主讲人：刘锐 副教授（杜肯大学 (Pittsburgh, PA, USA)）
主持人：谢明佳 助理教授（辽宁大学李安民经济研究院）
嘉宾介绍：杨程 助理教授（辽宁大学李安民经济研究院）
时间：2025年6月3日（周二） 10:00 – 11:30（北京时间）
地点：辽宁大学崇山校区五洲园一楼会议室
语言：中文/英文
摘要：We employ a no-arbitrage term structure model with latent state variables and GARCH-type volatility factor to price U.S. Treasury futures and investigate the embedded risk premiums. The model-implied futures risk premiums are generally positive and exhibit cyclical variations, reflecting investors’ dynamic perception of interest rate risk. Notably, heightened risk premiums coincide with an upward sloping yield curve, typically attributable to monetary policy easing during economic downturns, and vice versa. These dynamics are broadly consistent with those implied by the term structure model with yield curve factors and unspanned macroeconomic risks. We further highlight the importance of traders’ positions in the Treasury futures market in explaining the risk premiums. We find a significant negative association between Treasury futures risk premiums and the net positions of commercial traders and asset managers, aligning with the hedging pressure hypothesis. Specifically, asset managers, the dominant traders in the Treasury futures market, have increased long positions for off-balance-sheet duration exposure, leading to a lower risk premium. These findings remain robust even after accounting for yield curve dynamics and macroeconomic conditions.
主讲人简介：
Dr. Rui Liu is an Associate Professor of Finance at the Palumbo-Donahue School of Business, Duquesne University. Her research interests are in empirical asset pricing and macro-finance with emphasis on fixed income markets. She studies the dynamics of the Treasury yield curve, including Treasury risk premia and interest rate volatility. Her research also addresses the effects of monetary policy on financial markets, the term structure of commodity futures, and financial econometrics. Dr. Liu's research has been published in Journal of Financial Economics, Management Science, Journal of Empirical Finance, Quarterly Journal of Finance, Journal of Commodity Markets, and Review of Quantitative Finance and Accounting.