报告题目：The role of financial stress conditions in predicting payment transactions

      报 告 人：李富春

      报告时间：2021年05月15日（周六）9:00-11:00

      报告地点：腾讯会议

      主办单位：经济学院

    【报告人简介】

      李富春，1982年毕业于南开大学数学系，获学士学位；1987年毕业于东华大学基础科学系，获硕士学位；1994年毕业于圭尔夫大学经济系  (University of Guelph), 获经济学硕士学位；2000年毕业于西安大略大学经济系（The  University of Western Ontario）获经济学博士学位。现为东北财经大学经济学院特聘教授，加拿大中央银行高级经济学家(Senior  Economist at Bank of Canada)，并兼任加拿大支付系统高级研究顾问  (Senior Research Advisor at Payments Canada)，同时在卡尔顿大学  (Carleton University)，渥太华大学  (University of Ottawa) 等多个大学担任客作教授，还担任Journal  of Econometrics，Econometric Theory，Journal  of Nonparametric Statistics，Journal  of Financial Econometrics，Journal  of Financial Stability，Econometric Reviews, Economic Letter 等十余个国际期刊审稿人。

    【内容摘要】

      This paper examines empirically the role of financial stress conditions in predicting payments volumes in Canada. The model used is a threshold vector autoregression (TVAR) model which allows the Canadian economy to switch between two regimes: the economy is in the high financial stress regime if the financial stress conditions are higher than a threshold value, otherwise it is in the low financial stress regime. The model uses four macro and financial variables: Canada’s GDP growth rates, Overnight interest rates, Financial stress index, and Payment volumes. The model is used to predict Canada’s payments volumes in main’s Canada’s payments systems (ACSS and LVTS). The empirical results suggest that financial stress conditions play a critical role for predicting payments volumes. Particularly, the finite sample performance indicates that in-sample evidence suggests that for most of participants, TVAR models perform better than ARIMA models, while in terms of out-of-sample forecasting performance, for some participants, TVAR models dominate ARIMA models. Additionally, this TVAR is used to stress-test the effects of the COVID-19 on Canadian payment systems. We obtain important empirical findings which provide useful information for policy analysis in Canadian payment systems.

    【参会方式】

      线上腾讯会议，会议ID：447 415 594。

撰稿：班伟                         审核：齐鹰飞                  单位：经济学院