“Noon Sunshine-Young Scholars Seminar” is a regular academic exchange platform held by School of Finance. It aims to offer valuable occasions of communications among scholars in our college, between teachers and students, the domestic and the oversea. In this semester, we keep our original intention, set off for a new voyage. We will devote ourselves to fostering the academic atmosphere in the college, and promoting the academic level for both teachers and students.

The fourth session of “Noon Sunshine-Young Scholars Seminar” for the Autumn Semester in 2024 is arranged as follows:

Lecture topic

Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy

Keynote Speaker: Liu Fei

Date

Thursday, October 30th, 2024

Time

12:00-13:30

Lecture Venue

Room 116, School of Finance

Abstract

In this paper, we investigate a semiparametric regression model in the context of treatment effects using a localized neural network (LNN) approach. Given the large number of parameters involved, we (i) explore the use of identification restrictions; and (ii) adopt a variable selection strategy based on the group-LASSO technique. Subsequently, we derive the corresponding estimation theory and propose a dependent wild bootstrap procedure to construct valid inferences accounting for the dependence of data. Finally, we validate our theoretical findings through extensive numerical studies. In an empirical study, we revisit the impacts of a tightening monetary policy on a variety of economic variables, including short-/long-term interest rate, inflation, unemployment rate, industrial price and equity return using our proposed framework with a monthly dataset from the US.