Inaugural Address of Michel van der Wel

Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein
Speaker
Faculty
Erasmus School of Economics
Start date

Friday, 31 Jan 2020, 16:00

End date

Friday, 31 Jan 2020, 18:00

Space
Aula
Location
Campus Woudestein

On Friday, 31 January 2020, Michel van der Wel will publicly accept his appointment as Professor of Econometrics of Macro-Finance with his inaugural address entitled ‘Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein'.

About the Inaugural Address

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, Michel van der Wel argues for a prominent role of econometrics to study the macro-finance interaction. Key elements such as mixed frequencies and selection of factors can be incorporated using recent econometric advances.

Some of the existing results are discussed, 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, the outstanding challenges are given, which include the development of a full 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.

About Michel van der Wel

Michel van der Wel joined the Department of Econometrics at Erasmus School of Economics in September 2008 as an assistant professor on a tenure track. He received tenure at the level of Associate Professor in January 2014. His research is of outstanding quality which has led to publications in international peer-reviewed academic journals including the Economic Journal, Journal of Business and Economic Statistics, Journal of Econometrics, and Journal of Financial Economics.

Next to his excellence in research, Michel van der Wel has an outstanding teaching record with experience at all levels, ranging in courses in the Bachelor programme (Econometrics), the Master programme (Quantitative Finance) and reading groups at the PhD level. As a member of the team behind the highly successful MOOC Econometrics, Van der Wel was awarded the Top Lecturer Award in 2015, and in 2019 he won the Educational Development Award.

More information

For more information, please visit the website of Erasmus Research Institute of Management (ERIM).