预告｜2022国际宏观金融学术研讨会-学说文章

预告｜2022国际宏观金融学术研讨会

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2022/06/20 07:23发布

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主办单位

西南财经大学金融学院

西南财经大学中国金融研究院

会议日程安排

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主办方简介

西南财经大学造始于1925年在上海创建的光华大学，1938年抗战内迁成都，几经风雨，始终经世济民，孜孜以求。新中国成立后，与国家建设发展同频共振，历经四川省属高校，中国人民银行行属高校，教育部直属高校等重要历史发展阶段。把握进入211工程建设，进入国家985工程优势学科创新平台建设，双一流学科建设等重大历史发展机遇。新时代西南财经大学瞄准世界一流，正朝着建设财经特色鲜明、高水平、研究型大学努力前行。

School of Finance (SWUFE)

西南财经大学金融学院办学历史悠久、实力雄厚。学科办学历史可追溯到1925年光华大学商科银行学系。1998年金融学被评为中国人民银行行属重点学科，2002年金融学科在教育部组织评审中综合实力排在全国首位，成为首批国家重点学科。为整合金融学科资源，今年我校将原金融学院、保险学院、证券与期货学院合并组成新的金融学院，打造“大金融”学科体系，以学科建设为龙头，提高学科核心竞争力，构建特色鲜明的研究型、创新型学院。

Institute of Chinese Financial Studies (SWUFE)

西南财经大学中国金融研究院以原中国金融研究中心为主体，是教育部唯一的国家级金融研究基地，先后入选“中国核心智库”、“中国智库索引（CTTI）来源智库”、“中国大学智库100强”。依托于国内一流的金融学科实力和建设水平，中心不断加强与国际国内知名高校、研究机构和实务机构的协同交流，以高度开放和深度合作助推双一流建设。中心高度重视宏观金融研究，成立宏观金融团队等创新团队，平台团队建设取得明显成效；打造了《中国金融安全报告》《全球系统性风险趋势报告》等中国金融安全系列报告；金融安全、宏观金融品牌影响力日益扩大；智库建设成果显著，其中“金融安全协同创新中心”已成功入选省部共建协同创新中心，成为中国金融领域智库的重要力量。

嘉宾简介

尹庆双

Qingshuang Yin

西南财经大学党委常委、副校长。经济学博士，教授，博士生导师。教育部“高等学校优秀青年教师教学科研奖励计划”、“霍英东教育基金会高等院校青年教师奖 ”获得者，中国人民银行优秀教师，四川省教学名师，四川省学术带头人，四川省有突出贡献专家。兼任教育部高校学校公共管理类学科教学指导委员会副主任委员，四川省委省政府决策咨询委员会专家委员，四川省外国经济学说研究会副会长。他先后承担国家国家级、省部级及横向科研课题30余项，公开出版或发表科研成果50余项。多项成果被《新华文摘》、《人大报刊复印资料》全文转载，多项成果获国家及省部级科研奖励。

王擎

Qing Wang

西南财经大学金融学院、中国金融研究院院长，教育部长江学者特聘教授，教育部新世纪优秀人才，国务院政府特殊津贴获得者。中国金融学会理事、中国国际金融学会理事，国家社科基金重大项目首席专家。主要研究领域包括：系统性金融风险、金融稳定与金融安全、金融体系与实体经济相互作用的金融摩擦、货币政策在金融体系中的传导等。王擎教授近5年在《中国社会科学》、《经济研究》、《管理世界》、《金融研究》、《数量经济与技术经济》、《财贸经济》等期刊发表文章20余篇。

苗建军

Jianjun Miao

现任美国波士顿大学经济系金融学终身教授。苗建军教授的主要研究领域为Financial Economics, Macroeconomics, Industrial Organization, Public Finance。担任国际经济金融期刊Quantitative Economics, Economic Theory, Macroeconomic Dynamics, Annals of Economics and Finance副主编。自2003年以来，苗建军教授已在American Economic Review, American Economic Journal: Macroeconomics, Econometrica, International Economic Review, Journal of Economic Theory, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, Review of Financial Studies, and Theoretical Economics等国际顶尖金融学和经济学期刊上发表论文50余篇，编纂教材 Economic Dynamics in Discrete Time。

