2024年5月9日（周四）15:30-17:00 宋兆刚 （美国约翰霍普金斯大学）

讲座系列：现代金融理论与政策第2场（学科发展系列讲座总期第59场）

讲座人：宋兆刚（美国约翰霍普金斯大学凯里商学院金融学教授）

时间：2024年5月9日（周四）15:30-17:00

地点：博学楼1222

主持人：袁宇菲（对外经贸大学国际经济贸易学院金融学系副教授）

讲座题目：Inflation, Default, and Cross-Sectional Corporate Bond Returns（通货膨胀、违约和横断面公司债券回报）

讲座摘要：Inflation risk exposure, as measured by the return beta with respect to changes in long-term inflation swap rate, has significantly positive effect on cross-sectional variations of corporate bond excess returns. This effect remains the same for excess returns over duration-matched Treasury bond returns, showing that inflation beta mainly affects the default component of corporate bond returns. Moreover, inflation negatively affects future corporate default controlling for real economic factors and inflation beta is also distinct from real economic factors beta in affecting corporate bond returns, pointing to the effect of inflation on real debt liabilities （``debt deflation''）,  rather than on real cash flows, as the main channel. Further analyses on short-term inflation swap rate, time-varying risk aversion, and survey inflation forecasts indicate the importance of long-term inflation expectation.

通胀风险敞口，以长期通胀掉期利率变化的回报贝塔系数衡量，对公司债券超额回报的横截面变化有显著的正向影响。与久期匹配的美国国债回报相比，超额回报的这种影响保持不变，这表明通胀贝塔主要影响公司债券回报的违约部分。此外，通货膨胀对未来控制实际经济因素的公司违约产生负面影响，而通货膨胀贝塔系数在影响公司债券回报方面也与实际经济因素贝塔系数不同，指出通货膨胀对实际债务负债（“债务通缩”）的影响，而不是对实际现金流的影响，是主要渠道。对短期通胀掉期利率、时变风险厌恶和调查通胀预测的进一步分析表明了长期通胀预期的重要性。

主讲人简介：

Zhaogang Song is a Professor of Finance at the Carey Business School of Johns Hopkins University. Prior to joining Johns Hopkins, Song held the position of Economist at the Board of Governors of the Federal Reserve System, where he was responsible for monitoring and analyzing developments in financial markets for the Federal Open Market Committee （FOMC）.

Song conducts academic research on financial markets and real estate finance, focusing on asset prices, market structure and liquidity, nonbank financial intermediaries, FinTech, monetary policy, China financial markets, and financial econometrics. He has published research articles in leading academic journals such as the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics, Journal of Econometrics, Management Science, and China Economic Review. He has won various research awards such as the NASDAQ Best Paper Award in Market Microstructure, the Dennis J. Aigner Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics, the Q Group Research Award, the Research Award of the Global Association of Risk Professionals, and the Research Award of the Montreal Institute of Structured Products and Derivatives. 

Song also actively involves in policy issues on financial markets and investment practice of financial industry. He served as an Academic Expert for the US Commodity Futures Trading Commission （CFTC）, consulted with the Dimensional Fund Advisors （DFA） on fixed-income investment, has been a visiting scholar at the Federal Reserve Bank of Philadelphia, and serves as a scholar of the Thematic Research Programme at the Hong Kong Institute for Monetary and Financial Research. He published articles in practitioners and policy outlets including the Journal of Investment Management and the Liberty Street Economics of the Federal Reserve Bank of New York. His research has been featured in Bloomberg, Fortune, Mortgage News Daily, and the reports of U.S. Securities and Exchange Commission （SEC） and U.S. Government Accountability Office. 

Song holds a PhD in Economics from Cornell University, as well as a BA in Management Science and Engineering and a MA in Finance, both from Shandong University, China.

宋兆刚是约翰霍普金斯大学凯里商学院的金融学教授。在加入约翰霍普金斯大学之前，曾在联邦储备系统理事会担任经济学家，负责为联邦公开市场委员会（FOMC）监测和分析金融市场的发展。宋教授主要从事金融市场和房地产金融的学术研究，主要关注资产价格、市场结构和流动性、非银行金融中介、金融科技、货币政策、中国金融市场和金融计量经济学。他曾在《金融学杂志》、《金融研究评论》、《金融经济学杂志》、《货币经济学杂志》、《计量经济学杂志》、《管理科学》和《中国经济评论》等主要学术期刊上发表研究文章。他曾获得多项研究奖项，如纳斯达克市场微观结构最佳论文奖、《计量经济学杂志》发表的实证计量经济学最佳论文Dennis J. Aigner荣誉奖、Q Group研究奖、全球风险专业人士协会研究奖、蒙特利尔结构性产品和衍生品研究所研究奖。

宋教授还积极参与金融市场的政策问题和金融业的投资实践。他曾担任美国商品期货交易委员会（CFTC）的学术专家，为Dimensional Fund Advisors（DFA）提供固定收益投资咨询，曾在费城联邦储备银行担任访问学者，并担任香港货币与金融研究所专题研究计划的学者。他在从业者和政策媒体上发表文章，包括《投资管理杂志》和纽约联邦储备银行的《自由街经济学》。他的研究成果曾刊登在彭博社、《财富》、《抵押贷款新闻日报》以及美国证券交易委员会（SEC）和美国政府问责局的报告中。

宋教授拥有康奈尔大学经济学博士学位，以及中国山东大学管理科学与工程学士学位和金融硕士学位。

讲座人主页：

https://carey.jhu.edu/faculty/faculty-directory/zhaogang-song-phd