| 主讲人简介： | Zhaogang Song is a Professor of Finance at the Carey Business School of Johns Hopkins University. Prior to joining Johns Hopkins, Song held the position of Economist at the Board of Governors of the Federal Reserve System, where he was responsible for monitoring and analyzing developments in financial markets for the Federal Open Market Committee (FOMC).
Song conducts academic research on financial markets and real estate finance, focusing on asset prices, market structure and liquidity, nonbank financial intermediaries, FinTech, monetary policy, China financial markets, and financial econometrics. He has published research articles in leading academic journals such as the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics, Journal of Econometrics, Management Science, and China Economic Review. He has won various research awards such as the NASDAQ Best Paper Award in Market Microstructure, the Dennis J. Aigner Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics, the Q Group Research Award, the Research Award of the Global Association of Risk Professionals, and the Research Award of the Montreal Institute of Structured Products and Derivatives.
Song also actively involves in policy issues on financial markets and investment practice of financial industry. He served as an Academic Expert for the US Commodity Futures Trading Commission (CFTC), consulted with the Dimensional Fund Advisors (DFA) on fixed-income investment, has been a visiting scholar at the Federal Reserve Bank of Philadelphia, and serves as a scholar of the Thematic Research Programme at the Hong Kong Institute for Monetary and Financial Research. He published articles in practitioners and policy outlets including the Journal of Investment Management and the Liberty Street Economics of the Federal Reserve Bank of New York. His research has been featured in Bloomberg, Fortune, Mortgage News Daily, and the reports of U.S. Securities and Exchange Commission (SEC) and U.S. Government Accountability Office.
Song holds a PhD in Economics from Cornell University, as well as a BA in Management Science and Engineering and a MA in Finance, both from Shandong University, China. |
| 讲座简介： | Inflation risk exposure, as measured by the return beta with respect to changes in long-term inflation swap rate, has significantly positive effect on cross-sectional variations of corporate bond excess returns. This effect remains the same for excess returns over duration-matched Treasury bond returns, showing that inflation beta mainly affects the default component of corporate bond returns. Moreover, inflation negatively affects future corporate default controlling for real economic factors and inflation beta is also distinct from real economic factors beta in affecting corporate bond returns, pointing to the effect of inflation on real debt liabilities (‘debt deflation’), rather than on real cash flows, as the main channel. Further analyses on short-term inflation swap rate, time-varying risk aversion, and survey inflation forecasts indicate the importance of long-term inflation expectation. |
