Andrew Ang

Overview

Andrew Ang is a financial economist (Columbia Business School, later BlackRock) known for work in macro-finance, term structure modeling, and factor-based asset pricing. His research connects observable macroeconomic variables to bond and equity pricing using no-arbitrage frameworks.

Key Contributions

• Ang and Piazzesi (2001/2003) — "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables." Journal of Monetary Economics 50 (2003): 745–787. Introduces the no-arbitrage VAR of term structure dynamics with observable macro factors (inflation, real activity constructed via PCA) and latent yield factors. Shows macro factors explain up to 85% of short/medium yield variance; no-arbitrage cross-equation restrictions improve forecasting ~25% RMSE over unrestricted VARs. See Affine Term Structure Model.
• Ang and Bekaert (1998/2002) — "Regime Switches in Interest Rates." Extends affine term structure models to Markov-switching regimes.

Related

• Affine Term Structure Model
• Vector Autoregression
• Impulse Response Function
• Variance Decomposition
• Monika Piazzesi