【汉青论坛】第284期:6月5日 黄乃静助理教授
(汉青经济与金融高级研究院发布于:2019-06-03 16:09:51)

汉青论坛第284期:6月5日黄乃静助理教授

本期主题:Systemic Risk and the Amplifications of Macroeconomic Downturn Risk: an Empirical Evaluation

摘要:

We propose a new Score type one-side test in the quantile framework and use it to evaluate a large collection of systemic risk measures based on their ability to predict the amplification of macroeconomic downturns risk. This new test utilizes the mathematical equivalence between MLE under asymmetric Laplace distribution and quantile regression estimation, and is robust to misspecification and has good finite sample properties. Empirically, we 10 measures of systemic risk across different regions, including China, the US and Europe spanning several decades using newly proposed test. The performance of different types of systemic risk index varies across forecasting horizons.

 

报告人:黄乃静助理教授, 中央财经大学

时间:6月5日(周三) 12:15

地点:明德主楼515教师交流室

邮件liu.zhe AT www.hdliansheng.com或电话联系,我们将为您预留座位。联系人:刘喆  62510919。

 

报告人简介:

黄乃静,中央财经大学经济学院助理教授,院长助理。本科就读于山东大学数学与系统科学学院,硕士就读于厦门大学王亚南经济研究院、博士就读于美国波士顿学院(2015)。研究领域:宏观计量经济学,金融计量经济学。她的研究发表在《管理科学学报》,《经济学动态》。

 


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