学术讲座丨张群姿:Oil Strikes Back: Trend Factors and Exchange Rates
发布时间:2023-03-20 08:36:00 浏览次数:2896

文澜金融论坛(第271期)

主讲人:

张群姿 教授

山东大学经济学院

主持人:

吕勇斌 教授

中南财经政法大学金融学院

数字技术与现代金融学科创新引智基地

时间

2023324日(周五)14:30-15:30

地点

文泉楼南508会议室

 

摘要:

A well-known puzzle in international finance is that, to predict exchange rate returns, existing predictive models often perform worse than the naive random walk model. In this paper, we construct an oil trend factor which performs better than the random walk model. More importantly, an oil-trend-based dynamic trading strategy can generate superior economic values. This result holds in both developed and emerging markets, with different forecasting horizons, with different specifications of trend factors, and across different currencies. Finally, we explore the economic link for the powerful predictability of the oil trend factor.

主讲人介绍:

张群姿,山东大学经济学院教授、博导、副院长,国家自然科学基金优秀青年项目获得者,省金融高端人才,省一流本科课程负责人,山东大学齐鲁青年学者。已在Journal of Financial EconomicsJournal of Financial and Quantitative AnalysisManagement Science等国际一流期刊发表论文。主持国家、省部级重要项目11项。曾获中国金融学年会优秀论文二等奖、WBI最佳论文奖、省高校青年教师教学比赛优秀奖等。分别担任国际期刊IJFE副主编(SSCI,ABS三星)和Energy NexusThe Innovation编委。

 

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