"Econometric Perceptions and Complexities"

Summary of inaugural lecture

Professor Lumsdaine describes how her passion for econometrics has enabled her to pursue a broad range of research interests and opportunities throughout her career.  Her early theoretical work in time series econometrics focused on models of volatility and tests for structural change; these were subsequently used in applications related to bond markets, financial market integration, and business cycles. In the area of banking and finance, she is currently developing measures to assess complexity that might help inform the designation of systemically important financial institutions.  Her early economics of aging research on the incentive effects of pension plan provisions eventually led her to consider other factors affecting decisions and inference about retirement, such as care responsibilities and survey design.  Her recent research considers the relationship between survey participants’ perceptions about probabilistic events and actual data (e.g., as measured by actuarial tables or option prices); much of this research is being done in collaboration with students of Erasmus School of Economics. In her inaugural address, she reflects on her experiences both in and outside of academia and the lessons she has learned along the way, the people that have influenced her career path, her association with Erasmus School of Economics, and her current research interests. 

About Robin L. Lumsdaine

Robin Lumsdaine, who obtained her PhD at Harvard University, is a Professor at American University’s Kogod School of Business where she holds the Crown Prince of Bahrain Chair in International Finance.  In addition, she is a Research Associate of the National Bureau of Economic Research (NBER), Senior Fellow at the Center for Financial Stability (CFS) and a fellow of both the Tinbergen Institute and the Network for Studies on Pensions, Aging and Retirement (Netspar).  She is also a Visiting Professor at the University of Portsmouth, a member of the Council of the Society for Financial Econometrics (SoFiE), and an associate editor of the Journal of Financial Econometrics.  Previously she was an Associate Director in the Division of Banking Supervision and Regulation and Head of the Quantitative Risk Management Group at the Board of Governors of the Federal Reserve System. Before joining the Board, Professor Lumsdaine was Director in the Global Markets Research division of Deutsche Bank. She also held positions as Professor of Economics at Brown University, Senior Economist at the President's Council of Economic Advisers under President Bill Clinton, and Assistant Professor at Princeton University.