I am interested in research topics related to the interactions between macroeconomic policies and the financial sector. The US subprime crisis and its economic impacts have led economists to rethink macroeconomics (Blanchard et al. 2010; Woodford, 2010; Stiglitz, 2011). One important question is what is the role of the financial sector in the transmission of macroeconomic shocks. Another important question is what are the impacts of financial shocks on the macroeconomy.
Without a good understanding of the financial sector, it is difficult to answer those questions. For this reason, I also do research on asset pricing and behaviors of financial institutions. Rather than assuming that the financial market is complete or incomplete, it is more interesting to know how the market functions. Interestingly, the finance literature also finds that macroeconomic policies affect financial returns, see, for example, Bali et al. (2014), Belo et al. (2013), Laeven and Tong (2012).
I am particularly interested in the sovereign credit risk, or more generally, fiscal policy credibility. The reason is that this is an area where monetary policy, fiscal policy and the financial sector are closely linked to each other: (1) important concepts in monetary economics such as price stability and liquidity trap are related to fiscal policies, see, for example, Eggertsson and Krugman (2012), Cochrane (2011), Canzoneri et al. (2010). (2) Fiscal policy and sovereign debt in particular are related to the definition of (relatively) safe asset, which is fundamental for asset pricing.
Research papers (in English):
Interactions between macroeconomic policies and financial markets
"A Dynamic General Equilibrium Analysis of Monetary Policy Rules, Adverse Selection and Long-Run Financial Risk," (with Hans Blommestein and Sylvester Eijffinger), CEPR Discussion Papers 8652, 2011.
“Monetary Policy Transmission with Two Exchange Rates and a Single Currency: The Chinese Experience”, Bank of Finland Institute for Economies in Transition, Discussion Paper 14/2017.
“Housing Price and Business Cycle in China: A DSGE Analysis,” (with Qing He, Fangge Liu, and Terence Chong), International Review of Economics and Finance, 52, 246-256, 2017.
"China's Monetary Policy and Systemic Risk," (with Jianhua Gang), Emerging Markets Finance and Trade, 51(4), 701-713, 2015. Intro/Link
"Does Tax Policy Affect Credit Cpreads? Evidence from the US and UK," (with Kan Ji), Journal of Macroeconomics, 43, 318-329, 2015. Data appendix for this paper is available here. Intro/Link
“The Effect of Changes in the US Monetary Policy on China's Capital Market Stability and Trade between China and Korea”, (with Jianhua Gang, Chao Zhang, and Jiarui Zhang), Korea Institute for International Economic Policy, Policy Reference 15-3.
"Global Imbalance, Excess Liquidity and Financial Risk in China," in The Economic Crisis and European Integration, Wim Meeusen (eds.), 2011, Edward Elgar Publishing, Cheltenham, UK and Northampton, MA, USA. Intro/Link
Sovereign default\Fiscal policy credibility
"The Limit of Fiscal Policy as a Deflation Fighter in Open Economy," (with Gonzague Vannoorenberghe), in progress.
"Regime Dependent Determinants of Euro Area Sovereign Credit Spreads," (with Hans Blommestein and Sylvester Eijffinger), Journal of Financial Stability, 22, 10-21, 2016. Intro/Link
"Animal Spirits in the Euro Area Sovereign CDS Market," (with Hans Blommestein and Sylvester Eijffinger), CEPR Discussion Papers 9092, 2012. Intro/Link
"Sovereign Credit Risk, Macroeconomic Dynamics, and Financial Contagion: Evidence from Japan," (with Wendun Wang and Kan Ji), Macroeconomic Dynamics, 21(8), 2096-2120, 2017. Intro
"Regime Dependent Determinants of China’s Sovereign Credit Default Swap Spread," (with Qian Luo), Emerging Markets Finance and Trade, 52(1), 10-21, 2016. Intro/Link
"The Limit of Fiscal Policy as a Deflation Fighter in Open Economy," (with Gonzague Vannoorenberghe), in progress.
"Regime Dependent Determinants of Euro Area Sovereign Credit Spreads," (with Hans Blommestein and Sylvester Eijffinger), Journal of Financial Stability, 22, 10-21, 2016. Intro/Link
"Animal Spirits in the Euro Area Sovereign CDS Market," (with Hans Blommestein and Sylvester Eijffinger), CEPR Discussion Papers 9092, 2012. Intro/Link
"Sovereign Credit Risk, Macroeconomic Dynamics, and Financial Contagion: Evidence from Japan," (with Wendun Wang and Kan Ji), Macroeconomic Dynamics, 21(8), 2096-2120, 2017. Intro
"Regime Dependent Determinants of China’s Sovereign Credit Default Swap Spread," (with Qian Luo), Emerging Markets Finance and Trade, 52(1), 10-21, 2016. Intro/Link
Financial Markets and Institutions
“Volatility Managed-Portfolio of Mutual Funds”,(with Jilin Jiang and Jianhua Gang), working paper.
"Over-reaction and stock return reversal in China", (with Jianhua Gang and Tiange Xu), working paper.
"On the Rationality of the Housing Market: Project-level Evidence from China’s First-tier Cities", (with Yifan Chen and Jianhua Gang), under review.
"Risk Factors and Asset Pricing: Evidence from China's A-Share Market", (with Jianhua Gang and Fan chen), under reivew.
“FinTechs in China-with a Special Focus on Peer to Peer Lending,” (with Caroline Stern and Mikko Makinen), Journal of Chinese Economic and Foreign Trade Studies, 10(3), 215-228 (also circulated as BOFIT Policy Brief, 2017 No. 8).
