Working Paper:

• “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” an invited review article for the Annual Review of Financial Economics, 2018. Economic Uncertainty Index or Variance Risk Premium (pdf figure) and Underlying Data (txt file) are updated till December 2022. The variance risk premium is defined as the difference between the risk-neutral and objective expectations of realized variance, where the risk-neutral expectation of variance is measured as the end-of-month VIX-squared de-annualized (VIX^2/12) and the realized variance is the sum of squared 5-minute log returns of the S&P 500 index over the month. Both variance measures are of monthly basis in percentage-squared and are available in real time at the end of observation month. Expected variance is a statistical forecast of realized variance by researcher's own choice: the one using simple lag realized variance is suitable for predictability exercise, as there is no modeling assumption involved and all the information is available at time-t. 

• Derivative-Market Leverage and Risk Premia Implications (with Ke Tang and Jing Zhao), SUSTech Business School and Tsinghua University PBC School of Finance, 2022.

• Margin Trading and Leverage Management (with Jiangze Bian, Zhi Da, Zhiguo He, Dong Lou, and Kelly Shue), Tsinghua University PBC School of Finance, 2021.

• Variance Risk Premiums in Emerging Markets (with Fang Qiao, Lai Xu, and Xiaoyan Zhang), PBC School of Finance at Tsinghua University, 2018.  

• China's Anti-Corruption Campaign and Credit Reallocation from SOEs to non-SOEs (with Bo Li and Zhengwei Wang), PBC School of Finance at Tsinghua University, 2017.

• Shadow Banking: China's Dual-Track Interest Rate Liberalization (with Hao Wang, Honglin Wang, and Lisheng Wang), PBC School of Finance at Tsinghua University, 2015.

Research Publication:    

• The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Financing Cost (with Andrew Ang and Jennie Bai), Journal of Finance and Data Science, vol. 9, pages https://doi.org/10.1016/j.jfds.2023.100098, 2023.

• “Term Structure of Interest Rates with Short-Run and Long-Run Risks," with Olesya Grishchenko and Zhaogang Song, Journal of Finance and Data Science, vol. 8, pages 255-295, 2022.

• “Does Fiscal Policy Matter for Stock-Bond Return Correlation?” with Erica X.N. Li, Tao A. Zha, and Ji Zhang, Journal Monetary Economics, vol. 128, pages 20-34, 2022.

• “Moment Risk Premia and Stock Return Predictability,” (with Zhenzhen Fan and Xiao Xiao), Journal fo Finanial and Quantitative Analysis, vol. 57, pages 67-93, 2022.

• “Specification Analysis of Structural Credit Risk Models,” with Jing-Zhi Huang and Zhan Shi, Review of Finance, vol. 24, pages 45-98, 2020.

• “Short-Run Bond Risk Premia,” with Philippe Mueller and Andrea Vedolin, Quarterly Journal of Finance, vol. 9, pages 1950011:1-34, 2019.

• “Ambiguity Aversion and the Variance Premium,” with Jianjun Miao and Bin Wei, Quarterly Journal of Finance, vol. 9, pages 1950003:1-36, 2019.

• “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Annual Review of Financial Economics, vol. 10, pages 481-497, 2018. 

• “Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy,” with Steven Wei Ho and Ji Zhang, Journal of Money, Credit, and Banking, vol. 50, pages 1543-1569, 2018.

• “Do Behavioral Biases Affect Order Aggressiveness?” with Jiangze Bian, Kalok Chan, and Donghui Shi, Review of Finance, vol. 21, pages 1121-1151, 2018.

• “Variance Risk Premiums and the Forward Premium Puzzle,” with Juan M. Londono, Journal of Financial Economics, vol. 124, pages 415–440, 2017.

• “Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data,” (with Song Han), Quarterly Journal of Finance, vol. 3, pages 1650012:1-49, 2016.

• “Risk, Uncertainty, and Expected Returns,” with Turan Bali, Journal of Financial and Quantitative Analysis (lead article), vol. 51, pages 707-735, 2016.

• “The Systemic Risk of European Banks During the Financial and Sovereign Crises,” with Lamont Black, Ricardo Correa, and Xin Huang,  Journal of Banking and Finance, vol. 63, pages 107-125, 2016.

• “Stock Return and Cash Flow Predictability: The Role of Volatility Risk,” with Tim Bollerslev and Lai Xu, Journal of Econometrics, vol. 187, pages 458-471, 2015.

• “Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence,” with Tim Bollerslev, James Marrone, and Lai Xu, Journal of Financial and Quantitative Analysis, vol. 49, pages 633-661, 2014.

• “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou, Journal of Banking and Finance, vol. 37, pages 3733-3746, 2013.

• “Systemic Risk Contributions,” with Xin Huang and Haibin Zhu, Journal of Financial Services Research, vol. 42, pages 55-83, 2012.

