Given the current situation, we move the Brown Bag Seminars to Microsoft Teams. A trial session takes place on April 21, 2020 from 12:00 to 13:00. If you want to test your equipment or the new environment in general please follow this link. You need either the desktop application or one of two browsers, Edge or Chrome. While not necessary for participating in the streams, you can join the respective Team by follow this link if you are a WU affiliate.

The next Brown Bag Seminar is scheduled for Tuesday, April 21^st, 2020, 13:30-14:30 via MS Teams. The meeting will open at 13:15 for you to dial in. To join the stream please follow this link.

Our speaker will be Daniele D’Arienzo (Bocconi University).

He will give a talk on "Increasing Overreaction and Excess Volatility of Long-Term Interest Rates".

Abstract: Giglio and Kelly (2017) find that the volatility of long-term rates is too large relative to that of short-term rates for a large class of rational expectations models. I assess the possibility that such excess volatility may come from investor beliefs. I use survey data on analyst expectations and data on market beliefs recovered from observed yields using the methodology of Ross (2015). I obtain three main findings. First, the two datasets reveal a remarkably similar pattern of horizon dependent departures from rationality: expectations about long rates over-react relative to expectations about short rates. Second, a model of diagnostic expectations rationalizes this horizon dependent belief distortions and generates excess volatility of long term rates. Third, when calibrated to the data, this model accounts from roughly 80% of the excess volatility puzzle for a reasonable value of the diagnosticity parameter.