English version

深圳大学管理科学前沿论坛(第87期)

来源:  发布时间:2018-12-05 11:30:26 浏览量:

讲座题目:The impact of crude oil prices on exchange rates: Evidence from the quantile association regression model
 

主讲人:叶五一 副教授, 中国科学技术大学  

时间: 2018129日(周日) 

地点: 文科楼管理学院1400  15:30-16:30  

主持人:马利军 教授,深圳大学管理科学系副系主任  

内容简介:

This paper provides a new evidence on the extreme dependence between crude oil price and exchange rate. We develop a time-varying quantile association regression model based on Fourier transform, which is able to capture the dynamic quantile dependence in the tails of conditional distributions. The rationality of the model construction and the validity of the estimation method are verified by simulation studies. Our analysis focuses on nine countries which represent the major type of the country in the world and we implement the model and compute the qpr on a daily basis between crude oil price and US dollar exchange rate at different quantile levels. Our empirical finding shows a symmetric tail dependence between crude oil and the US exchange rate at 0.1 quantile. In general, the dependence is weak, but there is a rapidly increased and positively related dependence during the subprime crisis. Moreover, the behaviors of qpr show a smaller fluctuation in high level of quantile. Finally, conditioning on equity prices (the S&P500) does not change the patterns of extreme dependence found in the unconditional cases.

 

主讲人简介:

叶五一,男,山东安丘人。中国科学技术大学本硕博,200612月获得管理科学与工程(金融工程)博士学位,现为中国科学技术大学管理学院统计与金融系副教授。现任全国工业统计研究会常务理事,安徽省金融统计协会会员等。目前主要从事金融工程与金融风险管理方面教学和科研,主要研究方向:金融工程、风险管理、金融统计等。在国内外杂志上发表论文50余篇,其中SCISSCI收录期刊10余篇。已主持并完成国家自然科学基金面上项目、青年项目各一项,安徽省自然科学基金、高校博士点基金各一项;目前正主持国家自然科学基金面上项目一项。

欢迎感兴趣的师生参加!

深圳大学管理学院管理科学系


电话:+86-755-26536121 传真:+86-755-26534451

Copyright © 2003-2015 All rights reserved 粤ICP备11018045号

官方微信号