题　目：Who Moves the Long End? The Dynamics of Bond Market Segmentation

嘉　宾：Sitong Ding(丁思童),博士候选人,伦敦政治经济学院

主持人：冯芸金融系主任、教授欧宝app官方网站下载安泰经济与管理学院

时　间：2025年12月25日（周四）13:30-15:00

地　点：欧宝app官方网站下载徐汇校区浩然楼306

内容简介:

Monetary policy moves long-term real interest rates. Using regulatory transaction-level data from the UK bond market, this paper provides new causal estimates of how financial intermediaries adjust their balance-sheet holdings of long-term bonds in response to monetary policy as it transmits into long-term interest rates. The key result is that dealer banks reduce their long-term bond holdings following a monetary tightening, and yet, long-term forward rates rise persistently. These price patterns are inconsistent with an account of term premia arising from intermediaries being exposed to more interest rate risk. We rationalise our empirical findings using a New Keynesian model with segmented bond markets, where arbitrageurs trade against downward-sloping demand for long-term nominal and real bonds. Countercyclical risk aversion arising from portfolio wealth and adjustment costs generate persistent, hump-shaped responses of both prices and quantities that are consistent with the signs observed in the data. We calibrate the model using bond transaction data and quantify the counterfactual effects of market segmentation on aggregate demand and inflation.

演讲人简介：

Sitong Ding is a PhD Job Market Candidate in Economics from the London School of Economics (LSE) affiliated with the Centre for Macroeconomics (CFM), and an Academic Visitor at the Bank of England. Sitong’s research stands at the intersection of macro and finance, with a particular focus on the behavior of financial institutions and their role in propagating macroeconomic shocks. His job market paper uses transaction-level data from the UK government bond market to test competing theories of risk driving the behaviour of long-term interest rates.

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