讲座题目：Exchange Rate Dependence and Economic Fundamentals: A Copula-MIDAS Approach
主 讲 人：上海大学 龚玉婷 副教授
讲座时间：2021年12月17日（周五） 下午14:30
线上平台：腾讯会议 866 668 678
主办单位：9778818威尼斯大数据分析与风险管理研究中心、运营与供应链研究中心
主讲人简介：
龚玉婷博士，上海大学经济金融系副教授，兼任金融工程与金融风险管理分会第四届理事会理事，主要研究方向为金融计量，包括连接函数、混频数据抽样模型、区制转换模型、债券定价。以第一作者或通讯作者身份在国内外权威期刊发表多篇文章，包括Journal of Financial Econometrics、Transportation Research Part E。主持国家自然科学基金面上项目1项、国家自然科学基金青年项目1项。同时担任Journal of Economic Dynamics and Control、International Review of Economics & Finance、Economic Modelling、Finance Research Letters、《经济学（季刊）》、《系统工程理论与实践》等国内外10余种领域权威期刊的匿名审稿人。
论坛摘要：
The relationship between exchange rates is important for portfolio optimisation and risk management. Understanding the economic fundamentals that affect exchange rate dependence enables investors to improve their portfolio performance. This paper evaluates the impacts of differences in economic fundamentals on exchange rate dependence by introducing the mixed-frequency copula model with a generalised autoregressive score (GAS) dynamic structure. In an application to Canadian dollars, British pounds and Japanese yen, the widened differences in the money supply and interest rates tend to weaken exchange rate dependence, but the differences in output and inflation have no explanatory power for exchange rate dependence. Investors are suggested to account for both daily exchange rates and monthly economic fundamental information in portfolio management. In particular, the historical trends extracted from the economic fundamentals over the past 2 years enable investors to accurately predict exchange rate dependence and obtain additional economic benefits.