查涛

Tao Zha

著名华人经济学家，世界计量经济学会(Econometric Society)院士。亚特兰大联邦储备银行数量经济研究中心执行主任；埃默里大学经济系教授。Quantitative Economics 联合主编；American Economic Journal: Macroeconomics 编委；Journal of Econometrics 副主编；曾任Econometrica 副主编；Macroeconomic Dynamics副主编；Journal of Applied Econometrics 副主编。他的主要研究方向是货币经济学和经济计量学。从1996年至今在全球顶级经济学期刊 American Economic Review, Journal of Political Economy, Review of Economic Studies, Econometrica 等期刊上发表40多篇论文。

王鹏飞

Pengfei Wang

北京大学深圳研究生院副院长，北京大学汇丰商学院院长、经济学讲席教授，教育部“重大人才项目奖励计划”讲座教授，国家杰出青年基金获得者，中国经济学年会宏观经济学专业委员会主任委员。2007年于美国康奈尔大学获得经济学博士学位后，先后但任香港科技大学商学院教授，清华大学五道口金融学院特聘教授、北京大学汇丰商学院讲席教授。目前兼任Journal of Mathematical Economics期刊副主编、The B.E. Journal of Macroeconomics期刊副主编、《经济学报》副主编。

王鹏飞教授主要研究领域为宏观经济学、金融经济学、货币经济学。目前，主持国家杰出青年科学基金项目和国家自然科学基金原创探索计划项目等多项重大课题。在Econometrica, American Economic Review, Journal of Finance, Journal of Financial Economics, Quantitative Economics, Journal of Monetary Economics, Journal of Economic Theory等国际一流期刊发表论文40余篇，在动态随机一般均衡理论、资产泡沫与金融危机、多重均衡与内生经济波动等领域取得了令人瞩目的研究成果，是一位在宏观经济学领域具有国际影响力的经济学家。2017年，王鹏飞教授获得中国顶尖国际经济学奖项——浦山奖；2019年入选教育部“重大人才项目奖励计划”讲座教授；2020年获得Northern Finance Association学术会议评选的最佳资产定价论文奖；2021年获国家杰出青年科学基金和国家自然科学基金原创探索计划项目立项资助。

宋铮

Zheng Song

现为香港中文大学经济系教授，香港中文大学社会科学院杰出学人，清华大学与香港中文大学中国经济研究联合中心主任，清华大学经管学院杰出访问教授。宋铮教授的研究领域为中国经济和宏观经济学。他的学术兼职还包括China Economic Review联合主编，Econometrica副主编，亚洲金融经济研究局资深会员，罗汉堂会员，中国经济学基金会学术委员会委员，香港货币及金融研究院学术顾问等。在加入香港中文大学之前，宋铮任芝加哥大学布斯商学院经济学副教授。他曾在经济学顶尖期刊American Economic Review, Econometrica, Journal of Political Economy上发表过论文，论文“Growing like China”获孙冶方经济学奖。

陈晖

Hui Chen

麻省理工学院斯隆管理学院野村金融讲席教授、上海交通大学上海高级金融学院特聘教授、美国国家经济研究局研究员。研究领域是资产定价及其与公司金融的关系，尤其是宏观经济和信用风险、流动性风险、融资及投资决策之间的相互影响。他的研究成果大量发表在Review of Financial Studies, Journal of Monetary Economics, Journal of Financial Economics, Journal of Finance等顶级学术期刊上，并被评为第六届IDC凯撒中心学术国际年会（the Caesarea Center 6th Annual Academic Conference IDC）、中国国际金融会议（China International Conference in Finance）等最佳论文奖，并于2011年获得由美国金融学会颁发的史密斯·布雷登奖（Smith-Breeden）。

薛涧坡

Jianpo Xue

厦门大学王亚南经济研究院和经济学院教授，福建省闽江学者，博士生导师。主要研究领域为宏观经济学、财政理论与政策、货币经济学。在国际国内一流经济学学术期刊发表多篇论文，包括Journal of International Economics, Journal of Money, Credit and Banking, Journal of Economic Dynamics and Control, Economic Theory以及《管理世界》、《管理科学学报》、《财贸经济》等，作为项目负责人承担多项国家级研究项目。担任《中国经济问题》副主编。

