Work in progress 

• "Behavioral Limits to Complete Markets", with Jacopo Magnani [view]  

• "Extreme Rainfall and Municipal Financing: Risk Pricing and Adaptive Mitigation by Sponge Cities" with Li Li, Xiangyang Li, Steven Ongena [view] Swiss Finance Institute Research Paper No. 25-25

• "Gains from Targeting? China’s Government Subsidies and Firm Performance" with Jiuli Huang, Min Zhu [view] revise and resubmit at the Journal of Corporate Finance

• "Security Design: An Experiment", with John Duffy, Jacopo Magnani, Jean Paul Rabanal and Olga Rud 

• "Gender and Behavioral Biases in Team Decision-making: A Monetary Policy Experiment", with Colin Green, Jacopo Magnani and Yufei Xue 

• "Government Guarantees and Dynamic Debt Runs" with Jacopo Magnani [view]  revise and resubmit at the  Review of Finance

• "Investors Awaken: Fragility in China's Wealth Management Product Market" with Zhang Wu [view] HKIMR Working Paper No.12/2024 revise and resubmit at the Journal of Empirical Finance

• "Bond Lending and the Law of One Price in China's Treasury Markets" with Jacopo Magnani [view] 

Publications

"Local guarantees and SOE bond pricing in China" with Sharon Xiaohui Wu [view] China Economic Review (2023)

Abstract: We study the changing landscape of credit market guarantees in China. Using primary market bond issuance data, we identify a province premium that captures the perceived local government support for local SOEs. We find that on average the perceived local government support is on the decline, while the subnational debt market has become more segmented since 2018. This evidence is found to be closely related to the divergence in local government’s fiscal space and the occurrence of SOE default incidents in the area, highlighting the adverse linkage between public debt and corporate financing costs. 

"Shadow Banking and the Bank Lending Channel of Monetary Policy in China" with Xiaoqiang Cheng [view]   Journal of International Money and Finance (2022)

Abstract: We study how shadow banking affects the effectiveness of monetary policy in China. We identify a mechanism in which banks alter their risk profile by moving risky assets off the balance sheet. This lowers the sensitivity of bank’s funding cost and bank lending to monetary policy. Our findings have novel implications for the regulation of banks’ off-balance sheet activities. 

"Efficiency of Dynamic Portfolio Choices: An Experiment" with Jacopo Magnani, Jean Paul Rabanal and Olga Rud [view] Review of Financial Studies (2022)

Abstract: We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (i) nonpooled with 2^T terminal states, and (ii) pooled with T+1 unique terminal states. The results suggest that within each environment, efficiency is lower under a static format, and when the number of final states is larger. In the nonpooled dynamic task, which allows for path-dependent strategies, we find that efficiency losses are driven by a form of stop-loss strategy.

"Liquidity of China's Government Bond Market: Measures and Driving Forces" with Gaofeng Han and Hui Miao [view] Economic and Political Studies (2022) HKIMR Working Paper No.03/2021 [view] working paper version 

Abstract: We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market over the past twenty years. The index is a composite of popular price-based and quantity-based metrics of liquidity. The composite index points to a better liquidity condition after 2010. Market liquidity swings appear to be highly correlated with domestic funding liquidity and financial market volatility, but display less correlation to global macro financial indicators. Our findings suggest that further deepening of government bond market would support domestic financial stability and monetary operations down the road.

"Durable Goods Adoption and Household Time Allocation: Evidence from China" with Ishani Tewari, [view], Economic Development and Cultural Change (2021)

Abstract: We estimate the effect of labor saving household technologies on female labor force participation. To establish the causal link between durable ownership and household time allocation, we exploit price shocks generated by the “Home Appliances to the Countryside” promotion, a rebate offered by the Chinese government to rural households for durable appliances. Following the rebate, eligible households had higher durable ownership, significant reductions in housework, as well as sizable increases in market work time and female LFP. In particular, we find time reallocation is driven by females, rather than males, in the household. Further, females with primary-only education are most likely to adopt appliances, reduce housework and participate in the labor market.

"Fickle Capital Flows and Retrenchment: Evidence From Bilateral Banking Data" [view], Journal of International Money and Finance (2018)

Abstract: This paper examines the response of cross-border banking flows to economic uncertainty. I show that while banks reduce their exposure to a foreign country when it becomes more risky, they tend to increase their exposure to their home country in bad times (a retrenchment). Further looking into this puzzle,  I find that most of the current theories, based on either information asymmetries between foreign and domestic investors or institutional risk, cannot explain bilateral data well. On the other hand, the results show that global crises have an asymmetric impact on the risk attitudes of banking institutions towards country-specific uncertainty: global crises make investors more risk-averse towards foreign uncertainty, but have no effect on the responsiveness to domestic uncertainty.

"Home Production and China's Hidden Consumption" [view], Review of Income and Wealth (2018)

Abstract: I present a structural approach to estimate the value of home production in China. The structural model incorporates stylized facts about the time allocation of Chinese households, such as the active participation of retired individuals in home production. Estimates based on the China Health and Nutrition Survey show that the aggregate value of home production as a fraction of adjusted GDP fell at a rate of 2.7% per year over the last decade in China. However, a significant part of China’s private consumption was still satisfied through unpaid home production in 2009, amounting to roughly 18% of adjusted GDP.

"How Do Emerging Markets Respond to Macroeconomic Shocks? Dynamic Panel Evidence on the Effects of Disasters" [view], Open Economies Review (2017)

Abstract: Business cycles in emerging markets are characterized by several features that seem difficult to reconcile with consumption smoothing, such as volatile consumption and strongly countercyclical current accounts. Using a newly constructed dataset on disaster events, this paper provides direct evidence about exogenous shocks and their transmission in emerging markets. My results show that political shocks and terrorist attacks can drive business cycles in emerging markets, having a significant and long-lasting negative effect on output and the domestic components of aggregate absorption. I also test whether savings, investments and the current account respond to these shocks as suggested by forward-looking models.

"Income Uncertainty, Consumer Durables Investment and Home Production: Evidence From China" with Yuhan Xue, [view], Contemporary Economic Policy (2017)

Abstract: We investigate the effect of uncertainty on home durable purchase decisions, and empirically evaluate the efficacy of consumer durable policies under uncertainty. A model of lumpy home capital adjustment shows that elevated uncertainty leads households to adopt a cautionary perspective and postpone their capital adjustment. We test this prediction using micro evidence from China where both uncertainty and home production are substantial.