2024时间序列计量经济学与应用宏观经济学前沿研讨会

2024年10月21日

厦门大学

主办单位：

教育部人文社会科学重点研究基地厦门大学宏观经济研究中心

厦门大学-中国科学院计量建模与经济政策研究基础科学中心

厦门大学邹至庄经济研究院

中国科学院预测科学研究中心

主旨报告嘉宾：

托马斯·萨金特（Thomas Sargent），2011年诺贝尔经济学奖获得者，斯坦福大学胡佛研究所研究员，美国纽约大学经济学教授，曾执教于明尼苏达大学、芝加哥大学和哈佛大学，是宏观经济学理性预期学派的代表人物之一，研究领域包括动态宏观经济学、计量经济学、人工智能，对宏观经济因果关系领域的实证研究作出突出贡献。

会议议程：

08:30 – 08:45 Opening Remarks

08:45 – 09:45 Keynote Speech

Chair: Yongmiao Hong, University of Chinese Academy of Sciences & Xiamen University

Thomas Sargent, New York University

Dynamic Mode Decompositions and Vector Autoregressions

09:45 – 10:15

Group Photo, Coffee Break and Poster Session

10:15 – 12:15

Session I: Time Series Econometrics

Chair: Xiaoyi Han, Xiamen University

[1] Jiti Gao, Monash University

Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy

[2] Yi He, University of Amsterdam

Testing for Spurious Factor Analysis on High Dimensional Nonstationary Time Series

[3] Yongmiao Hong, University of Chinese Academy of Sciences & Xiamen University

High-Dimensional Vector Autoregressions: A Ridge Dynamic Mode Decomposition Approach

[4] Haiqi Li, Hunan University

Time-Varying Model Averaging for Factor-Augmented Vector Autoregressions with Smooth Structural Changes

12:15 – 14:00 Lunch

14:00 – 15:30

Session II: Macroeconomics in China

Chair: Chengyuan He, Xiamen University

[1] Feng Dong, Tsinghua University

AI Bubbles

[2] Xiangyu Feng, Xiamen University

Growth in China: The Role of Capital Upgrading

[3] Jianpo Xue, Xiamen University

Understanding the Distributional Effects of Income Uncertainty Shocks

15:30 – 16:00

Coffee Break and Poster Session

16:00 – 18:00

Session III: Forecasting and Macroeconomic Risk

Chair: Xiaoran Ni, Xiamen University

[1] Fuwei Jiang, Xiamen University

Time-Varying Narrative-Based Asset Pricing

[2] Natasha Kang, Xiamen University

A Framework for Common Long Cycles

[3] Linlin Niu, Xiamen University

Geopolitical Risks, Inflation Pressure, and the U.S. Treasury Yield Curve

[4] Yinggang Zhou, Xiamen University

Global Supply Chain Adjustment under the US Sanctions: Firm-Level Evidence

18:00 – 18:15 Concluding Remarks