Research

[View My Research Statement]

1. What Does It Take? Quantifying Cross-Country Transfers in the Eurozone, with YiLi Chien, Matteo Leombroni and Hanno Lustig
   Underlying the "whatever-it-takes", monetary guarantee lies a cross-country, fiscal transfer from Eurozone core to periphery.

2. China's Overseas Lending in Global Finance Cycle
   China's rising presence in international finance, which has long lagged behind its prominence in international trade, now interacts with U.S. monetary policy to reshape global financial dynamics.

3. When Does Idiosyncratic Risk Generate Asset Bubbles?, with Xuning Ding
   Idiosyncratic risk can generate asset bubbles in heterogeneous-agent economies. Wealth inequality is the key determinant: bubbles arise only if agents expect to become extremely poor relative to population average.

4. Reserve Asset Competition and the Global Fiscal Cycle, with Robert Richmond
   Competition between sovereign issuers in the reserve asset market gives rise to strategic complementarity, which drives a distinct global fiscal cycle.

5. Monetary-Fiscal Coordination with International Hegemon, with Xuning Ding
   In open economy, monetary dominance and fiscal dominance are not the only modes of policy coordination. We find a third possibility---hegemon dominance regime---where one country has active monetary and fiscal policies pursuing separate goals, while foreign policies are fully accommodative, a useful benchmark to explain U.S.-foreign dynamics.

6. Convenience Lost, with Robert Richmond and Tony Zhang
   Long-term Treasury's convenience yields are substantially more sensitive to supply changes than short-term Treasury's. Recent fiscal expansion depressed bond convenience yields heterogeneously across maturities.

7. Dollar Upheaval: This Time is Different, with Arvind Krishnamurthy, Hanno Lustig, Robert Richmond, Chenzi Xu
   The tariff war led to a depreciation of dollar despite rising U.S. interest rates and market volatility, which is highly unusual. These asset market responses suggest that investors started to question the role of the dollar as the reserve currency.

1. US Fiscal Cycle and the Dollar, Journal of Monetary Economics (2021) [Replication Files]

2. Fiscal Cyclicality and Currency Risk Premia, Review of Financial Studies (2022) [Replication Files]
   Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research

3. The U.S. Public Debt Valuation Puzzle, with Hanno Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan, Econometrica (2024) [Replication Files] [Reply to John Cochrane's Blog Posts]
   Featured in [NBER Digest], [Financial Times]

4. What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didn't Bark, with Hanno Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan, Journal of Finance (2024) [Replication Files]

5. Exorbitant Privilege Gained and Lost: Fiscal Implications, with Zefeng Chen, Hanno Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan, Journal of Political Economy (2025)
   Cited by [Economic Report of the President (2025)]

6. Manufacturing Risk-free Government Debt, with Hanno Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan, Journal of Financial Economy (Accepted)

7. Bond Convenience Yields in the Eurozone Currency Union, with Hanno Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan, Review of Financial Studies (Accepted)
   Cited by [Philip Lane's Keynote at Government Borrowers Forum (2025)]

8. Reserve Asset Competition and the Global Fiscal Cycle, with Robert Richmond

9. Monetary-Fiscal Coordination with International Hegemon, with Xuning Ding

10. When Does Idiosyncratic Risk Generate Asset Bubbles?, with Xuning Ding

11. What Does It Take? Quantifying Cross-Country Transfers in the Eurozone, with YiLi Chien, Matteo Leombroni and Hanno Lustig

[Discussion by John Cochrane]

1. Foreign Safe Asset Demand and the Dollar Exchange Rate, with Arvind Krishnamurthy and Hanno Lustig, Journal of Finance (2021) [Replication Files]
   Cited by [Economic Report of the President (2022)]

2. Dollar Safety and the Global Financial Cycle, with Arvind Krishnamurthy and Hanno Lustig, Review of Economic Studies (2024) [Replication Files]