梅冬州

Dongzhou Mei

经济学博士，教育部青年长江学者，中央财经大学国际经济与贸易学院教授，博士生导师，中央财经大学首届“龙马青年学者”。专业研究领域为开放宏观和动态随机一般均衡模型，目前已在国内外知名期刊《经济研究》、《管理世界》、《世界经济》、《Economics Systems Research》等期刊上发表论文四十余篇，主持和参与国家自然科学面上项目、青年基金项目、教育部课题、北京市社科基金共计十余项，相关成果获得“洪银兴经济学奖”。

徐彤

Tong Xu

西南财经大学中国金融研究院副教授。他获得埃默里大学经济系博士学位。他的研究领域包括宏观经济学和金融学，特别是金融自由化、商业周期中的金融中介和中国房地产市场。

崔巍

Wei Cui

伦敦大学学院(UCL)经济系讲师，毕业于清华大学(本科)和普林斯顿大学（博士）。其主要研究方向为评估资产流动性对企业生产和融资的影响，带有金融市场摩擦的货币财政效果，以及金融摩擦和相关政策对财富和收入不平等的影响。所写论文发表于Journal of European Economic Association, Journal of Monetary Economics, American Economic Review (papers and proceedings)等著名国际期刊杂志。

罗荣华

Ronghua Luo

西南财经大学金融学院教授、博士生导师，副院长。入选中宣部宣传思想文化青年英才项目和四川省“天府青城计划”金融英才项目。主持和主研科技部重大项目、国家自然科学基金项目面上项目和青年项目、国家社科基金重大项目和一般项目、教育部人文社科项目和四川省社科基金重大项目等课题10多项。在Annals of Statistics, Journal of Business and Economic Statistics, Journal of Banking and Finance,《经济学季刊》,《中国工业经济》和《金融研究》等国内外权威期刊上发表文章40余篇,编写出版《FoF管理：策略与技术》等专著和教材。获得四川省一流本科课程《金融计量学》负责人、四川省课程思政示范教学团队《金融学专业核心课程群教学团队》负责人、山东省教育与教学改革成果奖一等奖、四川省教育与教学改革成果奖二等奖、中国金融工程年会优秀论文一等奖和二等奖、中国金融学年会优秀论文二等奖、四川省金融学学会优秀论文一等奖和二等奖、西南财经大学优秀科研成果奖等奖励。

陈凯迹

Kaiji Chen

美国埃默里大学终身副教授和美联储亚特兰大分行研究员，《China Economic Review》副主编。他主要研究领域为宏观经济学和金融经济学。他已在American Economic Review， NBER Macroeconomic Annual,American Economic Journal: Macroeconomics, Journal of Monetary Economics等国际顶尖学术期刊发表论文十多篇。近年来，他的研究集中于中国宏观经济，特别是其和金融部门和货币政策的关系，研究课题包括中国房地产泡沫，影子银行和货币政策，经济周期和趋势等。其研究成果被华尔街日报在内的多家国际财经媒体所报道。作为主要课题负责人，他的研究项目“量化中国金融部门和宏观经济的相互关系：结构性方法”于2016年获得美国国家科学基金会（National Science Foundation）的项目资助。2018年获得第三届孙冶方金融创新奖。

刘铮

Zheng Liu

旧金山联邦储备银行国际研究部副总裁、环太平洋地区研究中心主任、高级研究顾问。他曾任埃默里大学经济学副教授（终身教职）。刘铮教授还曾作为访问学者出访欧洲央行和联邦储备银行、明尼苏达大学和波士顿大学。刘铮教授的主要研究领域包括宏观经济学、货币经济学、国际金融。他的多篇论文发表在American Economic Review, Econometrica, Economic Journal, and Journal of Monetary Economics等核心期刊。他也担任多家学术期刊的副主编。刘教授曾获2016年孙冶方金融创新奖，并多次获得埃默里大学的Teaching Consultation Pairs Award。

