Senior Adviser
Email: firstname.lastname@rbnz.govt.nz

Biography:

Leo joined the Research Team of the Economics Department in 2008. He has previously worked in the financial markets section of the Reserve Bank and in private sector funds management.

Leo earned a PhD in Economics at the University of Waikato with a thesis that enhanced a popular model of the yield curve and applied it to topics in economics and finance. He is currently working on developing the Reserve Bank’s capability in the field of macrofinance.

Current research interests:

• Macrofinance; in particular investigating relationships between the yield curve, output growth and inflation
• Extracting implied expectations from financial market data
• Fixed interest portfolio optimisation

Recent Publications:

• (2008) “A macroeconomic foundation for the Nelson and Siegel class of yield curve models”, University of Technology Sydney, Quantitative Finance Research Centre, Research Paper 226
• (2007) “The derivation and application of a theoretically and economically consistent version of the Nelson and Siegel class of yield curve models”, University of Waikato, Ph.D Thesis
• (2006) “A theoretically-consistent version of the Nelson and Siegel class of yield curve models”, Applied Mathematical Finance, 13(1) pp. 39-59
• (2006) “A yield curve perspective on uncovered interest parity”, University of Waikato, Department of Economics, Working Paper 06/16