• “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang and Haibin Zhu, Journal of Financial Stability, vol. 8, pages 193-205, 2012.

• “Realized Jumps on Financial Markets and Predicting Credit Spreads,” with George Tauchen, Journal of Econometrics, vol. 160, pages 235-245, 2011.

• “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities,” with Tim Bollerslev and Mike Gibson, Journal of Econometrics, vol. 160, pages 102-118, 2011.

• “Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms,” with Ben Zhang and Haibin Zhu, Review of Financial Studies, vol. 22, pages 5099-5131, 2009.

• “Bond Risk Premia and Realized Jump Risk,” with Jonathan Wright, Journal of Banking and Finance, vol. 33, pages 2333-2345, 2009.

• “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Journal of Banking and Finance, vol. 33, pages 2036-2049, 2009.

• “Expected Stock Returns and Variance Risk Premia,” with Tim Bollerslev and George Tauchen, Review of Financial Studies, vol. 22, pages 4463-4492, 2009.

• “Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions,” with Tim Bollerslev, Journal of Econometrics, vol. 131, pages 123-150, 2006.

• “Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle,” with Ravi Bansal and George Tauchen, Journal of Business and Economic Statistics, vol. 22, pages 396-409, 2004.

• “Ito Conditional Moment Generator and the Estimation of Short Rate Processes,” Journal of Financial Econometrics, vol. 1, pages 250-271, 2003.

• “Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility,” with Tim Bollerslev, Journal of Econometrics, vol. 109, pages 33-65, 2002.

• “Term Structure of Interest Rates with Regime Shifts,” with Ravi Bansal, Journal of Finance, vol. 57, pages 1997-2043, 2002.

• “Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model,” Journal of Computational Finance, vol. 2, pages 89-122, 2001.

• “Rural-Urban Disparity and Sectoral Labor Allocation in China,” with Dennis Tao Yang, Journal of Development Studies, vol. 35, pages 105-133, 1999.

Policy Activity:

• SVB Moment, China Finance 40 Forum, 2023.

• China's Monetary Policy—Short-term Optimality, Mid-term Effectiveness, and Long-term Nonneutrality, Tsinghua Financial Review, 2023.

• China's Monetary Policy—Short-term Optimality, Mid-term Effectiveness, and Long-term Nonneutrality, Shanghai Development Research Fund, 2022.

• The Paradigm Shift of Fed Interest-Rate Rule, International Asset Reallocation, and China's Macro Policy Response, 4Reasons Executive Education, 2022.

• The Positive Role of Finance in Stablizing Supply Chain Disruptions, Tsinghua Financial Review, 2022. 

• Federal Reserve Interest Rate Hike and Its Impact on the Chinese Economy, Shanghai Development Research Fund, 2022.

• Fed Monetary Policy Exectation and Its Impact on the Chinese Economy, Global Asset Management Forum, 2022.

• Financial Stability Legislation and Bailout Funds, China Finance 40 Forum, 2022.

• The Top Choice of International Asset Allocation is RMB, Taikang Longevity Summit Forum in Shenzhen, 2021.

• 2021 Semi-Annual Report of China's Systemic Financial Risk, Tsinghua Financial Review, 2021.

• Deepening Reform and Openning-Up - Dual Circulation Development Pattern, Tsinghua Financial Review, 2021.

• FinReg Safeguards FinTech, PBC School of Finance at Tsinghua University, 2020.

• Monetary Theory and Monetary Policy under Covid-19, PBC School of Finance at Tsinghua University, 2020.

• Covid-19 Pandemic and Rising Global Debt, PBC School of Finance at Tsinghua University, 2020.

• China's economic bounceback can be a model for world economies, Opinion at Nikkie Asian Review, May 4, 2020.

• 2019 Semi-Annual Report of China's Systemic Financial Risk - Policy Shift and Economic Revovery, PBCSF Global Financial Forum, 2019.

• What causes stock market crashes, from Shanghai to Wall Street, Chicago Booth Review, 2019.

• Systemic Risk, Policy Response, and RMB amid Economic Slowdown, Keynote Speech at dbAccess 2019 China Conference in Shenzhen, 2019.

• A Reform Perspective on China's Macroeconomy and Financial Policy, Keynote Speech at Financial Policy Conference---Reforms and Liberalization of China's Capital Markets, PBC School of Finance at Tsinghua University, 2018.

• How China's Anti-Corruption Campaign is Moving Financing Away from State-Owned Enterprises? Pro-Market, the blog of the Stigler Center at the University of Chicago Booth School of Business, 2018. 

• Annual Report of China's Systemic Financial Risk and Xinhua News Report - China Fines Banks over Wealth Management Transgressions, 2018.

• A Financial Regulatory Regime Reform Template to Ensure Financial Stability of the Chinese Economy, and the Release Conference in Beijing, 2018.

