Speaker: Dr Marta Szymanowska (Rotterdam School of Management – Erasmus University)
Hosted by: University of Liverpool Management School's Accounting and Finance Group
Open to: all University of Liverpool staff and students, with no sign up needed
Date: Wednesday 13 December 2023
Time: 3pm - 4:15pm
Place: Management School - Seminar Room 6 (third floor)
Abstract
This paper develops a long-run risk model where inflation influences consumption growth dynamics. In our model, inflation risk is priced because inflation predicts real consumption growth.
However, inflation risk is complex. The key novel ingredients in our model are the non-neutral (i.e., real) effects of inflation that are time-varying in a manner consistent with the major shifts in inflation-business cycle and stock-Treasury bonds co-movements.
Modeling this time-varying nature of inflation risk is central for the ability of macroeconomic news to sufficiently describe the joint dynamics of stock, bonds and macroeconomic fundamentals that have been fluctuating a lot, even changing sign as in the early 2000s.
Our model captures the high equity premium and upward sloping term structure of nominal yields, while maintaining low levels of risk aversion and the elasticity of intertemporal substitution.
Co-authored by Fernando Duarte, Leonardo Elias and Marta Szymanowska.
Speaker
Marta Szymanowska is an Associate Professor of Finance at the Rotterdam School of Management, Erasmus University, and the Associate Professor of the Erasmus Initiative “Dynamics of Inclusive Prosperity”.
Her research interests focus on asset pricing and philosophy of finance. She is interested in understanding the nature of macroeconomic risks, the relation between financial markets and the real economy with a particular focus on the global commodity markets, and the role of finance in fostering inclusive prosperity.
Marta's work has been presented at major academic conferences (the Western Finance (WFA), American Finance (AFA), or European Finance (EFA) Association meetings), published in leading academic journals (Journal of Finance, Journal of Financial Economics, Management Science) and presented in numerous international research institutes (The National Bureau of Economic Research (NBER), The Commodity Futures Trading Commission (CFTC)).
Marta holds PhD degree in Finance from Tilburg University, the Netherlands.
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