主讲人：Paul D. McNelis教授（美国Fordham University金融学系讲座教授）
讲座时间：2018年12月14日（周五）2:00pm-3:30pm
讲座地点：betway体育南校区院系办公楼401（betway体育会议室）
题目：Off-Shore Fears and On-Shore Risk: The Effects of NDF Pressures on Chinese Banking Stability
主办单位：betway体育
广州华南财富管理中心研究基地
中国家庭金融与资产管理研究中心
国家社科基金重大项目“新常态下建立多点支撑的消费增长格局研究”课题组
“投资管理、期权定价和风险管理”科研创新团队
摘要: This research project assess the effects of news and signals in the off-shore Non-Deliverable Forward (NDF) market for Chinese currency on the volatility of share prices of Chinese banks and the overall risks of Chinese banking stability.
We make use of variance decomposition methods and financial connectedness measures from linear Vector Autogressrive (VAR) models as well as deep learning methods associated with neural-network modeling for estimation and analysis of financial-market risk.
Preliminary evidence based on VAR models shows that volatility measures of NDF market account for over fifty-percent of the share-price volatility forecast-errors of fifteen major banks, while the volatility of the major banks have much smaller effects on the forecast errors of NDF market volatility. This evidence is robust to the linear and non-linear specifications and machine-learning estimation methods.
Our results suggest that further movements in the NDF markets, as well as other offshore markets in Chinese currency, coming from off-shore news such as an escalating trade war with the United States, will generate greater volatility in the Chinese banking sector and will call further greater macro and micro prudential regulation.
主讲人简介：Paul McNelis教授是在国际宏观经济学，尤其是国际金融等领域的知名学者。他现为美国Fordham University工商管理研究院金融系的RobertBendheim Chair Professor in Economics and Finance. 他博士毕业于美国霍普金斯大学(Johns Hopkins University)，学士毕业于波士顿学院(Boston College). 他博士毕业之后曾以助理教授的身份加入了Georgetown University, 并随后晋升为教授。他的研究领域为宏观经济学、国际经济学、国际金融学等。他曾于多国与地区中央银行担任访问学者，其中包括，爱尔兰中央银行、澳洲储备银行、新西兰储备银行、香港货币管理局、日本中央银行、葡萄牙中央银行等。同时，他曾任多所大学的客座与访问教授，其中包括Boston College, Trinity College of Dublin, 香港城市大学等。他在权威经济与金融学类期刊发表论文多篇，包括Journal of Monetary Economics, Journal of International Money and Finance, Journal of Development Economics, Journal of Economic Dynamics and Control, International Economic Review, World Bank Economic Review, Review of Economics and Statistics, Journal of Macroeconomics等。
