Publications/Accepted Papers

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

• Based on the 3rd chapter of my PhD dissertation. 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] Accepted at International Economic Review

• Based on the first chapter of my PhD dissertation.  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.

Trade, Finance and International currency  (with Tao Liu  and Wing Thye Woo ) [Paper] Published at Journal of Economic Behavior and Organization, 2019

• Based on the 2nd chapter of my PhD dissertation. 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).

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.

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.

Working papers

Financial Panics in a Small Open Economy (with Yang Jiao, Chenxi Wang, Hang Zhou)    [Paper] Submitted.

• We incorporate financial panics within a conventional small open economy model to characterize the dynamics of financial crises caused by international capital flows.

Safe Asset Scarcity and Multipolar International Currency (with Chenxi Wang, Meihe E, Yuhao Mu, and Yuanqian Peng)   [Paper] Submitted.

• 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 and Lin Li)   [Paper] Submitted.

• 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.

Price discovery in parallel decentralized OTC and centralized LOB markets (with Yuhao Mu, Meihe E, Hongjie Xie)  

• We study information revelation in parallel OTC and LOB market in the context of China's interbank FX market.

Informed Trading in Parallel Markets: Theory and Evidence (with Biao Guo and Jushen Zou) Draft coming soon.

Price limit, volatility and gambling activity (with Longjiang He and Ke Wu) Draft coming soon.

Hegemony or harmony? A unified framework for international monetary system (with Tao Liu, Liang Wang) 

Foreign direct investment and leverage adjustments (with Jinning Hou, Wenyu Zhu) 

The announcement effect on international currency choices: theory and evidence (with Han Han, Tao Liu)