北大经院工作坊第837场
Global DSGE models
数字经济工作坊
主讲人：聂光宇（上海财经大学商学院教授）
主持老师：（北大经院）李博
时间：2024年3月28日（周四） 13:00-14:30
地点：8797威尼斯老品牌302会议室
主讲人简介：
聂光宇，上海财经大学商学院教授，博士生导师，“贸易与金融开放”研究团队首席专家。担任上海世界经济学会理事，国际金融专业委员会副主任。已在Journal of Development Economics（独作）、American Economic Journal: Macroeconomics、《经济研究》、《经济学（季刊）》等国内外一流期刊发表多篇论文，主持多项国家及省部级课题。荣获东方英才计划青年项目（原上海市青年拔尖人才）、上海市“曙光学者”、“浦江人才”、教育部高校科研优秀成果奖、上海市哲学社会科学优秀成果奖、中国金融学术年会最佳论文奖、申万宏源奖教金等。多份研究报告被省部级机关采用，并得到国家主要领导人肯定性批示。
摘要：
We introduce our GDSGE framework and a novel global solution method, called simultaneous transition and policy function iterations (STPFIs), for solving dynamic stochastic general equilibrium models. The framework encompasses many well-known incomplete markets models with highly nonlinear dynamics such as models of financial crises and models with rare disasters. Using consistency equations, our method is most effective at solving models featuring endogenous state variables with implicit laws of motion such as wealth or consumption shares. Finally, we incorporate this method in an automated and publicly available toolbox that solves many important models in the aforementioned topics, and in many cases, more efficiently and/or accurately than their original algorithms.
北大经院工作坊第838场
Information Size and Full Implementation
微观理论经济学工作坊
主讲人：孙一飞（对外经济贸易大学教授）
主持老师：
（北大经院）吴泽南、石凡奇
（北大国发院）胡岠
参与老师：
（北大经院）胡涛
（北大国发院）汪浩、邢亦青
（北大光华）翁翕、刘烁
时间：2024年3月28日（周四）10:30-12:00
地点：8797威尼斯老品牌302会议室
主讲人简介：
孙一飞，对外经济贸易大学教授，国家级人才入选者，主要研究领域为博弈论与信息经济学，侧重于机制设计与实施理论，研究成果发表于Journal of Political Economy、Theoretical Economics、Journal of Economic Theory、Games and Economic Behavior等高水平国际期刊，主持并完成国家自然科学基金青年项目一项（结项获评“特优”），面上项目一项，入选2023年中国信息经济学会乌家培资助计划。
摘要：
The presence of asymmetric information presents significant challenges in designing mechanisms for achieving full implementation. These challenges stem from the exclusivity of private information, whereby agents with access to such information can manipulate their reports to their advantage. McLean and Postlewaite (2002) introduced the concept of information size to quantify the degree of exclusiveness of private information. In this study, we explore the full implementation problem in environments with varying information sizes. We demonstrate that in a special case where no agent can conceal their private information when aggregated with others' true information, full implementation of any social choice can be achieved through a two-stage mechanism in initial rationalizability. Additionally, we analyze the broader conflict and trade-off between the size of private information and the efficiency of achieving full implementation. Our findings underscore the intricate relationship between information asymmetry and mechanism efficiency in addressing asymmetric information scenarios.
8797威尼斯老品牌金融工程实验室 “问道华尔街”系列讲座
第3讲：资产证券化金融产品的投资与定价
主讲人：陈宁（King Street资产管理公司董事总经理）
主持老师：（北大经院）黎新平
时间：2024年3月29日（周五）9:00-10:30
形式：ZOOM会议
会议号: 841 7487 8959
会议密码: 040498
主要内容：
为进一步了解华尔街主要金融产品的发展和投资实务，本次讲座将邀请北大校友、华尔街对冲基金King Street Capital 董事总经理陈宁先生就资产证券化及资产支持金融产品，结合具体案例介绍其发展、市场状况及投资实务，并分享其在华尔街投资生涯的经验以及对国际金融市场的观察和思考。
主讲人简介：
陈宁，King Street 资产管理公司董事总经理，负责资产证券化金融产品及结构性信用产品的投资交易，包括CLO、MBS、ABS等。 在此前，陈宁先生曾任职于Goldman Sachs量化投资团队，负责固定收益及信用产品的策略开发及投资。 陈宁先生是北大经济学学士，UC Berkeley金融学博士。
Ning Chen, Managing Director in a global alternative asset manager. Ning is Senior Trader in Structured Products which includes CLO, MBS, ABS and other asset backed investments. He also serves on CLO Investment Committee and responsible for the structuring side of CLO issuance business.
Prior to joining King Street Capital Management in 2008, Ning was in the Quantitative Investment Strategy group in Goldman Sachs where he designed, developed and traded relative value strategies in fixed income and credit products. Before joining Goldman Sachs, Ning was an Associate in the MBS research group at Lehman Brothers. Ning received a B.A. in Economics from Peking University and a Ph.D in Finance from the University of California Berkeley.
