讲座活动

首页  >  新闻中心  >  讲座活动
2018/7月 2

财务与金融系2018双周论坛

财务与金融系2018双周论坛
开始时间:2018-07-02 10:00
活动地点:明德商学楼1007室
联 系 人:
联系方式:
状态: 已结束

主   题:The Greenspan Put(格林斯潘式看跌期权

主讲人:Akhtarur Siddique

协调人:孟庆斌

语   言:英语

讲座摘要:

How credible is the widely held belief that Federal Reserve supports the markets. While this "Greenspan Put" has received much public attention there is little empirical evidence that documents its existence and significance. In this paper, we exploit the time-series variation in the Fed Funds Rate (FFR) to detect and quantify the size of the "Greenspan Put". We find that during the periods when the fed funds rate is below the benchmark implied by the Taylor Rule, traded equity put options are valued significantly lower compared to periods when fed funds rate is at or above its benchmark. These deviations from the Taylor Rule also create moral hazard as out of the money call options exhibit higher prices during the period when fed funds rate is below its Taylor Rule benchmark. Finally, we document that the magnitude of the "Greenspan Put" has declined after the Financial Crisis.

主讲人简介:

Dr. Akhtarur Siddique目前就职于美国财政部货币监理司企业风险分析局,担任副局长职位。其研究方向包括计量经济、资产定价、公司金融及财务以及数理优化方法。Dr. Siddique曾经在the journal of finance, the review of financial studies, management science, 以及journal of accounting research等顶级刊物上发表过论文。Dr. Siddique毕业于杜克大学,在加入美国财政部前曾就职于乔治城大学。