Speaker：Dr. Chao-Yi Chen(Assistant Professor, Central Bank Research Institute at Budapest Metropolitan University)

Host：Dr. Mingjia Xie(Assistant Professor, Institute of Economics, Liaoning University)

Guest：Dr. Renliang Liu(Assistant Professor, Institute of Economics, Liaoning University)

Time：December 17, 2024(Tuesday), 10:00 - 11:30 AM (Beijing Time)

Location：

In-person: Conference Room, First Floor, Wuzhou Garden, Chongshan Campus, Liaoning University

Online: Tencent Meeting ID: 358-6417-4104

Language：Chinese/English

Abstract：

This lecture introduces several Threshold Mixed Data Sampling (TMIDAS) autoregressive models designed to forecast Canadian inflation rates. The models incorporate predictors observed at varying frequencies, with two low-frequency variables and one high-frequency index serving as the threshold variable.

A comparison is made between the TMIDAS models and standard benchmark models, focusing on both in-sample and out-of-sample forecasts. Findings suggest that TMIDAS models exhibit robust forecasting performance, especially when using the high-frequency index as the threshold variable.

Evaluation through Unconditional Superior Predictive Ability (USPA) and Conditional Superior Predictive Ability (CSPA)tests reveals that while no single model consistently outperforms others, TMIDAS models remain competitive in most scenarios.

Speaker’s Biography：

Dr. Chao-Yi Chen is a Senior Research and Education Specialist at the Central Bank of Hungary and an Assistant Professor at the Central Bank Research Institute at Budapest Metropolitan University. He earned his PhD in Economics from the University of Guelph, Canada. His research focuses on econometrics, empirical macroeconomics, and empirical finance. His work has been published in renowned international journals, including Journal of Business & Economic Statistics, Econometrics Journal, Econometric Reviews, Environmental and Resource Economics, and Journal of Empirical Finance.

Dr. Chen has received several prestigious awards, including the Hungarian Central Bank Vice Governor's Award (2022-2024) and the Gordon S. Lang School of Business and Economics Distinguished Scholar Medal (2020). He is also actively involved in organizing academic events, such as the Central Bank Research Institute-Fudan University International Finance Symposium. Dr. Chen serves as a guest editor for the Journal of Risk and Financial Management and contributes to the Economania blog hosted by the Central Bank Research Institute.