讲座题目：The dynamic Dirichlet process mixture model: An application to the banking sector in Australia

主讲嘉宾：董梅

墨尔本大学商学院教授，加拿大西蒙弗雷泽大学经济学博士。主要研究方向是货币银行学。 

主讲嘉宾：宋勇

墨尔本大学商学院副教授，加拿大多伦多大学经济学博士。主要研究方向是贝叶斯计量经济学以及应用。

讲座时间：2025年1月3日（周五）13:00

讲座地点：金融学院116教室

摘要

This paper proposes a new dynamic Bayesian nonparametric model to capture time varying distributions. Our model is built on Guti´errez et al. (2016) and Mena and Ruggiero (2016). We improve their algorithm through incorporating a break indicator and a hierarchical prior structure governing the parameters of all components in the mixture. Using the Australian banking statistics from 1925 to 2019, we apply the model to estimate the time varying bank size/growth distributions. Our results suggest that the skewness of the weighted bank growth distribution is procyclical to the business/financial cycle. Different quantiles of the weighted bank growth distribution exhibit different correlations with financial cycles.