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Regular version of the site

Research at ICEF

ICEF faculty conduct research that is published in internationally leading peer-reviewed journals. They regularly participate in major international conferences in Economics and Finance. The ICEF International Laboratory of Financial Economics organizes annual conferences and workshops in Economics and Finance, attracting leading researchers from around the world to participate. ICEF conducts a regular research seminar series inviting world-renown academics to present their latest research.

ICEF People

Alexei Boulatov, PhD Finance, Tenured Professor

ICEF People

Sofya Budanova, PhD Economics, Assistant Professor

ICEF People

Vincent Fardeau, PhD Finance, Assistant Professor

ICEF People

Markus Gebauer, PhD Economics, Assistant Professor

ICEF People

Runjie Geng, PhD Banking and Finance, Assistant Professor

ICEF People

Dmitry Makarov, PhD Finance, Associate Professor

ICEF People

Tatiana Mayskaya, PhD Social Science, Assistant Professor

ICEF People

Maxim Nikitin, PhD Economics, Associate Professor

ICEF People

Fabian Slonimczyk, PhD Economics, Associate Professor

ICEF People

Vladimir Sokolov, PhD Economics, Associate Professor

ICEF People

Sergey Stepanov, PhD Economics, Associate Professor

ICEF People

Alexander Usvitskiy, PhD Economics, Assistant Professor

ICEF People

Anna Yurko, PhD Economics, Associate Professor

ICEF People

Kirill Bukin, PhD, Associate Professor

ICEF People

Grigory Kantorovich, PhD, Tenured Professor, Distinguished Professor

ICEF People

Olga Kuzina, PhD Sociology, Professor

ICEF People

Anatoly Peresetsky, PhD, Tenured Professor

ICEF People

Alla Fridman, PhD, Tenured Professor

ICEF Alumni

Natalia Gimpelson, student at University of Rochester, PhD in Economics

ICEF Alumni

Аrtem Gudov, Head of Investment Department, M.Video

ICEF Alumni

Martsella Davitaya, student at Columbia University, PhD in Economics

ICEF Alumni

Danil Dmitriev, student at University of California, PhD in Economics

ICEF Alumni

Anastasia Erastova, студентка NYU Courant Institute, MSc in Mathematics

ICEF Alumni

Valeriya Erokhina, student at EDHEC, MSc in Financial Markets

ICEF Alumni

Ilya Ilyin, student at Boston University, PhD in Economics

ICEF Alumni

Sergey Kozlov, Operations Director, LEGO

ICEF Alumni

Filipp Kolchin, senior consultant, Bain & Compan

ICEF Alumni

Ekaterina Kolchina, Deputy CEO, Papa John's Russia

ICEF Alumni

Kirill Kondrashin, Executive Director, DCM, J.P. Morgan

ICEF Alumni

Sergey Kurdyukov, vice-president, Citigroup

ICEF Alumni

Ekaterina Lopareva, analyst, Unicredit bank

ICEF Alumni

Viktoriia Petrova, Investment Banking Analyst (FIG), Deutsche Bank

ICEF Alumni

Olga Ponomarenko, Quantitative analyst, Barclays

ICEF Alumni

Maria Chaderina, Assistant Professor, Vienna University of Economics and Business

ICEF Alumni

Ekaterina Chegaeva, student at Princeton University, Master in Finance

ICEF Research Seminar by Michael Mcmahon (University of Oxford)

Event ended

On Tuesday, September 26 at 4.40 pm, room 3402 (Shabolovka str. 26) ICEF will hold the Research Seminar.
Speaker: Michael Mcmahon (University of Oxford)
Theme: "The Long-Run Information Effect of Central Bank Text" joint with Stephen Hansen, Michael McMahon and Matthew Tong

On Tuesday, September 14 at 4.40 pm, International College of Economics and Finance will hold the Research Seminar.
Speaker: Michael Mcmahon (University of Oxford)
Theme: "The Long-Run Information Effect of Central Bank Text" joint with Stephen Hansen, Michael McMahon and Matthew Tong
Venue: Shabolovka st., 26, room 3402

Abstract: A large literature has established that qualitative central bank communication moves the nominal yield curve. However the channel through which learning about future policy rates remains unclear. We use the unique setting of the Bank of England's Inflation Report (IR) release to address this. The IR contains detailed information on inflation and output forecasts, which according to standard theory are primary drivers of the short-run policy rate. Consistent with this view, the forecasts explain a substantial amount of the movement of the yield curve following the IR release, particularly at the short end. We then use methods from high-dimensional statistics to show that variation in text explains up to 50% of the residual variance in yield curve movements, with particularly strong effects at longer maturities. This is consistent with communication about long-term economic developments shaping future rate expectations.

Everyone interested is welcome to attend!

Pass can be ordered by:
tel. (495)772-95-90*26090
e-mail: vzheleznov@hse.ru
contact: Zheleznov Slava

Forthcoming seminars

Date

September 26, 2017 16:40

Topics

Research

Address

3211

About

International College of Economics and Finance