一、讲座主题：Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks

二、主讲人：黄宇凡

黄宇凡，首都经贸大学国际经济管理学院副教授，博导，2013年毕业于美国西雅图华盛顿大学，获经济学博士学位。着重研究实证宏观经济学、非线性时间序列和贝叶斯方法，研究成果刊登在Journal of Money, Credit & Banking，International Journal of Forecasting和Oxford Bulletin of Economics and Statistics等国际著名期刊，并于2018至2021年间主持一项国家自然科学基金青年项目。

三、主要内容：

摘要：This paper investigates how financial conditions and macroeconomic uncertainty jointly affect macroeconomic tail risks. We first document that tight financial conditions decrease all conditional quantiles of future output growth in the near term, while high macroeconomic uncertainty stretches the interquartile range, leaving the median intact. Because financial conditions and uncertainty comove substantially, the conditional means and variances shift simultaneously in the opposite direction. Consequently, the downside risk varies much more than the upside risk. Using a structural VAR, we find that both financial and uncertainty shocks tighten financial conditions and heighten macroeconomic uncertainty instantaneously. Therefore, all conditional quantiles of output growth decrease disproportionately in response to both shocks, and the conditional distribution of output growth not only shifts but also skews to the left, leading to greater growth vulnerability for 2 to 3 years in the future.

四、时间：2022年10月25日14:00-16:00

五、地点：腾讯会议：900-226-404

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