Research
I have a broad interest in financial economics and international finance, with a concentration on the international financial market, international currency, exchange rate regimes, as well as cross-border capital flows.
Publications
1. Financial Economics
What is the impact of introducing a parallel OTC market? Theory and evidence from the Chinese interbank FX market (with Craig Holden, Vova Lugovskyy, and Daniela Puzzello) [Paper] Published at Journal of Financial Economics, 2021
We find large banks, large size trade migrated from the centralized LOB to a decentralized OTC market.
Over-the-counter versus double auction in asset markets with near-zero-intelligence traders (with Yaosong Zhan) [Paper] Published at Journal of Economic Dynamics and Control, 2022
We use artificial-intelligence (AI) traders to study the price efficiency of OTC market and double auction.
Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method (with Jinbo Huang, Ashley Ding and Yong Li) [Paper] Published at Pacific-Basin Finance Journal, 2020
We provide a novel non-parametric method to estimate the VAR.
2. International Finance
Trade, Finance and International currency (with Tao Liu and Wing Thye Woo ) [Paper] Published at Journal of Economic Behavior and Organization, 2019
We provide a theory on the synergies of roles played by international currency in trade and finance, later on followed by Gopinath and Stein (2021 QJE) and Chahrour and Valchev (2021, RES).
Quantifying Adaptation Costs in Sequential FDI Location Choices: Evidence from German Firms (with Aiyong Zhu) [Paper] Published at Journal of International Money and Finance, 2024
We develop a dynamic structural model of how firms make sequential decisions regarding where to invest and quantify the magnitude of country-specific adaptation costs.
External debt currency denomination and the currency composition of foreign exchange reserves (with Xingwang Qian, and Wenyu Zhu) [Paper] Published at Pacific-Basin Finance Journal, 2024
We examine the causal relation between reserve currency composition and external debt currency denomination.
China's Monetary Policy Surprises and Corporate Real Investment (with Huoqing Tang and Chengsi Zhang) Published at China Economic Review, 2023
We follow Kutnner (2001) and Gertler and Karadi (2015) to use financial market data to estimate China's monetary policy shock.
A parsimonious model of trade, finance, and endogenous currency choices in international reserves (with Yuhao Mu) [Paper] Published at Economics Letters, 2023
A simple model extends Gopinath and Stein (2018) to examine optimal currency composition in reserves.
"Wait and See" or "Fear of Floating"? (with Xiaowen Lei and Kenneth Kasa) [Paper] Published at Macroeconomic Dynamics, 2022
We rationalize the optimal band of the RMB/USD exchange rate.
Global financial conditions, capital flows and the exchange rate regime in emerging market economies (with Jialin Liu and Hang Zhou) [Paper] Published at Journal of International Financial Markets, Institutions & Money, 2022
The flexible exchange rate regime stabilizes capital flows when the global risk aversion is low, particularly for gross liability flows; however, it fails to play such a role when the global risk aversion is high.
Foreign Exchange Intervention and Monetary Policy Rules under a Managed Floating Regime: Evidence from China (with Xia Tian and Hang Zhou) [Paper] Published at Applied Economics, 2022
We examine the consequences of FX intervention in monetary policy under a managed floating regime.
Trade, Finance and Endogenous Invoicing Currency: Theory and Firm-Level Evidence (with Tao Liu) [Paper] Published at Pacific-Basin Finance Journal, 2019
We provide a sticky-price model of invoicing currency choices in international trade and test the model's predictions using firm-level data.
Working papers
Search Frictions in Over-the-Counter Foreign Exchange Markets: Theory and Evidence (with Aiyong Zhu, and Daniela Puzzello) [Paper] Revised and Resubmit at International Economic Review
Financial Panics in a Small Open Economy (with Chenxi Wang, Hang Zhou) [Paper] Submit to Journal of Monetary Economics
We incorporate financial panics within a conventional small open economy model to characterize the dynamics of financial crises caused by international capital flows.
Decentralized Trading Institutions in Experimental Asset Markets: Over-the-Counter versus Double Auction (with Shuze Ding, and Daniela Puzzello) [Paper] Revised and Resubmit at Journal of Economic Behavior and Organization