Inaugural address: Michel van der Wel
On Friday, the 31st of January 2020, Prof. Michel van der Wel, Endowed Professor of Finance & Accounting in the Department of Econometrics presented his inaugural address entitled ‘Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein’.
The crises of this century have stressed how intertwined macroeconomics and finance are in practice. This intertwinement was absent in most economic models. This led to calls for economists to step out of their specialized silos. Since then, the literature of macro-finance, which studies the relationship between asset prices and economic fluctuations, has been developed. In this inaugural address, I argue for a prominent role of econometrics to study the macro-finance interaction. Key elements such as mixed frequencies and the selection of factors can be incorporated using recent econometric advances. I discuss some of the results, such as estimation of continuous-time equilibrium models for macroeconomic and financial series, as well as characteristics of trading on financial markets after macroeconomic news releases. Finally, I discuss the outstanding challenges, which include developing a yield curve model based on macroeconomic foundations, modeling how financial markets anticipate news releases, and developing a macro-finance model for European bond markets taking into account the large heterogeneity across the continent.
Michel van der Wel is Professor Econometrics of Macro-Finance at the Erasmus School of Economics. His teaching and research focuses on fixed income modeling, macro-finance, time series econometrics, financial econometrics, and applied econometrics. His research has been published in various journals in the fields of economics, econometrics, and finance, including the Economic Journal, Journal of Econometrics, and the Journal of Financial Economics.
Photos: Chris Gorzeman / Capital Images