Research

Brief Research Statement:

I am a PhD candidate at West Virginia University, focusing on macroeconomics, monetary economics, inflation, macro-finance, and bond markets.  My dissertation comprises three papers. The first re-examines the relationship between inflation and money, assessing whether monetary aggregates can accurately predict short-term inflation movements. The second, my job market paper, develops a theoretical model that derives a closed-form solution for optimal portfolio allocation between short-term and long-term government bonds, highlighting the determinant role of inflation. The third paper uses household-level microdata to investigate the ownership behavior of government bonds, money, and near-money assets. In ongoing research, I am collaborating with financial researchers to build an inflation probability distribution function derived from option markets. This approach seeks to capture investors' inflation expectations more accurately and could offer central banks a new tool for inflation forecasting. Looking ahead, I plan to extend my research into the field of fintech, particularly the role of central bank digital currencies (CBDCs) in reshaping monetary systems and bond markets. I believe understanding the interaction between macroeconomic forces, monetary systems, and financial markets is crucial to maintaining economic stability, and I aim to contribute to the development of more effective monetary policy frameworks.

Dissertation:

Three papers on the interaction between macroeconomics, bond markets, and money markets

Optimal Portfolio Choice Between Long-term and Short-term Government Bonds (JMP)

• Seminar series at the University of Essex (Fall 2024, Presenter); and at West Virginia University (Fall 2024, Presenter)

• Western Economic Association International Annual Conference (Scheduled, Summer 2025, Presenter)

• Abstract: Given the U.S. Treasury data indicating a higher preference for long-term government bonds, it is necessary to investigate the optimal household choice for government bonds across maturities. This study develops an intertemporal portfolio choice model with labor income uncertainty. Analytical solutions decompose the optimal choice for long-term government bonds into two components: return demand for the expected excess return on long-term bonds and hedging demand to hedge uncertainty in future labor income. Calibration results reveal that the estimated portfolio share effectively captures the long-run dynamics of actual data. Inflation is a main factor via an affine term structure model. Lastly, using the money demand theory as an example, this article briefly demonstrates how optimal bond allocation can deepen our understanding of broader macroeconomic issues.

• https://drive.google.com/file/d/1tUQolXdAJqT7yXMWfL1dCgpzYt-NvJt1/view?usp=sharing

Who Holds Government-bond Assets? Participation Characteristics and Determinants

• Macro, Money, and Finance Workshop at West Virginia University (Spring 2024, Presenter)

• Abstract: Household ownership of government bond assets has not received sufficient attention. Differentiating between government-backed bond mutual funds, government bonds, and savings bonds, the study provides a comprehensive investigation of household investment in these low-risk assets. First, the descriptive analysis highlights a notable decline in direct ownership in government and savings bonds over recent decades, while indirect holdings through mutual funds or ETFs have risen. Second, factors that influence ownership decisions for risky assets do not affect these three assets. Third, even within significant estimates, they exhibit different, even opposite, effects across asset types. Empirical findings emphasize the heterogeneity and complexity in households' financial decisions.

• https://drive.google.com/file/d/10eNrofxjsRn4OmAxjTsiiEZmtYqGKIQH/view?usp=sharing

Cross-country Evidence on Inflation and the Quantity Theory of Money after COVID-19 (with Scott Schuh)

• Southern Economic Association Annual Conference (Fall 2024, Presenter)

• Abstract: Motivated by significant changes in cross-country price levels after COVID-19, this article investigates whether the Quantity Theory of Money is able to explain post-COVID-19 inflation. We create a dataset from 2001 to 2022 of 71 countries with broad money, real GDP, inflation(both CPI and GDP deflator), and the short-term nominal interest rate. We first prove that the Quantity Theory of Money is alive in the long-run period 2001-2019 and then show that this monetary theory helps predict short-run cross-country inflation after COVID-19 in 2020-2022. Our results also illustrate three additional insights. First, an accurate examination of the Quantity Theory of Money must include the real output and money velocity. Second, the inflation-targeting policy does not break this theory. The only difference between IT and Non-IT policy countries is the relationship between money velocity and nominal interest rates. Third, forecast errors between actual and predicted inflation will fade away quickly over time. In conclusion, money is an indispensable part of any analysis of inflation.

• https://drive.google.com/file/d/19Z6j-pKXH3dllMoGrwMxQf4DnHghVNE3/view?usp=sharing

Works in Progress:

Option-implied Inflation Probability Distribution Function (with Alexander Kurov, Bingxin Li)

The Dynamic Relationship between Economic Policy Uncertainty and Stock Returns in China: Evidence from the Continuous Wavelet Analysis (with Rui Wang, Yinglu Cai)

Household Participation Decisions on Precautionary Savings (with Shanxiang Yang)

Dynamic Relationship between Banking and Currency Crises during Twin Crises Periods

Corruption, State-level Economic Uncertainty, and Household Investment Decisions (with Karadas Serkan, and Shanxiang Yang)

Other Research Projects:

University of Edinburgh, Dissertation

Does the Quantitative Easing Really Restore the U.S. Economy from 2008 to 2012? New Evidence from A Bayesian-VAR Model

Research Assistant Experience:

Development Research Center of the State Council, Beijing, China

Research Assistant (Full-time) - Digital Economy - Sep 2020 - May 2021

Research Assistant (Full-time) - Construction of House Price Index - Nov 2019 - July 2020