Bin Wei


Financial Economist and Associate Policy Adviser
the Federal Reserve Bank of Atlanta

Email: bin.wei@atl.frb.org


Publications & Forthcoming

(5) Optimal Long-Term Contracting with Learning (with Zhiguo He, Jianfeng Yu, and Feng Gao), forthcoming at Review of Financial Studies

With uncertain profitability in dynamic agency relationship, the agent has incentive to shirk to manipulate the principal's future belief, giving rise to a long-lasting hidden information problem. The optimal contract implements time-decreasing effort, and has a feature of "stock options" in that incentive goes up after good performance.


(4) Uncertainty, Risk, and Incentives: Theory and Evidence (with Zhiguo He, Si Li, and Jianfeng Yu), Management Science, January 2014, Volume 60, Issue 1, 206-226.

In contast to a negative risk-incentive relation predicted by standard agency theory, the learning-by-doing effect may lead to a positive uncertainty-incentive relation. We present empirical evidience that is consistent with this prediction.
  • 2013 The Chinese Finance Association (TCFA) Best Paper Award

(3) Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries (with Samir Jahjah and Vivian Zhanwei Yue), Journal of Money, Credit and Banking, October 2013, Volume 45, Issue 7, 1275-1300. 

We find that countries with a less flexible exchange rate regime are less likely to issue bonds and pay higher spreads.


(2) A Model of Portfolio Delegation and Strategic Trading (with Albert S. Kyle and Hui Ou-Yang), Review of Financial Studies, November 2011, Volume 24, Number 11, 3813-3840.

This article endogenizes information acquisition and portfolio delegation in a one-period strategic trading model. We find that, when the informed portfolio manager is relatively risk tolerant (averse), price informativeness increases (decreases) with the amount of noise trading. 

(1) Endogenous Events and Long Run Returns (joint with S. "Vish" Viswanathan), Review of Financial Studies, April 2008, Volume 21, Number 2, 855-888.

We present theory and simulations for event studies when events are endogenous. Applications of the theory to long-term returns after IPOs and SEOs are discussed. 


Selected Working Papers

Ambiguity Aversion and the Variance Premium (with Jianjun Miao and Hao Zhou) 

This paper offers an ambiguity-based interpretation of the variance premium. We find that about 97 percent of the mean variance premium can be attributed to ambiguity aversion.
  • R&R at Management Science

Liquidity Backstop and Dynamic Debt Runs (with Vivian Zhanwei Yue)

We provide a micro-foundation for the role of liquidity backstops in mitigating runs. Using several run episodes in the short-term municipal bond markets during the financial crisis, we identify the value of liquidity backstops around 14.5 basis points per annum.



We find an innovative way to incorporate inflation derivatives data into a no-arbitrage affine term structure model of nominal and real interest rates. Inflation options are very informative and help the model to better forecast inflation than the survey-based inflation forecasts.


Modern financial markets have long intermediation chains (many layers of intermediaries). This paper offers a theory and its empirical assessment.