• The Chinese Paradigm of Financial Reform and Development－New Structural Financial Economics, MIT Sloan School of Business, Central Party School, London School of Economics, and Peking University School of New Structural Economics, 2017.

• Shadow Banking: China's Dual-Track Interest Rate Liberazation, VoxChna Publication, 2017.

• Systemic Risk of China's Financial System, VoxChina Publication, National Institute of Financial Research, Tsinghua University, 2017.

• The Right Path and Proper Pace of RMB Exchange Rate Reform, PBoC Internal Policy Meeting, State Council Research Office, Tsinghua PBCSF Financiers Forum, 2017.

• Economic Benefits of China’s Anti-Corruption Campaign: Evidence from Financial Markets, Shanghai Institute of Finance and Law, Hongru Financial Education Foundation, 2016.

• Financial Regulatory Reform in China, Caixin, China Securitization Forum, 2016.

• DSGE with Chinese Characteristics, PBoC-FRBNY Hangzhou Conference, 2016.

• RMB, Federal Reserve Board, PBoC Internal Policy Meeting, Caixin, 2016.

• Hamiltonian Solution to China’s Local Government Debt, Central Reserve Bank of Peru and Reinventing Bretton Woods Committee, PBC Global Financial Forum, 2015.

• Dispelling Fears about RMB Devaluation, Institute of New Economic Thought, 2015.

• The New Normal of U.S.-China Monetary Policy, Tsinghua Alumni Association in U.S., 2015.

• The New Normal of China’s Monetary Policy, Tsinghua Nomura Research Institute, 2015.

• Structural Monetary Policy and SME Financing Problem, China Western Forum, 2014.

• China’s Shadow Banking, PBoC-IMF Joint Conference, 2014.

• Fed QE Exit and Its Effect on China’s Economy, PBoC Internal Policy Meeting, 2013.

• Financial Stability in U.S. and Systemic Risk in Europe, PBC School of Finance, 2013.

Award & Honor:

• 2022 Elsevier Highly Cited Chinese Researchers—Applied Economics, 2023.

• Journal of Finance and Data Science the Outstanding Paper in Fixed-Income Award 2022 for “Term Structure of Interest Rates with Short-Run and Long-Run Risks,” with Olesya Grishchenko and Zhaogang Song, 2023.

• 2021 Elsevier Highly Cited Chinese Researchers—Applied Economics, 2022.

• Shenzhen Peacock Plan – A Class (鹏城孔雀计划A类), Shenzhen, 2021.

• “Option-Implied Crash Risk Premia and Carry Trade Returns,” with Zhenzhen Fan, Juan Londono, and Xiao Xiao, Research Proposal Award, Canadian Derivatives Institute, 2018.

• “Leverage Network and Market Contagion,” with Jiangze Bian, Zhi Da, and Dong Lou, the WRDS Best Paper Award in Asset Pricing at SFS Cavalcade Asia-Pacific, 2017.

• “Leverage-Induced Fire Sales and Market Crashes,” with Jiangze Bian, Zhiguo He, and Kelly Shue, China Finance Annual Meeting, Best Paper Award, 2017.

• “Leverage Network and Market Contagion,” with Jiangze Bian, Zhi Da, and Dong Lou, China Financial Research Conference, Best Paper Award, 2016.

• “Do Behavioral Biases Affect Order Aggressiveness?” with Jiangze Bian, Kalok Chan, and Donghui Shi, CFA Institute Asia Pacific Capital Market Research Award, 2015.

• Best Teaching and Mentoring Award (for graduate students), Tsinghua University, 2014.

• Thousand Talents Program, China, 2014.

• “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities,” with Tim Bollerslev and Mike Gibson, Whitebox Selected Research Best Financial Research Paper finalist, 2012.

• “Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence,” with Tim Bollerslev, James Marrone, and Lai Xu, China International Conference in Finance Best Paper Award, 2011.

• “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Crowell Memorial Prize 3rd Place by PanAgora Asset Management, 2010.

• “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Chicago Quantitative Alliance (CQA) Academic Competition 3rd Place, 2009.

• “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang and Haibin Zhu, BankScope Best Paper Prize of the 22nd Australasian Finance and Banking Conference (AFBC), 2009.

• “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou，Imperial College London Centre for Hedge Fund Research (CHFR) Research Proposal Award, 2009.

• “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou，Global Association of Risk Professionals (GARP) Research Proposal Award, 2009.

• “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Bocconi Centre for Applied Research in Finance (CAREFIN) Research Proposal Award, 2008.

• “Short Course on Asset Pricing Puzzles,” China Center for Economic Research (CCER) of Peking University, Oversea Young Chinese Forum (OYCF) Gregory C. and Paula K. Chow Teaching Fellowship, 2005.