举办方：太阳成tyc7111cc王亚南经济研究院、太阳成tyc7111cc
计量经济学教育部重点实验室（太阳成tyc7111cc）
地点：太阳成tyc7111cc经济楼A座5楼会议室
Workshop in Fixed Income and Bond Markets
October 14, 2011, Xiamen, China
Organizers: The Wang Yanan Institute for Studies in Economics, Xiamen University
School of Economics, Xiamen University
Ministry of Education Key Laboratory in Econometrics, Xiamen University
Venue: Economics Building A501, Xiamen University
Workshop Language: English
8:40 - 8:50 Opening Remarks: Yongmiao Hong, Ernest S. Liu Professor of Economics and International Studies, Cornell University, Director of School of Economics and Wang Yanan Institute for Studies in Economics, Xiamen University
Chair: YongmiaoHong, Cornell University and Xiamen University
“Models of Term Structure of Interest Rates”by Oldrich Alfons Vasicek
9:40- 10:10 Workshop Photo and Coffee Break
Chair:Qian Han, WISE, Xiamen University
[1] “A Type of HJM Based Affine Model: Theory and Empirical Evidence”, Xiaoxia Ye, National University of Singapore, and Haitao Li, University of Michigan
Discussant: Shaoyu Li, Xiamen University
[2] “Pricing Range Accrual Notes in An Affine Term Structure Model with Stochastic Mean, Stochastic Volatility and Jump”, Shouyu Li, Xiamen University, Hongming Huang, National Central University, and Li-Chuan Tsai, Xiamen University
Discussant: Shicheng Huang, Xiamen University
[3] “The Determinants of the Credit Rating of Local Government Financing Vehicle Bonds in China”, Robin Luo and Linfeng Chen, Moody
Discussant: Xiaoxia Ye, National University of Singapore
12:00 Lunch (Yifu Building)
Chair: Li-Chuan Tsai, WISE, Xiamen University
“Local-Momentum Autoregression for Modeling Interest Rate and Term Structure”, by Jin-Chuan Duan, Risk Management Institute and NUS Business School, National University of Singapore
Chair:Li-Chuan Tsai, WISE, Xiamen University
[1] “The Discrete-Time Framework of Arbitrage-Free Nelson-Siegel Class of Term Strcuture Models”, Linlin Niu and Gengming Zeng, Xiamen University
Discussant: Haoxi Yang, Bocconi University
[2] “Housing C-CAPM and the term structure of interest rates”, Yin Liu and Yuan Xu, Tsinghua University
Discussant: Yufei Yuan, WISE, Xiamen University
Chair: Kent Wang, WISE, Xiamen University
[1] “A Tale of Three Currencies: US and Hong Kong’s Yield Curves under RMB Appreciation Pressure”, Shicheng Huang and Linlin Niu, Xiamen University
Discussant: Yuan Xu, Tsinghua University
[2] “Demographics and the Behaviour of Interest Rates”, Carlo Favero, Arie Gozluklu and Haoxi Yang, Bocconi University
Discussant: Fuwei Jiang, Singapore Management University
[3] “Predict Bond Risk Premia Using Technical Indicators”, Jeremy Goh, Fuwei Jiang, Jun Tu, Singapore Management University, and Guofu Zhou, Washington University in St. Louis
Discussant: Haomiao Zuo, WISE, Xiamen University
(Note: For each paper in the sessions, name of the presenter is denoted by bold letters.)
