Wednesday, 10 April | 12:30–1:30pm | Savery (SAV) 409

Bayesian Framework for Finding Relevant Macro Factors in Affine Term Structure Models

Kyu Ho Kang

Associate Professor, Department of Economics, Korea University http://faculty.korea.ac.kr/kufaculty/kyuho/index.do

We address the question of which unspanned macroeconomic factors are the best in the class of macro-finance Gaussian affine term structure models. To answer this question, we extend Joslin, Priebsch, and Singleton (2014) in two dimensions. First, following Ang and Piazzesi (2003) and Chib and Ergashev (2009), three latent factors, instead of the first three principal components of the yield curve, are used to represent the level, slope and curvature of the yield curve. Second we postulate a grand affine model that includes all the macro-variables in contention. Specific models are then derived from this grand model by letting each of the macro-variables play the role of a relevant macro factor (i.e. by affecting the time-varying market price of factor risks), or the role of an irrelevant macro factor (having no effect on the market price of factor risks). The Bayesian marginal likelihoods of the resulting models are computed by an efficient Markov chain Monte Carlo algorithm and the method of Chib (1995) and Chib and Jeliazkov (2001). Given eight common macro factors, our comparison of 2^8=256 affine models shows that the most relevant macro factors for the U.S. yield curve are the federal funds rate, industrial production, total capacity utilization, and housing sales. We also show that the best supported model substantially improves out-of-sample yield curve forecasting and the understanding of the term-premium.

Paper co-authored with Siddhartha Chib (Washington University in St. Louis) and Biancen Xie (Washington University in St. Louis)

About the Series

The weekly Center for Statistics and the Social Sciences (CSSS) seminar provides a forum for local and visiting scholars to present current research at the interface of statistics and the social sciences. Talks range in their level of technical detail and substantive motivation, and often result in spirited discussion. During the Winter and Spring 2019 quarters, we are celebrating CSSS’s 20th anniversary, with many speakers drawn from the population of past CSSS students. Current students may receive credit for attending the seminar by enrolling in CS&SS 590. All seminars are held at 12:30 on Wednesdays in Savery (SAV) 409 unless otherwise noted, and we will aim to conclude by 1:30. We provide coffee and light refreshments; attendees are also welcome to bring their lunch. For information or questions about the CSSS Seminars, please contact our Seminar Organizer, Will Brown (brownw@uw.edu). You can receive updates via a mailing list or calendar.

The Chair of Human Geography, University of Tartu is inviting applications from qualified and highly motivated students for a 4-year fully funded PhD position on the topic “Interdependencies Between Family Context, Residential Segregation and School Segregation”. The PhD position starts in September 2019. Deadline for submitting the letter of interest and the preliminary project idea is May 1, 2019. Candidates must submit an official  application electronically between May 1,  2019 up until Jun 1, 2019. More information attached.

You are very welcome to share this information to potentially interested candidates. If you have any questions, please contact Prof. Tiit Tammaru (tiit.tammaru@ut.ee) or Dr. Anneli Kährik (anneli.kahrik@ut.ee).

2 research positions on migration at the Federal Institute for Population Research (BiB) in Wiesbaden, Germany.

The Federal Institute for Population Research (BiB) in Wiesbaden, Germany, seeks candidates for 2 full-time positions in migration and mobility studies for 48 months with the possibility of receiving tenure. These are open rank appointments with rank depending on the candidate’s qualification level: salary group E13 TVöD for doctoral student applicants and E14 TVöD for post-doctoral applicants.

The first appointment will be made in the research group “Spatial Mobility and Internal Migration“. The successful candidate will be expected to shape and carry out quantitative research on internal migration and spatial mobility. Training and expertise in analysing secondary data and strong quantitative analysis skills are essential. Candidates will be required to show evidence of developing a track record of high quality publications in peer-reviewed academic journals. See attached job offer 78/19 (in German) for details.

The second appointment will be made in the research group “International Migration“. The successful candidate will be expected to shape and carry out quantitative research on international migration flows at the national, European and/or global level, as well as research within our DFG-funded project “German Emigration and Remigration Panel Study (GERPS)”. Strong quantitative analysis skills are essential. Experience with analysing longitudinal data is desirable. Candidates will be required to show evidence of developing a track record of high quality publications in peer-reviewed academic journals. See attached job offer 79/19 (in German) for details.

The start date is negotiable, preferably Summer/Fall 2019.

See attached announcements in PDF and BiB website for details: https://www.bib.bund.de/DE/Institut/Stellenangebote/Stellenangebote.html

(English speakers willing to acquire German language skills within the first few years may apply).

Job Description

Job Title:  Professor – Urban Economics or Urban Demography (Open Rank; Tenure Track)

Job ID:  20340

Location:  Sch. of Labor & Urban Studies

Full/Part Time:  Full-Time

Regular/Temporary: Regular

FACULTY VACANCY ANNOUNCEMENT

The CUNY School of Labor and Urban Studies (SLU) offers undergraduate and graduate degree programs in Labor Studies and Urban and Community Studies that are designed to meet the needs of working adults as well as traditional-age college students who seek to learn more about the challenges confronting poor and working-class populations in the workplace and in the community. It also collaborates with other units of CUNY to offer a range of college-credit programs designed to give workers the academic and technical skills they need for professional advancement. Its faculty includes distinguished scholars in the social sciences as well as expert practitioners in government, labor, and public service.

