Research
Working Paper:
Abstract: We examine the transmission mechanisms of the Federal Reserve's announcements to equity markets worldwide. We propose a model that explores the monetary policy spillover effects through central bank coordination and production networks. We estimate the model using spatial panel econometric methods with interactive fixed effects breaking down the overall impact of U.S. monetary policy shocks into four distinct components: 1) interest rate effects, 2) direct effects on domestic demand, 3) network effects through international demand, and 4) risk premium effects. Our findings highlight the significant contributions of all effects, with the risk premium and direct effects being the most important.
Sticky Leverage and Debt Overhang: Evidence from Foreign-Denominated Debt in Latin America, with Guojun Chen and Jinyu Liu
Abstract: When debt obligations have a fixed nominal value, a monetary expansion reduces the real burden of existing debt and boosts firm performance, even when firms reside in foreign countries. By investigating Mexican and Brazilian publicly listed companies with substantial dollar-denominated debt, we show that a more dollar-indebted firm experiences higher increases in equity value, capital expenditure, and sales after a U.S. monetary expansion, especially when such foreign-denominated debt has long maturity. Moreover, we find that a larger net export position amplifies the responses of dollar-indebted firms to U.S. monetary shocks.
Letting Old Data Speak: Local Cultural Traits in Qing China Grain Prices, with T. Terry Cheung and Kwok Ping Tsang
Abstract: Detecting data manipulation in the Qing dynasty (1644-1912) reveals that such cheating behavior has persisted in modern China, for centuries. Qing prefectural officials were responsible for assembling local grain price data. We use the fact that grain prices are seasonal and cannot stay constant for a prolonged period as an indicator for Qing data manipulation. Using the instrumental variable approach, we find that Qing data quality reliably predicts data misreporting and exaggeration in modern China. We also identify that persistence was higher in more affluent places, like treaty port and coastal areas, where cheating can lead to higher rewards. slides
The Impact of Stay-at-Home Orders on US Output: A Network Perspective, with Kwok Ping Tsang and Zichao Yang.
Trade Credit and Bank Lending: A Two-Way Interaction and Its Macroeconomic Effect, coming soon
Published and Forthcoming Research Papers:
Propagation of shocks in An Input-Output Economy: Evidence From Disaggregated Prices, with Daniel Villar. Journal of Monetary Economics, 2023, Volume 137, Pages 26-46
Carnegie-Rochester-NYU Conference on Public Policy, Nov. 2022
Risk and Return in the Foreign Exchange Market: Measurement without VARs, International Finance, 2022, Volume 26(1) ,Pages 64-81. Online Appendix.
The Price Adjustment Hazard Function: Evidence from High Inflation Periods, with Daniel Villar. Journal of Economic Dynamics and Control, 2021, Volume 130, Article 104135.
Propagation of Financial Shocks in an Input-Output Economy with Trade and Financial Linkages of Firms, Review of Economic Dynamics, 2020, Volume 36, Pages 246-269. (First version: Oct 2015), Replication File.
The Skewness of Price Change Distributions: A New Touchstone of Sticky Price Models, with Daniel Villar, Journal of Money, Credit and Banking, 2021, Volume 53(1), Pages 41-72 (First version: Oct 2015), Online Appendix
Elasticity of Attention and Optimal Monetary Policy, with Kwok Ping Tsang, Online Appendix, Economics Letters, 2020 (194), Article 109393
China and World Output Impact of the Hubei Lockdown During the Coronavirus Outbreak, with Kwok Ping Tsang, Contemporary Economic Policy, 2020, Volume 38(4), Pages 583-592
The Best Article Award for 2020, Contemporary Economic Policy
Previously circulated under the title of “How Much of China and World GDP Has The Coronavirus Reduced?”.
Mentioned by popular press (e,g, Wall Street Journal, NBC Radio, Reuters)
Exchange Rates, Risk Premia, and Inflation Indexed Bond Yields, with Richard Clarida, The Role of Currency in Institutional Portfolios, ed. Rick Levich, Risk Books and Journals, London. 2015