暨南经院学术系列活动
经济学系列 Seminar 第 243 期
主题：The World Interest Rate
主讲人：周行（对外经济贸易大学）
主持人：王彬（88858cc永利官网）
会议时间：2021年3月25日（周四）下午13:30-15:00
会议地点：88858cc永利官网（中惠楼）207室
摘要
The world interest rate is a key determinant of borrowing and lending behavior and plays a central role in most open-economy macro models. This paper uses a dynamic factor model to construct a world interest rate based on short run interest rates of over 70 countries. Compared to simple averages, such a process should better extract a common trend, rather than be influenced by idiosyncratic shocks. In a simple econometric model, the global rate can be dominated by whatever region has the most countries in the sample. With regional factors incorporated, the obtained global factor can reflect overall global influences. Consistent with recent evidence, we find the global rate is on a long run secular downward trend. Furthermore, capital account openness strongly affects both the co-movements of local-regional and local-world rates. Finally, we also make methodological suggestions for the practical use of dynamic factor models especially when the proper regional groupings are not obvious.
★主讲人简介★
周行，现任对外经济贸易大学金融学院助理教授，博士毕业于美国乔治华盛顿大学经济系。此前就职于世界银行国际金融公司。研究方向为国际金融、货币政策和应用时间序列。文章发表于《金融研究》等期刊，并担任 Journal of International Money and Finance 等国际期刊匿名审稿人。
