Field of Interests
Financial Economics, International Finance.
Financial Economics, International Finance.
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.
Search Frictions in Over-the-Counter Foreign Exchange Markets: Theory and Evidence (with Aiyong Zhu, and Daniela Puzzello) [Paper] Published at International Economic Review
We use the whole market data from China's FX market to examine how search frictions affect market performances, such as bid-ask spreads, asset holding distributions and counterparty selection.
The Announcement Effect on International Currency Choices: Theory and Evidence (with Han Han and Tao Liu ) [Paper] Published at Journal of International Money and Finance, 2026
We provide a micro-founded model to analyze the annoucement effect on international currency choices.
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 search-based 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).
Safe Asset Scarcity and Multipolar International Currency (with Chenxi Wang, Meihe E, Yuhao Mu, and Yuanqian Peng) [Paper] Published at Economics Letters, 2025.
We propose a model to study multipolar international currency equilibrium based on Chahrour and Valchev (2022, RES).
FinTech as a Mitigation of Uncertainty Shocks on Consumption: Evidence from Digital Wealth Management in China (with Jialin Liu, Lin Li, Meihe E) [Paper] Published at China Economic Review, 2025.
We find that digital wealth management mitigates the response of consumption to uncertainty shocks: residents who participate in digital wealth management, especially in risky asset investments, have a lower reduction in consumption.
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 market.
Decentralized Trading Institutions in Experimental Asset Markets: Over-the-Counter versus Double Auction (with Shuze Ding, and Daniela Puzzello) [Paper] Published at Journal of Economic Behavior and Organization, 2025
We use experimental methods to evaluate the performance of OTC versus Double Auction market.
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.
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.
Financial Panics in Open Economies (with Yang Jiao, Chenxi Wang, Hang Zhou) [Paper] Revised and Resubmit at Journal of International Economics.
We incorporate financial panics within a conventional small open economy model to characterize the dynamics of financial crises caused by international capital flows.
Informed Trading in Parallel OTC and LOB Markets: A Peek Behind the Curtain (with Meihe E, Yuhao Mu, and Daniela Puzzello) [Paper] Submitted to Review of Finance.
We study information revelation in parallel OTC and LOB market in the context of China's interbank FX market.
Reducing Dollar Reliance: Central Bank Swap Lines and Currency Competition in Trade Finance (with Meihe E, Jialin Liu, and Tao Liu) Submitted to Journal of International Money and Finance
This paper demonstrates that while stability-focused central bank swap lines can successfully displace the US dollar in trade finance by lowering offshore borrowing costs, the rise of market-led USD stablecoins acts as a powerful countervailing force that can fully neutralize these state-driven gains.
Toward a Theory of International Currency with Parallel Onshore and Offshore Markets (with Chenxi Wang) Submitted to JET
We propose a theory of international currency with parallel onshore and offshore financial markets under imperfect capital mobility.
Hegemony or harmony? A unified framework for international monetary system (with Tao Liu, Liang Wang) Submitted to JET
A Shield for Safety: How China’s Bilateral Currency Swap Agreements Affect Offshore RMB Borrowing Costs (with Meihe E, Wenyu Zhu)
Price limit, volatility and gambling activity (with Longjiang He and Ke Wu) Draft coming soon.
Foreign direct investment and leverage adjustments (with Jinning Hou, Wenyu Zhu)