Time：March 20, 2017（Monday）15:00-16：30
Venue：Room 501, Jiageng Building 2
Topic：Dynamics of the European Sovereign Bonds and the Identification of Crisis Periods
Presenter：Zhenxi Chen, assistant professor, South China University of Technology
Host：Zhentao Liu, associate professor, IFAS
Abstract：
We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of di¤erent information from the CDS market and the historical price movements of the sovereign bonds for their trading decisions. Subject to the perceived risk, agents exhibit changing trading behaviors in high risk periods and tranquil times. As a robustness check for the ability of our model to identify crises periods we also run a generalized sup adf test as suggested in Phillips, Shi, and Yu [2015, Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review 56(4), 1043- 1078]. Our results indicate that the smooth transition regression framework may provide additional valuable information regarding the timing of crisis events.
Presenter Introduction：
Prof. Chen got his PhD from Nanyang Technological Universtiy, and master degree from National University of Singapore. His research interests include econometrics, mathmatical economics, behavioral finance and so on. He has pubished papers such as Journal of Economic Interaction and Coordination、Computational Economics、Mathematics and Computers in Simulation.
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