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[5月9日] 國際經(jīng)濟學(xué)Workshop

發(fā)布日期：2023-05-08 10:46    來(lái)源：

Interest Rates and Commodity Prices: Theory and Empirics

主講人: 馬慶寅（首都經(jīng)貿大學(xué)）

主持人：余昌華（北京大學(xué)國家發(fā)展研究院）

時(shí)間：5月9日（周二）上午10:30-12:00（北京時(shí)間）

地點(diǎn)：承澤園246教室

摘要：Frankel’s hypothesis states that low interest rates increase firms’ incentive to hold inventories and drive up the price of commodities. The validity and size of this effect is difficult to analyze statistically due to numerous confounding variables and reverse causality. In order to analyze Frankel’s hypothesis and its quantitative implications, we extend the competitive storage model to handle stochastically evolving interest rates. We provide conditions under which a unique equilibrium pricing rule exists and can be efficiently computed, allowing for sustained periods of negative interest rates as empirically observed. We then study the quantitative impact of interest rates on commodity prices in depth, and find that interest rates have nontrivial and persistent negative effect on commodity prices, with the level of impact varying substantially under different regimes.

主講人介紹：馬慶寅，首都經(jīng)濟貿易大學(xué)國際經(jīng)濟管理學(xué)院教授、博士生導師，澳大利亞國立大學(xué)博士。其研究領(lǐng)域為數量經(jīng)濟學(xué)、宏觀(guān)經(jīng)濟學(xué)，涵蓋高維動(dòng)態(tài)模型的理論和算法、資產(chǎn)定價(jià)、收入和財富分配等領(lǐng)域。在Operations Research、Journal of Economic Theory等國際著(zhù)名期刊發(fā)表論文數篇。入選國家級人才青年學(xué)者項目、北京市海外高層次人才項目，并主持國家自然科學(xué)基金青年項目。