演讲题目：

Long Run Risks and Uncertainty Aversion in Macro-Announcements

长期风险与宏观公告中的不确定性厌恶

主    办：清华大学学术委员会

演讲人简介：

Ravi Bansal is J.B. Fuqua Professor of Finance at the Fuqua School of Business, Duke University where he also serves as director of the finance Ph.D. program. He is also a research associate of the National Bureau of Economic Research. Bansal conducts research that focuses on asset pricing, long run risks, money and liquidity, and more recently on climate change from the perspective of financial economics. His papers have appeared in leading journals, including the Journal of Finance, Review of Economic Studies, Journal of Political Economy, Review of Financial Studies, American Economic Review, and Journal of Econometrics. His work on Long-Run Risks received the Smith Breeden distinguished paper award and is acknowledged in the scientific background article for the 2013 Nobel Prize in Economics.

报告摘要：

The first half of the talk will focus on the role of Long Run Risks in determining risks in capital markets.  In the second half it will present a framework to study the response of asset prices to pure news events—pre-determined macro-announcements such as monetary policy announcements. We present a dynamic model where uncertainty-averse investors learn about the unobserved law of motion of aggregate consumption from both the realizations consumption and prescheduled news announcement. We show that the risk-premium increases during the period before the pre-determined news announcement, peaks at the time of news announcement and drops thereafter.