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主题报告七

发表于:2016年06月13日 分类:未分类

报告题目:Do Past and Future Inflation Rate Expectations Affect Precious Metal Prices?

报告人:汪滔

报告时间:2016.6.20 下午14:30-15:00

报告地点:之远楼11楼国际会议厅

报告人简介

    汪滔,美国约翰•霍普金斯大学经济学博士,纽约市立大学皇后学院经济系主任、副教授、博士生导师,国际期刊Frontiers in Mathematical Finance评审编辑。汪滔教授主要研究领域为投资学、金融计量学、国际金融学,并已在Journal of Economic Studies, European Financial Management, Journal of Real Estate Research 和 The British Accounting Review等国际知名期刊发表多篇论文。

报告摘要

    This paper examines whether inflation expectation surprises and updates affect gold and silver metal prices. We find that high frequency gold and silver prices react positively to surprises in the consensus estimate of previous period CPI and PPI with the impact on silver prices being stronger.  Expectations updates on future inflation rate from Survey of Professional Forecaster (SPF) strongly affect gold and silver prices as well. While CPI surprises do not show asymmetric effect, PPI announcement surprises affect precious metal prices during economic expansion period only. Moreover, silver prices react to SPF inflation rate updates during recession period only. The result is consistent with the inflation hedge theory of the gold price determination.

固定链接: http://elab.dufe.edu.cn/archives/2149 | 实验经济学实验室
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