黄毅

Yi Huang

复旦大学金融学教授，黄教授曾任瑞士日内瓦高级国际关系及发展学院百达私人银行金融和发展讲席副教授（Pictet Chair in Finance and Development) 、世界经济论坛全球议程理事会委员和国际货币基金组织（IMF) 研究部经济学家.黄教授是欧洲经济政策研究中心（CEPR）和亚洲经济金融研究局(ABFER)成员。他还曾担任国际清算银行(BIS)、联邦储备银行全球化与货币政策中心、香港金管局金融研究中心、北京大学数字金融研究中心和罗汉堂研究员。黄教授曾在麻省理工学院斯隆商学院、帝国理工大学商学院、伦敦政治经济学院、伦敦商学院和长江商学院学术访问。研究领域涵盖国际金融、全球宏观政策与金融体系、数字技术创新、企业家商业实践和家族传承与财富管理。文章主要发表 Review of Economic Studies, Journal of Finance, Management Science 等国际顶级期刊。曾获得亚洲金融学会最佳论文、中国国际金融学年会最佳论文、首届金融科技研究尖峰奖和先锋奖。瑞士国家自然科学基金和香港研究资助局重大项目研究资助。

汤勇军

Dragon Yongjun Tang

现任香港大学经管学院金融学教授,博士生导师，教育部长江学者讲座教授，亚洲金融学会旗舰学术期刊《International Review of Finance国际金融评论》主编。曾任香港大学金融系主任，以及为包括香港绿色和可持续金融中心，世界银行集团国际金融公司，亚洲开发银行和香港金融管理局香港金融研究中心等机构提供专家意见和咨询。他多次在国际学术会议上获得最佳论文奖，包括2021年Global Research Alliance for Sustainable Finance and Investment 最佳论文奖，并且获得了包括中国国家自然科学基金，香港研究基金委员会，国际Climate Works Foundation, 美国Q-Group，瑞士BSI Gamma Foundation，加拿大IFSID拨付的研究基金在内的多项研究资金支持以及2013年香港大学研究成果奖，2015年香港大学经管学院杰出研究学者奖。他指导博士生获得首届中国经济学优秀博士论文奖。

学术论文摘要

Asset-market Sentiments and Business-cycle Fluctuations

Abstract：We present a trackable model to accommodate asset-market sentiments in a standard DSGE setting, and thus are able to quantitatively evaluate the Keynesian notion of sentiment-driven macroeconomic fluctuations. In our model, changes in perceptions about uncertainty leads to self-fulfilling fluctuations in real estate prices, which transmit and propagate to the macroeconomy, generating boom-bust cycles. Uncertainty, housing price and the real economy are linked. Quantitatively, our model generates large volatility in the price-rent ratio as well as strong co-movement between housing prices and macroeconomic aggregate variables. The sentiment shock in terms of risk panic is a leading driver of business-cycle fluctuations despite the presence of various competing structural shocks.

Unequal Returns to China’s Intercity Road Network

Abstract：We estimate the returns to infrastructure investments for each city-to-city link in China’s road network. Using real-time GPS data from over half a million trucks, we first identify congested and uncongested links based on whether speed decreases with traffic density. We then estimate the elasticity of traffic flows to the capacity of a link conditional on its congestion status. We incorporate congestion heterogeneity into a trade model with optimal route choices developed by Allen and Arkolakis(2019). Our structural estimation shows that the model can replicate the main features of traffic flow, speed and congestion in the data. The benefit of expanding the capacity of a link is inferred from the estimated model. The cost of the expansion is estimated from construction costs based on physical topography and market value of acquired land. We find that about 64% of China’s intercity links are uncongested and associated with negative returns. The returns are much higher for congested links and the dispersion is generally large. While we focus on marginal local improvements in individual link capacity and do not quantify aggregate misallocation of the entire network, the large dispersion in returns across links suggests there could be misallocation of road infrastructure investment in China. To facilitate comparison, we also analyze real-time traffic flow data for highways in England. In sharp contrast to China, almost all intercity links in England are found to be congested.

