last two decades. A functional affine interest rate term structure model identifies a significant "S-shaped'' demographic age impact function. The model implies counter-cyclical risk premia and demonstrates superior predictability on the yield curve and excess returns. With a fading impact of aging baby-boomers, the implied yields trend in the forthcoming years remains persistently low.
Time：May26, 2022（Thursday），14:00-16:00
Venue: Tencent meeting Room ID：281-312-917