"Risk-Adjusted Performance of Mutual Funds: Evidence from China, " (with Jianhua Gang), Emerging Markets Finance and Trade, 52(9),2056-2068, 2016. Intro/Link
"Do Speculative Bubbles Migrate in the Chinese Stock Market?" (with Terence Chong, Qing He and Zhe Fei), forthcoming in Empirical Economics.
“Volatility Managed-Portfolio of Mutual Funds”,(with Jilin Jiang and Jianhua Gang), working paper.
"Over-reaction and stock return reversal in China", (with Jianhua Gang and Tiange Xu), working paper.
"On the Rationality of the Housing Market: Project-level Evidence from China’s First-tier Cities", (with Yifan Chen and Jianhua Gang), under review.
"Risk Factors and Asset Pricing: Evidence from China's A-Share Market", (with Jianhua Gang and Fan chen), under reivew.
“FinTechs in China-with a Special Focus on Peer to Peer Lending,” (with Caroline Stern and Mikko Makinen), Journal of Chinese Economic and Foreign Trade Studies, 10(3), 215-228 (also circulated as BOFIT Policy Brief, 2017 No. 8).
"Risk-Adjusted Performance of Mutual Funds: Evidence from China, " (with Jianhua Gang), Emerging Markets Finance and Trade, 52(9),2056-2068, 2016. Intro/Link
"Do Speculative Bubbles Migrate in the Chinese Stock Market?" (with Terence Chong, Qing He and Zhe Fei), forthcoming in Empirical Economics.
Inflation
"Trade Openness and the Phillips Curve: the Neglected Heterogeneity and Robustness of Empirical Evidence," (with Sylvester Eijffinger), International Review of Economics and Finance, 44, 13-18, 2016. Intro/Link
"Trade Openness and the Phillips Curve: the Neglected Heterogeneity and Robustness of Empirical Evidence," (with Sylvester Eijffinger), International Review of Economics and Finance, 44, 13-18, 2016. Intro/Link
中文论文(in Chinese):
"中国系统性金融风险的度量——基于实体经济的视角"， （与何青、刘伟合著），《金融研究》2018年第4期。
"人民币区域化能促进贸易一体化吗？" （与王芳、张策、何青合著），《国际金融研究》2017年第7期。
“企业外汇风险管理策略研究”， （与孙挺合著），《海外投资与出口信贷》2017年第6期。
"我国货币政策有效性及其与股票市场的交互影响"，（与李戎、孙挺合著），《经济理论与经济管理》2017年第3期。
"央行如何实现汇率政策目标—基于在岸-离岸人民币汇率联动的研究", (与王芳、甘静芸、何青合著)，《金融研究》2016年第4期。
"人民币国际化与“一带一路”沿线国家对华贸易“，（与刚健华、李昊泽合著），《国际金融研究》2015年增刊（人民币国际化特刊）。
"房地产驱动了中国经济周期吗？"，（与何青、郭俊杰合著），《经济研究》2015年第12期。
"中国货币政策对金融稳定和主权债务风险的影响”，（与刚健华合著）， 《经济理论与经济管理》2015年第6期。
“治理通胀：行政干预还是市场手段-基于通货膨胀惯性的分析”， (与何青合著）， 《经济研究》2013年增1期。
“通胀内在持续性与通胀目标制在中国的适用性”，《国际金融研究》2010年第5期。
“中国通货膨胀的历史度量、影响因素及发展趋势”，《投资研究》2010年第4期。
“中国的通货膨胀决定模型”， 中国通货膨胀成因的研究（刘元春编），中国人民大学出版社2008年出版。
“中国CGE模型与人民币升值”，（与刘元春合著）， 《经济学动态》2006年第一期。
"中国系统性金融风险的度量——基于实体经济的视角"， （与何青、刘伟合著），《金融研究》2018年第4期。
"人民币区域化能促进贸易一体化吗？" （与王芳、张策、何青合著），《国际金融研究》2017年第7期。
“企业外汇风险管理策略研究”， （与孙挺合著），《海外投资与出口信贷》2017年第6期。
"我国货币政策有效性及其与股票市场的交互影响"，（与李戎、孙挺合著），《经济理论与经济管理》2017年第3期。
"央行如何实现汇率政策目标—基于在岸-离岸人民币汇率联动的研究", (与王芳、甘静芸、何青合著)，《金融研究》2016年第4期。
"人民币国际化与“一带一路”沿线国家对华贸易“，（与刚健华、李昊泽合著），《国际金融研究》2015年增刊（人民币国际化特刊）。
"房地产驱动了中国经济周期吗？"，（与何青、郭俊杰合著），《经济研究》2015年第12期。
"中国货币政策对金融稳定和主权债务风险的影响”，（与刚健华合著）， 《经济理论与经济管理》2015年第6期。
“治理通胀：行政干预还是市场手段-基于通货膨胀惯性的分析”， (与何青合著）， 《经济研究》2013年增1期。
“通胀内在持续性与通胀目标制在中国的适用性”，《国际金融研究》2010年第5期。
“中国通货膨胀的历史度量、影响因素及发展趋势”，《投资研究》2010年第4期。
“中国的通货膨胀决定模型”， 中国通货膨胀成因的研究（刘元春编），中国人民大学出版社2008年出版。
“中国CGE模型与人民币升值”，（与刘元春合著）， 《经济学动态》2006年第一期。