一、主题：Unspanned Macroeconomic Risks in Currency and Bond Markets

二、主讲人：陈锐，suncitygroup太阳新城。陈博士的研究方向包括资产定价、利率期限结构、市场微观结构等领域。其研究成果在Finance Research Letters，Australian economic papers等国际期刊发表。

三、时间：2015年12月22日（周二），13:00-14:00

四、地点：学术会堂702会议室

五、主持人： 王雅琦，suncitygroup太阳新城讲师

论文摘要：This paper presents a joint global affine term structure model of exchange rates and interest rates with unspanned macroeconomic risks. We characterize time-varying currency and bond risk premia in the context of the global affine term structure model. We find that unspanned macroeconomic risks account for a large portion of the variation in currency and bond risk premia. Furthermore, our empirical analysis reveals that the global term structure model is able to simultaneously account for the forward premium puzzle, the empirical failure of the expectations hypothesis, and the predictability of bond risk premia.