The 4th “Peking University-HSBC Economic Forum”
Apr 18-2013
- Professor Robert Engle, Winner of Nobel Prize for Economics, Gave a Speech
The 4th “Peking University-HSBC Economic Forum” was held at Langrunyuan on the afternoon of June 13th. Professor Robert Engle, the 2003 Nobel Price laureate for economics, gave a theme speech titled “Anticipated Correlations—New Method for Financial Planning”.
Also present at the forum were Professor Justin Yifu Lin, Director of China Center for Economic Research (CCER) at Peking University, and Mr. DING Guoliang, President of Beijing Branch of HSBC (China) Co., Ltd. There were about 300 participants attending the forum, including economists, journalists, teachers and students from Peking University.
As Chinese economy grows continuously and stably under globalization, many new products have been introduced into the financial market in China, and it has become an ever-bigger concern to Chinese enterprises that how financial assets can achieve steady growth. In the financial market, the correlation between assets is significant when calculating the risk of investment portfolios.
In his speech, Professor Engle analyzed the correlation between Shanghai A-Share Composite Index with MSCI, indicating that the prices of A shares on Shanghai exchange fluctuated more than internationally listed Chinese shares did, and the fluctuation of MSCI agreed with the global financial market more than the index of Shanghai A shares. However, the level of correlation between the two had increased by 30% in recent years. As time went by, Professor Engle believed that the two indexes would be converging, which might be good for China.
Professor Engle also made a deep analysis of the application and future of correlation in the financial market, and shared his ideas about the questions such as what the “anticipated correlation” is, “how correlation changes as time goes by”, and “how to best estimate correlation”, etc.
In view of this, Professor CHEN Ping of CCER remarked that Professor Engle had improved the correlation analysis models, especially those for Dynamic Conditional Correlation and Dynamic EquiCorrelation, which was a huge contribution to both economic research and economic practices.
The ARCH theory introduced by Professor Engle can accurately generate many characteristics of time series, and develops the method of modularizing statistically time-varying volatility. Professor Engle currently teaches at Stern Business School of New York University. When introducing him to the audiences, CCER Director Professor Justin yifu LIN quoted the comments by the Royal Swedish Academy of Sciences and praised Professor Engle as “a model not only for the researchers, but also for the financial analysts”.
After this speech, Professor Engle also interacted with the audiences. When he answered the question on “how to stabilize the financial market in China”, Professor Engle stated “the more open a market is, the more stable it could be. While taking in the foreign investment, domestic investors should be allowed to go out and invest in foreign companies.”
Professor Engle believed that before long, domestic investors would become more experienced and mature in the international market, which would help to promote the status of the investment market in China.