The Department of Urban Studies at SLU seeks a junior level (Assistant Professor) or a senior level (Associate or Full Professor) for tenure-track faculty position in Urban Economics and/or Urban Demography.

The candidate should have research and teaching interest in at least one of the following areas: urban labor markets, immigration and global cities, urban political economy and economic development, globalization and inequality, urban environmental resiliency and population dynamics such as mobility, migration, immigration, fertility, and health. Special consideration will be given to quantitative researchers in the above areas.

Performs teaching, research and guidance duties in area(s) of expertise.  Shares responsibility for committee and department assignments including administrative, supervisory, and other functions.

QUALIFICATIONS

Ph.D. degree in area(s) of experience or equivalent, preferably in political science, sociology, geography, economics, or related social sciences.  Also required are the ability to teach successfully, demonstrated scholarship or achievement, and ability to cooperate with others for the good of the institution.

Preference will be given to candidates with experience teaching nontraditional and adult students. Candidates must have demonstrated excellence in teaching at the undergraduate level.

COMPENSATION

CUNY offers faculty a competitive compensation and benefits package covering health insurance, pension and retirement benefits, paid parental leave, and savings programs.  We also provide mentoring and support for research, scholarship, and publication as part of our commitment to ongoing faculty professional development.

HOW TO APPLY

Please have your curriculum vitae/ resume and scholarly interest or cover letter with names and contact information of 3 references available to attach into the application before you begin. Please note that the required material must be uploaded as ONE document. The document must be in .doc, .docx, .pdf, .rtf, or text format- and name of file should not exceed ten (10) characters. Incomplete application packages will not be considered.

From our job posting system, select “Apply Now”, create or log in to a user account, and provide the requested information.  Click on the “Apply Now” button and follow the application instructions.

The direct link for viewing this posting from external sources is https://home.cunyfirst.cuny.edu/psp/cnyepprd/GUEST/HRMS/c/HRS_HRAM.HRS_CE.GBL?Page=HRS_CE_JOB_DTL&Action=A&JobOpeningId=20340&SiteId=1&PostingSeq=1

CLOSING DATE  Open until filled.

JOB SEARCH CATEGORY  CUNY Job Posting: Faculty

EQUAL EMPLOYMENT OPPORTUNITY

CUNY encourages people with disabilities, minorities, veterans and women to apply.  At CUNY, Italian Americans are also included among our protected groups.  Applicants and employees will not be discriminated against on the basis of any legally protected category, including sexual orientation or gender identity. EEO/AA/Vet/Disability Employer.

I wanted to let you ALL know that the Interdisciplinary Association for Population Health Science (IAPHS) is going to be having it’s annual meeting right here in Seattle in early October. IAPHS is a great community of population health scientists and I’ve been reviewing abstracts and can already tell it’s going to be a GREAT conference.

Also! If you are a CSDE trainee, fellow, or affiliated with CSDE in some other capacity, you can receive 20% off your membership! How great is that? Just contact Chloe Wright clotilde@uw.edu for more information and be sure to tell Chloe your name and department.

AND, if you’re a real penny-pincher like me and you’re looking to do some quick horizontal networking (also known as making friends), you can volunteer at IAPHS and they will waive your registration fee! I’ve volunteered at IAPHS and other conferences before and it’s a great way to meet people, especially if you work at the registration table.

So if you consider yourself a health researcher, want to know more about health research, heard that one thing about health on NPR that one time while waiting on the bus, consider joining IAPHS and making the trek downtown for the conference in October.  We are also hoping to have some events to bring together the health science community at UW during IAPHS so stay tuned for those opportunities. And of course, if you have questions please let me know.

Registration is now open for the 20th Anniversary Conference of the Center for Statistics and the Social Sciences (CSSS) at the University of Washington. Since its inception in July 1999, CSSS has continuously served a growing academic community through teaching and research at the interface between statistics and the social sciences. On May 23 and 24, 2019 CSSS will host a conference open to everyone who wants to learn about state of the art quantitative methods in the social sciences. The conference will feature

– two short courses in the morning and afternoon of Thursday, May 23

– a conference mixer and poster session in the evening of Thursday, May 23

– 12 invited talks in the morning and afternoon of Friday, May 24

– a conference dinner in the evening of Friday, May 24

All events are open to students and faculty. Students are welcomed to present their research at the poster session. There will be prizes for the best posters.

To participate, you need to register: [Click here to access the registration link]

The full schedule of events is here:

If you have questions about the logistics of the meeting please email Adrian Dobra (adobra@uw.edu).

This event is partially sponsored through donations from Microsoft and Google.

[You do not need to register if your name appears on the conference schedule.]