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ISEM学术论坛[89] Dynamic Responses of Real Output to Financial Spreads

题目:Dynamic Responses of Real Output to Financial Spreads
报告人:Yufan Huang (Assistant Professor, ISEM-CUEB)
报告时间:2016年12月7日(周三) 2:00 pm


摘要:Financial spreads can signal future output growth as the real output reacts to changes in the financial spreads. Simple predictive regressions reveal that a term spread shock has long-lasting positive effect on output, while a credit spread shock pulls down output just briefly. However, the term spread would rise in response to a credit spread shock due to monetary policy reactions, and the predictive regression cannot disentangle these two effects.  I thus specify an empirical model based upon which I conduct the counterfactual analysis. The results using US data are summarized as follows:  (i) without the induced changes in the term spread, a credit spread shock can decrease output persistently and cause the trend output to decline; (ii) without the acute surge in the credit spread in 2008, US real GDP could be permanently raised by about 0.88%.


Biography:

Yufan Huang is an Assistant Professor of School of International Economics and Management at Capital University of Economics and Business. His research interests are Empirical Macroeconomics, Bayesian Econometrics, Nonlinear Time Series Analysis, and Monetary economics. For more information, please refer to http://yufanh.weebly.com/

(日期:2016-12-05 作者: 来源:)