華師經英seminar第34期
【時間】12月23日（周四）下午1:00-2:00
【地點】文二棟301會議室
【題目】Inflation Expectation Spillover between China and US
【主講人】賈明遠博士
【主持人】向地靈博士
【主講人簡介】賈明遠博士2019年畢業于美國加州大學河濱分校(UC, Riverside)，現任職于新葡的京集團350vip8888經濟與管理研究院特聘副研究員。賈明遠博士曾受邀擔任Quantitative Economics 和 Empirical Economics 的匿名審稿人。 他的研究興趣包括應用宏觀經濟學，時間序列分析和預測。
【摘要】This paper quantifies an important spillover of inflation expectation between China and US. In contrast to previous literature, we model China and US term structure of inflation expectation jointly in a factor-augmented VAR with Nelson-Siegel form. The model allows us to extract latent factors of inflation expectation and to identify China and US specific inflation expectation shocks. Our main result suggests a bidirectional but quantitatively asymmetric international expectation spillover. Additionally, the spillover of inflation expectation increases during times of macroeconomic stress. The finding contributes to the discussion about global inflation and a weakening control of inflation by central banks. The expectation channel in this paper also suggests that the implementation of average inflation targeting by the US Federal Reserve could be an important factor in worldwide inflation dynamics.