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【10月26日】The Efficiency of China’s Foreign E

 
主讲人: 赵留彦 副教授 (北京大学)
 
地点: 中山大学MBA大楼701
 
时间:2012年10月26日(周五)14:30-16:00
 
Abstract:
   Threshold Error Correction Mechanism (TECM) is adopted for measuring the relationship between Chinese currency exchange rate and its mint parity during the late 19th century to early 20th century. The silver points are empirically estimated to be 3/4-1 percent of parity. Adjustment outside the silver points implies half-lives of exchange rate deviations from parity are about three weeks, close to the estimated half-lives for Anglo-American exchange rate deviations from parity. Besides, when the deviations are above our silver-point estimates, the actual silver flows are basically consistent with the prediction of silver-point arbitrage mechanism. Our results provide some evidence of the relative efficiency of Chinese silver standard, and provide an insight into the market integration across Shanghai and American.
 
赵留彦副教授简介:
    北京大学经济学博士,研究方向:货币经济学、金融计量学、宏观计量经济学。在《经济研究》、《中国社会科学》、《经济学季刊》等杂志发表多篇论文。教学科研获得北京大学“方正”奖教金、《金融研究》第二届(2010)优秀论文、第五届(2010)薛暮桥价格研究奖、教育部第五届(2009)中国高校人文社会科学研究优秀成果二等奖等。
个人主页:http://econ.pku.edu.cn/szdw_displaynews.asp?id=966
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