Seminar（Dept. of Trade Economics）

Theme：Recovering Heterogeneous Future Discount Factor Distribution: Application from Municipal Bond Auction

Speaker：Moyu Liao (Nanjing University Business School)

Time：2022-03-16 16:00

Address：Online Meeting

Language：Chinese/English

Abstract：

In this paper, we use a structural approach to study the heterogeneous discount factor for financial institutions. In particular, we use the municipal bond auction in United States to recover the heterogeneous discount factor across time. We show that the variation of the coupon rates on the serial bonds can be used to characterize the unobserved discount factor. The discount factor is allowed to depend on the financial firms type (public or private firm) and the time distance to current period (near future or far future). We show that there exists a large difference of discount factor for public and private firm. Moreover, the discount factor is decreasing over time.