贸易经济系学术讲座系列2022年第2讲

主 题：Recovering Heterogeneous Future Discount Factor Distribution: Application from Municipal Bond Auction

主讲人: 廖漠雨（南京大学商学院讲师）

协调人: 陈志远

时 间：2022-03-16 16:00

地 点：线上会议室

语 言：中英文

讲座摘要：

In this paper, we use a structural approach to study the heterogeneous discount factor for financial institutions. In particular, we use the municipal bond auction in United States to recover the heterogeneous discount factor across time. We show that the variation of the coupon rates on the serial bonds can be used to characterize the unobserved discount factor. The discount factor is allowed to depend on the financial firms type (public or private firm) and the time distance to current period (near future or far future). We show that there exists a large difference of discount factor for public and private firm. Moreover, the discount factor is decreasing over time.

主讲人简介：

廖漠雨，南京大学商学院经济系助理教授。廖漠雨教授2015年于香港大学获得学士学位，2021年获得宾夕法尼亚州立大学经济学博士学位。主要研究方向为计量经济学，结构方法和实证产业组织理论。