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. Singleton^3,4
  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