预告 | 海外访问学者讲座87期：贝叶斯全球向量自回归（BGVAR）模型在数字金融数据不利冲击传导中的应用

国际智库中心博享沙龙系列

Global Think Tank Center 

 Academic Activities

复旦发展研究院海外访问学者讲座系列八十七

FDDI Overseas Visiting Scholar Seminar (87)

The Bayesian Global Vector Autoregression (BGVAR) model in the transmission of adverse shocks of digital financial data

贝叶斯全球向量自回归（BGVAR）模型

在数字金融数据不利冲击传导中的应用

演讲人Speaker

Dr. Darko B. Vuković

俄罗斯圣彼得堡国立大学

市场效率与应用金融研究中心首席专家、科学主任

管理研究生院财务与会计系副教授

Chief Expert, Research Center for

Market Efficiency and Applied Finance

Assosiate Professor, 

Department of Finance and Accounting, 

the Graduate School of Management, 

Saint Petersburg State University

主持人

Chair

杨秋怡

Dr. Yang Qiuyi

复旦大学金融研究中心主任助理

Assistant Director, 

Financial Research Center, 

Fudan University; 

复旦发展研究院助理研究员

Assistant Professor, 

Fudan Development Institute

摘 要

Host

This study employs the Bayesian Global Vector Autoregression (BGVAR) model to examine the spillover effects of adverse shocks originating in the blockchain financial data market on global financial markets. It reveals that these effects are not limited to specific countries but have a global impact, adversely affecting stock markets and exchange rates. The magnitude of these shocks is generally moderate, and their duration is short, positioning this market primarily as a mediator of short-term negative shocks. To the best of my knowledge, this represents the first application of the BGVAR model in the context of the digital financial market.

主 办

Host

复旦发展研究院

Fudan Development Institute

时 间

Time

2024年4月19日 09:00-10:30

09:00-10:30 , April 19, 2024

地 点

Venue

复旦大学智库楼203

Room 203, Think Tank Building

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