Yushi Peng

I am a PhD candidate in Finance at the University of Zurich and the Swiss Finance Institute. I am currently on the job market and will be available for interviews during the EEA 2020 and ASSA 2021 meetings.

Research Interests

  • Financial Intermediation

  • Corporate Finance

  • Household Finance

  • Empirical Industrial Organization

  • Real Estate Economics

Job Market Paper

This paper investigates how mortgage credit conditions affect housing markets and the demand for homeownership. Using unique data on homeowners' listings and transactions and exploiting policy-driven changes in mortgage credit conditions in China, I provide empirical evidence that tightened mortgage credit conditions have a negative effect on housing demand and prices. Estimating a structural model of households' demand and supply of residential properties, I obtain measures for market liquidity and bargaining power of home buyers and sellers and find that mortgage interest rates and down payment requirements negatively affect the value of owning residential properties. With counterfactual experiments, I quantify the impact of mortgage interest rates, down payment requirements, property tax rates, and transaction tax rates on housing demand, supply, and prices. At the cost of a welfare loss for home buyers (owners), 1 percentage point higher mortgage interest rates (property tax rates) reduce demand-supply imbalance and decrease the average transaction price by 2.3% (1.9%), which cannot be achieved with higher transaction tax rates.


Working Papers

We study the benefits and costs of collateral requirements in bank lending markets with asymmetric information. We estimate a structural model of firms' credit demand for secured and unsecured loans, banks' contract offering and pricing, and firm default using credit registry data in a setting where asymmetric information problems are pervasive. We provide evidence that collateral mitigates adverse selection and moral hazard. With counterfactual experiments, we quantify how an adverse shock to collateral values propagates to credit supply, credit allocation, interest rates, default, bank profits, and document the relative importance of banks' pricing and rationing in response to this shock.


Work in Progress

  • “Bank Political Connections, Mortgage Contracts, and Real Estate Markets: Evidence from the Mortgage Window Guidance in China”, with Yanjie Wang and Zexi Wang.

  • “The Stock Market Reaction to China’s Overseas Mergers and Acquisitions”, with Ya Zhang.

  • “Credit Default Swaps and Credit Demand”.