报告题目：What drive market interest rates in China? ---A theoretical model
报告摘要：Chinese bond market is unique due to both its monetary policy and institutional background. The central bank sets a term structure of official interest rates on bank deposits and loans as well as regulates money supply. The commercial banks usually hold more than 60% of marketable bonds, and their investment opportunities are restricted to bank loans and bonds. We assume there is existence of three types of investors in the bond market: preferred-habitat investors who hold either bank loans or bonds to maturities, arbitrageurs holding bond portfolios, and fundamental investors who choose either bonds or real assets to invest by analyzing economic fundamentals. In the framework of affine model, we find uncertain change of official rates, funding liquidity, and economic fundamental variables are risk factors for arbitrageurs to face and are compensated in the risk premiums. In the model, the official rate, funding liquidity variable and real output and inflation play marginal rules in describing movement of market rates in addition to traditional latent variables.
时间：2016年11月11日（周五） 14:20—15:30
地点：奉贤校区第四学科楼231
参加人员：理学院师生和全校对金融感兴趣的师生 
范龙振教授简介：范龙振，男，博士。复旦大学管理学院教授，博士生导师。研究方向：资产定价理论，固定收益证券，资本市场实证分析.荣获：新世纪优秀人才支持计划；上海市第十届哲学社会科学优秀成果奖论文类,三等奖；复旦大学复华奖教金文科科研成果个人奖。系统工程学报编委。多次获得国家自然基金面上项目，在国内外重要期刊上发表论文30多篇。