RESEARCH
RESEARCH-
20
2022/10
Chuanwang Sun: Time-varying pure contagion effect between energy and nonenergy commodity ...
This paper combines the Kalman filtering technique and the time-varying parameter vector autoregression model with stochastic volatility model to explore pure contagion effects between energy a...
View More
-
20
2022/04
Xiangyu Feng: Are deficits free?
Deficit finance, a.k.a. pay-go policy, is free when growth rates routinely exceed safe government borrowing rates. Or so many say. This note presents four counterexamples based on four versions...
View More
-
05
2021/11
Jian Chen: Investor attention and stock returns
We propose an investor attention index based on proxies in the literature and find that it predicts the stock market risk premium significantly, both in sample and out of sample, whereas every...
View More
-
20
2021/09
Junnan Zhang: Coase Meets Bellman: Dynamic Programming for Production Networks
We show that competitive equilibria in a range of models related to production networks can be recovered as solutions to dynamic programs. Although these programs fail to be contractive, we pr...
View More
-
20
2021/09
Yinggang Zhou: How Do “Gatekeepers” Affect Credit Risk?
This study investigates the relationship between auditor tenure and credit default swap (CDS) spreads of U.S. firms based on quantile regression. After allowing for common determinants of CDS s...
View More
-
20
2021/06
Yongmiao Hong: Time-varying model averaging?
Structural changes often occur in economics and finance due to changes in preferences, technologies, institutional arrangements, policies, crises, etc. Improving forecast accuracy of economic t...
View More
-
25
2021/02
Yongmiao Hong: China is becoming more deeply integrated into the global economic system
MA XUEJING/CHINA DAILYChina has been a major beneficiary of globalization, which has driven rapid growth of the global economy.China plays an important role in the global market and a leading ...
View More