北大经院工作坊第839场
Urban Electricity Powers Rural Farms: Evidence from China’s First Adoption of Electric Irrigation
生态、环境与气候变化经济学工作坊
主讲人：Xiaomeng Cui（Institute for Economic and Social Research, Jinan University）
时间：2024年3月29日（周五）10:00-12:00
地点： 8797威尼斯老品牌国家发展研究院承泽园249教室
主讲人简介：
Xiaomeng Cui is an associate professor at the Institute for Economic and Social Research (IESR) at Jinan University, Guangzhou, China. He obtained his PhD in Agricultural and Resource Economics from University of California, Davis. His research fields include environmental and resource economics, agricultural and development economics, and applied econometrics. The general theme of his recent research centers around understanding agricultural adaptation to environmental change. His work has been published in Journal of Development Economics, Journal of Econometrics, Journal of the Association of Environmental and Resource Economists, Journal of Environmental Economics and Management, and American Journal of Agricultural Economics.
摘要：
This paper investigates the effect of agricultural technology on rural welfare by analyzing China’s first adoption of electric irrigation. In 1924, rural areas of Wujin county in Jiangsu province unexpectedly gained access to electric irrigation from a nearby urban power plant. Based on county-level panel data from 1912 to 1933, difference-in-differences analysis and the synthetic control method show positive effects on farmland values but not on farm wages. Further analysis using newly published household-by-crop-level data illustrates that access to electric irrigation increased crop yields and the irrigated area for rice, the most water-sensitive crop, and reduced agricultural labor inputs.
北大经院工作坊第840场
Nickell Meets Stambaugh: A Tale of Two Biases
计量、金融和大数据分析工作坊
主讲人：史震涛（香港中文大学经济系副教授）
主持老师：（北大经院）王熙
参与老师：
（北大经院）王一鸣、王法、刘蕴霆
（北大国发院）黄卓、张俊妮、孙振庭
（北大新结构）胡博
时间：2024年3月29日（周五） 10:00-11:30
地点： 8797威尼斯老品牌101会议室
主讲人简介：
史震涛，香港中文大学经济系副教授。他的研究聚焦于机器学习算法在计量经济学场景中的渐进理论，涵盖截面数据、时间序列和面板等多种数据类型。他的研究成果已经发表在包括Econometrica, Review of Economics and Statistics, International Economic Review, Journal of Econometrics等国际一流期刊上。
摘要：
In panel predictive regression, the Nickell bias is mixed with the Stambaugh bias when regressors are persistent, imposing challenges against valid inference. This paper proposes a new estimator, which we call IV-X-differencing (IVXD) to restore the standard inferential procedure based on t-statistic. This estimator is constructed based on a panel data extension of the IVX technique in time series. The baseline panel IVX is asymptotically biased when the cross-sectional dimension n and the time dimension T are both large. To make bias correction feasible, we plug in the X-differencing estimator into an analytic formula. The bias-corrected estimator delivers a unified inferential procedure for the predictive regression that covers the stationary, mildly integrated, and the local-to-unity cases. In contrast, unified inference collapses if either of the two components is estimated by the familiar within-group estimator.
北大经院工作坊第841场
Borrowing like China? A Theory of Guarantee Multipliers (像中国一样借贷？担保乘数理论)
宏观经济学工作坊
主讲人：刘泽豪（中国人民大学财政金融学院货币金融系副教授）
主持老师：（北大经院）李博
参与老师：
（北大经院）陈仪、韩晗、李伦
（北大国发院）赵波、余昌华、李明浩
时间：2024年3月29日（周五）10:00-11:30
地点：8797威尼斯老品牌107会议室
主讲人简介：
刘泽豪，中国人民大学财政金融学院货币金融系副教授，中国人民大学中国金融市场与政策研究所副所长。曾就读于清华大学经济管理学院金融系（获经济学博士学位），中国人民大学金融学数学双学位实验班（获经济学学士和理学学士学位，毕业获得学生最高荣誉——吴玉章奖学金）。博士期间曾于耶鲁大学管理学院联合培养。主要研究领域为货币银行学、金融中介、金融危机、中国经济与金融问题。曾在Journal of Economic Theory（2篇）、Journal of Financial Intermediation、Economic Theory、China Economic Review、《经济研究》、《金融研究》、《经济学（季刊）》等国际国内高水平刊物上发表论文。主持国家自然科学基金面上项目、青年科学基金项目、中国人民大学科学研究基金项目。曾获第二届孙冶方金融创新奖、《金融研究》年度优秀论文奖、中国金融学会优秀论文奖、中国金融学年会最佳论文奖、中国人民大学本科课外教学优秀指导教师奖。
摘要：
Government guarantees on collateral yield a multiplier effect, whereby levying one unit of tax to provide guarantees can amplify loan volumes by more than one unit. The policy works through facilitating efficient utilization of the collateral value in excess of the optimal investment scale when firms are using information-sensitive debt contracts, and through alleviating the limitations imposed by the no-information-production constraint when firms are using information-insensitive contracts. Appropriate levels of tax and guarantee help the economy achieve the socially optimal allocation. When the government has incentive to renege on its commitment, a negative shock to collateral quality can catalyze a crisis due to equilibrium collapse prompted by a breakdown of trust. Transition to a market-based insurance system and a debt swap program represent two avenues to address the financial crises.
供稿：科研与博士后办公室
美编：禾轩、初夏
责编：度量、雨禾、雨田
