报告人：王云云 (Monash University)

时间：2023年07月04日 15:00--

地址：我院LD402

摘要：Vector autoregression is an essential tool in empirical macroeconomics and finance for understanding the dynamic interdependencies among multivariate time series. In this study, we expand the scope of vector autoregression by incorporating a multivariate distributional regression framework and introducing a distributional impulse response function, providing a comprehensive view of dynamic heterogeneity. We propose a straightforward yet flexible estimation method and establish its asymptotic properties under weak dependence assumptions. Our empirical analysis examines the conditional joint distribution of GDP growth and financial conditions in the United States, with a focus on the global financial crisis. Our results show that tight financial conditions lead to a multimodal conditional joint distribution of GDP growth and financial conditions, and easing financial conditions significantly impacts long-term GDP growth, while improving the GDP growth during the global financial crisis has limited effect on financial conditions.

简介：Yunyun Wang is currently a Ph.D. student from the Department of Econometrics and Business Statistics, Monash University. Prior to this, she completed bachelor's and master's degrees at Chongqing University, specializing in Statistics. Her research interests lie in the fields of actuarial science, multivariate semiparametric modeling, and time series analysis.

邀请人：张志民

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