科学研究

Li Zehao received his Ph.D. in economics from University of Wisconsin-Madison before joining CUHK Shenzhen in 2020. He is interested in macroeconomics, focusing on business cycle theory, financial frictions, and monetary policy.

Secular declines in global sovereign yields are concentrated in short event windows around U.S. monetary policy announcement dates. Cumulative changes in sovereign yields during FOMC announcement dates contain critical information for explaining the persistent variations in the yields, predicting future yields and excess bond returns, and determining interest rate expectations and term premia. We build a dynamic term structure model with shifting endpoints to study the effects of U.S. monetary policy on world yield curves. Our findings highlight that U.S. monetary policy drives the secular declines in global interest rates by reducing expected interest rates.