暨南经院学术系列活动
经济学系列 Seminar 第245期
主题: The Effects of Trade War Risk on U.S. Financial Markets
主讲人: 刘鼎铭（厦门大学）
主持人：王彬
时间：2021年4月15日（周四）上午10:00-11:30
会议地点：tyc1286太阳成集团（中惠楼）102室
摘要
This paper investigates the effects of trade war risk on various U.S. financial variables using a structural vector autoregression model identified by a heteroscedasticity-based approach. The empirical results indicate that increases in trade war risk cause declines in equity prices, Treasury yields and inflation expectations, a widening of BAA corporate spreads, a fall in the dollar against the yen, and rises in gold prices and stock market volatility. More importantly, we find that concerns about risks from the trade war may be overblown. Trade war risk shocks did not account for as large of a portion of the variances in the financial variables as expected over the sample period we consider, whose contribution was short-lived, quickly settling down to even smaller unconditional shares. Additional studies employing stock prices in the S&P 500 index to explore potential transmission channels show that firms with high input or output exposures to China’s market suffer significantly more from trade war risk.
★主讲人简介★
刘鼎铭，现任厦门大学王亚南经济研究院副教授，博士毕业于美国明尼苏达大学应用经济系。研究方向为宏观计量经济学，国际金融和货币经济学。文章发表于Journal of Economic Dynamics and Control，《金融研究》以及《中国工业经济》等杂志。
