Thursday, August 18, 2011, 2:00-3:45 pm; Asset Pricing Empirical
Macro Asset Pricing - C1

Session Chair: Lu Zhang, The Ohio State University

  • The Effects of Quantitative Easing on Interest Rates PDF
    Arvind Krishnamurthy, Annette Vissing-Jorgensen
    Northwestern University
    • Discussant: Jack Bao, The Ohio State University
  • On the Observational Equivalence of Kalman-Filter Estimated of Gaussian Macro-Term Structure and Unconstrained State-Space Models PDF
    Scott Joslin1, Anh Le2, Kenneth J. Singleton3,4
    Massachusetts Institute of Technology1; University of North Carolina - Chapel Hill2;Stanford University 3; The National Bureau of Economic Research4
    • Discussant: Carsten Sørensen, Copenhagen Business School
  • Dimension-Invariant Dynamic Term Structures PDF
    Laurent Calvet1, Adlai Fisher2, Liuren Wu 3
    HEC Paris1; University of British Columbia2; Baruch College3
    • Discussant: Michael Gallmeyer, University of Virginia