2006 Erwin Plein Nemmers Prize in Economics
Lecture and Conference - October 25-27, 2007
"Toward A Term Structure of Macroeconomic Risk: Pricing Unexpected Growth Fluctuations"
Lars Peter Hansen
University of Chicago
The lecture explored characterizations of the intertemporal composition of risk in asset valuation using clearly specified economic models. It investigated the role of the dynamic evolution of risk premia. In particular, it showed how recently developed martingale methods decompose asset values into components, interpretable as risk prices and exposures. The talk illustrated that these methods present intriguing challenges for statistical measurement; however, these challenges highlight an important role for economic modeling. Since risk prices depend on the investment horizon, there is a term structure of macroeconomic risk underlying these prices. The talk concluded by exploring how alternative economics models differ in respect to the dynamic structure of their implied prices over long horizons.
Conference
"Topics in Macroeconomics"
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Friday, October 26, 2007 |
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9:00-10:00 |
Thomas Sargent (New York University): Evolution and Intelligent Design Discussant: Harald Uhlig (University of Chicago) |
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10:30-11:30 |
John Cochrane (University of Chicago): Identification and Inflation Determination with Taylor Rules [Paper 1][Paper 2] Discussant: Mark Watson (Princeton University) |
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11:45-12:45 |
Amir Yaron (University of Pennsylvania): Risks For the Long Run: Estimation and Inference (joint with Ravi Bansal - Duke University - and Dana Kiku - University of Pennsylvania) Discussant: Kent Daniel (Goldman Sachs) |
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2:00-3:15 |
Panel Discussion: The Economics of Information: What Economists Can Learn from Wall Street. Chaired by Martin Eichenbaum (Northwestern University)Peter Knez (Barclays Global Investors) Robert Litterman (Goldman Sachs Asset Management) Scott Richard (Morgan Stanley) |
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3:45-4:45 |
Ravi Jagannathan (Northwestern University): Why Have IPO Auctions Failed the Market Test? (joint with Ann E. Sherman - University of Notre Dame) [Paper] [Appendix D] Discussant: John Heaton (University of Chicago) |
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4:45-5:45 |
Narayana Kocherlakota (University of Minnesota): Asset Pricing Implications of Pareto Optimality with Private Information (joint with Luigi Pistaferri - Stanford University) Discussant: Fernando Alvarez (University of Chicago) |
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Saturday, October 27, 2007 |
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9:00-10:00 |
Christopher Sims (Princeton University): Inference with Weak Assumptions: the Asymptotic, Nonparametric, Mirage Discussant: Eric Renault (University of North Carolina, Chapel Hill) |
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10:30-11:30 |
Monika Piazzesi (University of Chicago): Bond Positions, Expectations, And The Yield Curve (joint with Martin Schneider - New York University and the Federal Reserve Bank of Minneapolis) Discussant: Kenneth Singleton (Stanford University) |
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11:45-12:45 |
Nir Jaimovich (Stanford University): The Nominal Reference Price Phenomenon (joint with Martin Eichenbaum and Sergio Rebelo - Northwestern University) [Presentation] Discussant: John Leahy (New York University) |
Additional financial support for the 2007 conference was provided by the Federal Reserve Bank of Chicago.