Выступление профессора Гульельмо Мария Капорале (университет Брунеля)

Рады сообщить о предстоящем открытом семинаре,  на котором с докладом «Exchange Rates and Macro News in Emerging Markets​» выступит профессор Гульельмо Мария Капорале (университет Брунеля). Семинар состоится 20 октября в 17:30 по адресу: Кантемировская улица, д.3, корп. 1, лит. А, ауд. 247. 

Для заказа временного пропуска в здание НИУ ВШЭ просьба сообщить ваши ФИО и место работы до 19 октября (включительно) по адресу: mlapina@hse.ru (Лапина М.Г.). Ждем всех заинтересовавшихся преподавателей, исследователей, студентов.

Выступлению Гульельмо Мария Капорале будут предшествовать два других доклада:

16:00 - 16:40 Павел Третьяков (магистрант НИУ ВШЭ), Disinflation in the open economy, when agents are learning. 

16:40 - 17:20 Сергей Иващенко (научный сотрудник международной лаборатории теории игр и принятия решений), Computations with nonlinear DSGE.

Аннотации:

«Exchange Rates and Macro News in Emerging Markets​»: This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results suggest limited dynamic linkages between the first moments compared to the second moments, causalityin-variance being found in a number of cases; further, the recent global financial crisis appears to have had a significant impact. The conditional correlations also provide evidence of co-movement. Finally, as expected the impact of news is more muted in the case of managed currencies, significant spillovers only being found in the case of foreign news in the crisis period.

«Disinflation in the open economy, when agents are learning​»: The continuing process of disinflation,conducted by the Bank of Russia recently, is a feature of Russian macroeconomic environment, which attracts a lot of attention and bring about significant disagreements. Previously, Cogley at al. (2015) showed that when the coefficients of the CentralBank's Taylor rule differ from the private sector's perceptions of these coefficients, the process of disinflation could be accompanied by very high volatility of macroeconomic variables. We propose to study the problem of lowering inflation of Cogley et al. (2015) in a model of two-sector small open economy, which takes into account peculiarities of agents' behavior and other characteristic of macroeconomic environment in Russia. This study will allow to derive the optimal disinflation policy and bring about better understanding of the inflation process in Russia.

«Computations with nonlinear DSGE»: Microeconomic foundation of DSGE models is source of their advantage. However, approximations are used for practical calculations with DSGE models. The most authors uses log-linearized models. It eliminates part of microeconomic foundation including such important effects as influence of uncertainty on decisions. The usual second order approximations eliminates stochastic volatility effects. The possible solutions of these problems would be discussed.