Gayeon Hong

• The Sound of Silence: Policy Signals and Risk Premia [PDF][Slide] 

Policy pivots are priced through the Fed’s “inter-meeting silence,” identified using an AI language model: as accommodative language fades, markets infer a weaker implicit policy backstop, raising term premia while lowering volatility. 

• Heterogeneous Beliefs of Intermediaries and Term Premia [PDF][Slide] 

Dealers’ belief disagreement flips the yield-curve response across QE and QT by interacting with tightening funding constraints that shape dealers’ risk-bearing capacity.