3. The Reserve Supply Channel of Unconventional Monetary Policy, with William Diamond and Yiming Ma, Journal of Financial Economics (2024), Editor's Choice [Replication Files]
   Featured in [NBER Digest] and [Central Banking]

4. Convenience Yields and Exchange Rate Puzzles, with Arvind Krishnamurthy, Hanno Lustig, and Jialu Sun, Revise and Resubmit at Econometrica
   (Old title: Beyond incomplete spanning: Convenience yields and exchange rate disconnect)

5. China's Overseas Lending in Global Finance Cycle

6. Exorbitant Privilege: A Safe-Asset View

7. Implications of Asset Market Data for Equilibrium Models of Exchange Rates, with Arvind Krishnamurthy and Hanno Lustig

8. Market Incompleteness and Exchange Rate Spill-over

9. Quantitative Tightening with Slow-Moving Capital, with Jialu Sun

1. Origins of International Factor Structures, with Robert Richmond, Journal of Financial Economics (2023) [Replication Files]

2. A Portfolio Approach to Global Imbalances, with Robert Richmond and Tony Zhang, Journal of Finance (2024) [Replication Files]
   Best Paper Award at the Vienna Symposium on Foreign Exchange Markets
   Nasdaq Award for the Best Paper on Asset Pricing at Western Finance Association

3. The Liquidity Premium of Digital Payment Vehicle, with Zefeng Chen, Management Science (2024) [Replication Files]

4. The Rest of the World's Dollar-Weighted Return on U.S. Treasurys, with Arvind Krishnamurthy and Hanno Lustig, IMF Economic Review (2024)
   Featured in [MarketWatch], [CentralBanking], [Hutchins Roundup]

5. Understanding the Strength of the Dollar, with Robert Richmond and Tony Zhang, Journal of Financial Economics (2025) [Replication Files]
   Featured in [NBER Digest], [Kellogg Insight]
   Yuki Arai Faculty Research Prize, NYU Stern
   Best Paper Award at the Vienna Symposium on Foreign Exchange Markets

6. International Policy Coordination in a Multisectoral Model of Trade and Health Policy, with Viral Acharya, Robert Richmond and Ernst-Ludwig von Thadden, Revise and Resubmit at the Journal of International Economics
   Substantial revision of earlier paper Divided We Fall: International Health and Trade Coordination During a Pandemic

7. Convenience Lost, with Robert Richmond and Tony Zhang
   Featured in [NBER Digest]

1. Personality Differences and Investment Decision-Making, with Cameron Peng and Hongjun Yan, Journal of Financial Economics (2024) [Replication Files]
   Featured in [Wall Street Journal], [Yahoo Finance], [Manager Magazin], [Kellogg Insight]

2. Investor Memory and Biased Beliefs: Evidence from the Field, with Hongqi Liu, Cameron Peng, and Hongjun Yan, Quarterly Journal of Economics (2025) [Replication Files]
   Behavioral Finance Best Paper Award at China Financial Research Conference

1. The Rise of China as an International Lender, VoxEU (2025), Center for Economic and Policy Research

2. What Drives Fluctuations in Exchange Rates? An Asset Market Perspective, with Arvind Krishnamurthy and Hanno Lustig, NBER Reporter (2024), National Bureau of Economic Research

3. Fiscal Capacity: An Asset Pricing Perspective, with Hanno Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan, Annual Review of Financial Economics (2023)

4. Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis, with Hanno Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan, Brookings Papers on Economic Activity (2022), Brookings Institution

5. A Valuation Approach to Government Balance Sheet, America's Fiscal and Economic Outlook (2021), Peterson Foundation

6. Foreign Safe Asset Demand and the Dollar Exchange Rate, with Arvind Krishnamurthy and Hanno Lustig, AEA Papers and Proceedings (2018), American Economic Association

1. Currency Returns in Different Time Zones

2. Convenience Yields and Asset Pricing Models, with Robert Richmond