报告题目：Bubble Mitigation Policies: Counterfactual and Inferences
报告人：施淑萍
澳大利亚麦考瑞大学
报告时间：2024年9月24日(周二) 16:30-18:00
报告地点：中国科学院数学与系统科学研究院南楼N204
腾讯会议ID：911 262 845
内容摘要
To safeguard economic and financial stability policymakers regularly take actions designed to in-crease resilience to systemic risks and curb speculative market behavior. To assess the effectiveness of such mitigation policies, we introduce a counterfactual approach tailored to accommodate the mildly explosive dynamics that occur during speculative bubbles. We derive asymptotics of the estimated treatment effect under a common factor structure that allows for explosive, I(1), and stationary factors, thereby having applicability to a wide range of prevailing economic conditions. An inferential procedure is proposed for the policy treatment effect that has asymptotic validity and demonstrates satisfactory finite sample performance. An empirical analysis of leaning-against-the-wind (LAW) monetary policy is conducted, focusing on the interest rate hikes implemented by the Reserve Bank of New Zealand that were initiated in October 202l. This policy exerted a statistically significant cooling effect on all regional housing markets in New Zealand. Our findings show that this policy led to a 20% to 30% reduction in house prices in five out of six regions seven months after the enactment of the LAW policy.
主讲人简介
Professor Shuping Shi is an econometrician with a theoretically grounded and policy-relevant research agenda in the field of Financial Econometrics and Applied Economics. She received the 2020 Discovery Early Career Researcher Award from the Australian Research Council and was honored with the prestigious 2022 Young Economist Award by the Economic Society of Australia.
Her work has been published in leading academic journals, including Management Science, Journal of Econometrics, International Economic Review, Econometric Theory, Journal of Financial Econometrics, and Journal of Banking and Finance. She currently serves as an Associate Editor for Econometric Theory.
Professor Shi is one of the key developers of the PSY real-time bubble monitoring technique. a tool widely adopted by institutions and featured in several econometric textbooks and standard econometric software. She also co-developed the International Housing Observatory and Housing Fever Lab, which provide real-time monitoring of housing bubbles in over 23 countries worldwide.
【“邹至庄讲座”青年学者论坛】施淑萍：Bubble Mitigation Policies: Counterfactual and Inferences（9月24日）
