PIER PAPERS

Friday October 3

Section 1

"Economic Determinants of the Nominal Treasury Yield Curve"
by Charles L. Evans and David A. Marshall

"What Does the Yield Curve Tell us About GDP Growth?"
by Andrew Ang, Monika Piazzesi and Min Wei

Section 2

"The Macroeconomy and the Yield Curve"

by Francis X. Diebold, Glenn D Rudebusch and S.Boragan Aruoba

"A Joint Econometric Model of Macroeconomic and Term Structure Dynamics"
by Peter Hordahl, Oreste Tristani and David Vestin

Saturday October 4

Section 3

"Evaluating Latent and Observed Factors in Macroeconomics and Finance"
Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictors
by Jushan Bai and Serena Ng

"Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns"
by Lorenzo Cappiello, Robert Engle and Kevin Sheppard

Section 4

"Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S."
by T.Cogley and T.J.Sargent

"Evidence Uncovered: Long-term Interest Rates, Monetary Policy and the Expectations Theory"
by Jennifer E. Roush

Presentation - Roberto B. Litterman
Presentation - Giorgio De Santis

Section 5

"Comovement and Predictor Variables for Multifractal Volatility"
by Laurent E. Calvet, Adlai J. Fisher and Samuel B. Thompson 

"Macroeconomic Dynamics and Credit Risk: A Global Perspective"
by Hashem Pesaran, Til Schuerman, Bjoern-Jakob Treutler and Scott Weiner