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金融计量与金融工程研究所第4期学术讲座
信息来源:浏览次数:发布时间:2020年11月16日 21:44

主题:Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation

主讲人:中国金融研究中心 温晓倩 副教授

主持人:中国金融研究中心 潘志远 副教授

时间:11月19日周四 12:00-13:00

地点: 格致楼618

内容提要:

This paper studies how the extreme price co-movement of commodity futures indicates industrial production (IP) growth. In this regard, we model synchronized movements and large price changes into one measure by characterizing upside and downside price extremes. We find that the derived price extremes are positively associated with IP growth over the next quarter. We further conclude that such impact is not symmetric, as the impact led by downside extremes is robust whereas that of upside extremes is not persistent. Our results reinforce the informational friction theory as well as those financial studies that emphasize downside risk.

主讲人简介:

温晓倩现为西南财经大学中国金融研究中心副教授、博士生导师,入选西南财经大学光华英才工程“百人计划“。研究领域为资产定价、金融风险管理、能源及大宗商品市场。目前以第一作者在Emerging Markets Review、Energy Economics、Economic Modelling等英文期刊上发表论文多篇,主持国家自然科学基金1项,获西南财经大学”优秀教师“等荣誉称号。