Functional VAR

主讲人：Jiaming Huang（Universitat Pompeu Fabra and Barcelona School of Economics）

主持老师：（北大经济学院）王熙

参与老师：  （北大经院）王一鸣、王法、刘蕴霆

（北大国发院）黄卓、张俊妮、孙振庭

（北大新结构）胡博

时间：2024年3月15日（周五） 10:00-11:30

地点（线下）： 北京大学经济学院107会议室

报告摘要：

This paper models the joint dynamics of macro aggregates and functional variables within the Structural VAR framework. I reduce the dimension of the system using functional PCA and show that the proposed functional VAR (FVAR) consistently recovers the responses of the functions. The FVAR is easy to implement and fully compatible with conventional SVAR tools. Simulation evidence shows that it performs satisfactorily in finite samples. Applying FVAR to study the impact of tax shocks on income distributions in the UK, I find that tax cuts persistently reduce the density of lower-middle-class households, which is offset by a substantial increase in the richer range and a moderate increase in the poorer range. However, this pattern is not captured by VARs with conventional inequality measures.

讲人简介：

Dr Jiaming Huang is currently interested in econometrics and macroeconomics. His research studies specialize in unobserved heterogeneity, clustering, functional data analysis, machine learning, heterogeneous agent models, monetary policy, inequality, and economic risks.