主講人：王馨徽 教授(北京大學 匯豐商學院)

題  目：Sequential Monitoring of Financial Stability ”Strengthening resilience in an interconnected financial world”

日  期：115年4月28日（星期二）

時  間：下午13:10 ~ 14:00

地  點：科學館S433

摘要Abstract:

This research proposes a sequential monitoring cumulative sum of squares (CUSQ)-type test for monitoring the U.S. Monetary transmission to the global financial stability via an autoregressive (AR) approximation of a mixed panel It is easy to use owing to that its limiting distribution follows a Brownian Bridge. That implies this method is free from model parameters, the bootstrap procedure and long run variance framework, even the exact form of each series of this panel is unknown and different across each of them. Spurious breaks found by conventional retrospective tests could be thus mitigated. In addition, our test statistics does not include factor schemes and the misleading outcomes caused by the issues of the spurious number of common factors and resulting estimation errors could be improved by the AR approximation. Monte Carlo simulations confirm the promising finite sample performance of our sequential monitoring test with various data generating processes. We further apply our test to examine the sequential on-line patterns in the relationship between the global systemic risk and monetary policy under an extension of Bernanke and Kuttner (2005)’s circumstance by using the event-study approach. Empirical evidence shows that the likely dates on which the structure of the relationship breaks are identified and consistent with the timing of common events occurrence. In brief, this study provides a guideline for policymakers in reducing losses from market risk and sequentially checking the monetary policy efficiency.

備  註：本業務與聯合國永續發展目標SDG4優質教育連結

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