第二百二十六期财务与会计学术论坛

发布者:xieying 发布时间：2017-03-24 10:20:05 浏览数： 次 [ 返回 ]

时间：2017年3月20日（周一）15:00-16：30

地点：嘉庚二号楼501教室

题目：Dynamics of the European Sovereign Bonds and the Identification of Crisis Periods

报告人：陈镇喜，华南理工大学助理教授

主持人：刘振涛，澳门永利yl6776/财会研究院副教授

论文摘要：

We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of di¤erent information from the CDS market and the historical price movements of the sovereign bonds for their trading decisions. Subject to the perceived risk, agents exhibit changing trading behaviors in high risk periods and tranquil times. As a robustness check for the ability of our model to identify crises periods we also run a generalized sup adf test as suggested in Phillips, Shi, and Yu [2015, Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review 56(4), 1043- 1078]. Our results indicate that the smooth transition regression framework may provide additional valuable information regarding the timing of crisis events.

报告人简介：

陈镇喜助理教授从新加坡南洋理工大学获得经济学博士学位，从新加坡国立大学获得应用经济学硕士学位。研究方向为计量经济学、数理经济学、行为金融学和金融市场的互动以及动态过程。近3年曾在 Journal of Economic Interaction and Coordination、Computational Economics、Mathematics and Computers in Simulation等期刊上发表论文。