365体育官方唯一入口

数量经济学Seminar

题目：Financial Stress Testing Based on the GFF Viewpoint: A Case Study in China
报告人：张南 教授
时间：  2016年3月28日（周一）14:00－15:00
地点：  明商 0105
      
Abstract: This paper aims to propose new statistical monitoring system for measuring financial stress. Firstly, the paper inspect the influence of Global-Flow-of-Funds (GFF) and the continual growth of macro economy on the stability of financial systems, and build a statistical monitoring system for testing financial stress. Secondly, this paper dynamically link real economics with financial economics, and combine domestic flow of funds with international capital flows, to construct the statistics observation system of GFF. Thirdly, we created a Chinese finance stress index that corresponds well with the current status of Chinese external flow of funds. Fourthly, we expanded the empirical analysis based on Vector Error Correction Model and have submitted the future works, after obtaining some conclusion.
Key Words: Global-Flow-of-Funds, Finance Stress Index, Financial Risk, Vector Error Correction Model
 

报告人简介：现任日本广岛修道大学教授，主要研究方向为金融统计学，主要社会兼职：国际货币基金组织统计司技术援助专家；北京大学金融证券研究中心特约研究员，中国人民银行调查统计司特约研究员，北京师范大学国民核算研究院兼职教授。

365体育官方唯一入口 数量经济学教研室 2016年3月21日