The Debt-Equity Spread

Abstract：We propose the debt-equity spread (DES), the difference between the actual and equity-implied credit spreads, as a measure of the valuation gap between debt and equity at the firm and bond level. DES strongly predicts stock and bond returns in opposite directions. A strategy that takes a long position in firms with low DES (indicating that stocks are cheap relative to bonds) and a short position in those with high DES generates an average stock return of 7.72% and bond return of -4.97% per annum. The return predictability is consistently significant over subsamples and is stronger among smaller, less liquid, and more difficult-to-short stocks and bonds. In addition, firms with higher DES tend to have more negative revisions in long-term growth forecasts, issue equity and retire debt more aggressively, and their insiders are more likely to sell their stocks. Together, these findings support DES being a measure of relative mispricing between debt and equity.

Fiscal Puzzles

Abstract：Empirical evidence suggests that private consumption increases but prices decrease to a positive government spending shock. In contrast, most New Keynesian models fail to generate these features. This gives rise to two fiscal puzzles both on the real and nominal sides. In this paper, we show that the notion of Keeping Up with the Joneses, another empirical observation well documented in the literature, can enable an otherwise standard New Keynesian model to generate qualitatively as well as quantitatively realistic aggregate fluctuation in response to an expansionary fiscal policy, and thus resolve the fiscal puzzles.

中国与美国货币政策外溢的非对称性：理论与实证

摘要：伴随中国经济的发展与人民币国际影响力的提升，中国的货币政策也逐渐产生显著的溢出效应。中国与美国货币政策外溢效应是否存在差异？作用渠道是否存在不同？为了回答这些问题，本文通过SVAR模型实证检验了中国和美国货币政策的相互溢出效应，发现两国货币政策的外溢存在明显的非对称性。进一步地，本文构建了一个包含金融摩擦的两国DSGE模型，探讨非对称性的理论逻辑。具体而言，中国货币政策的贸易渠道溢出效应更为明显，即中国提高利率后，国内经济活动收缩，投资和产出下降，进而导致中国从美国的投资品进口下降，从而导致美国的产出下降；而美国货币政策的金融渠道溢出效应更为明显，即美国提高利率后，资本大量流入美国，进而导致中国企业融资成本上升，企业净值下降，在金融加速器的作用下，企业外部融资风险溢价进一步上升，从而加剧中国产出的下滑。在当前中美货币政策分化的背景下，厘清两国货币政策的跨国传导机制，有助于妥善处理中美政策分歧以及实现经济的平稳增长。

The S-curve: Understanding the Dynamics of Worldwide Financial Liberalization

Abstract：Using a novel database of domestic financial reforms in 90 countries over 1973-2014, we document that global financial liberalization followed an S-curve path: reforms were slow and gradual in early periods, accelerated during the 1990s, and slowed down after 2000. We estimate a learning model that explains these dynamics. Policymakers updated their beliefs about the growth effects of financial reforms by learning from their own and other countries’ experiences. Positive growth surprises in advanced economies helped accelerate belief updating worldwide, leading to the global wave of financial liberalization in the 1990s. The 2008 financial crisis, however, caused significant belief reversals.

A Ramsey Theory of Financial Distortions

Abstract：The interest rate on government debt is lower than that of asset with similar payoffs. We study optimal debt management and taxation when the government cannot directly redistribute towards the agents in need of liquidity but otherwise has access to a complete set of linear tax instruments. Optimal public liquidity provision calls for gradually closing the wedge between the returns as much as possible, but tax policy may work as a countervailing force: as long as financial frictions bind, it may be optimal to tax capital even if this magnifies the discrepancy in returns.

China’s Macroeconomic development: An integrated framework

Abstract：There is a large strand of burgeoning literature on China's macroeconomic development over the past several decades. We develop an integrated framework and offer a synthesis of various views and findings provided in the literature. China's rapid macroeconomic development presents a unique case for the success of its economic reforms, a lesson applicable to both emerging market and developed economies. Our framework allows one to address how and why China's macroeconomic policies have evolved to sustain its economic growth.

Turbulent Business Cycles

Abstract：Recessions are associated with sharp increases in turbulence that reshuffle firms' productivity rankings. To study the business cycle implications of turbulence shocks, we use Compustat data to construct a measure of turbulence based on the (inverse of) Spearman correlations of firms' productivity rankings between adjacent years. We document evidence that turbulence rises in recessions, reallocating labor and capital from high- to low-productivity firms and reducing aggregate TFP and the stock market value of firms. A real business cycle model with heterogeneous firms and financial frictions can generate the observed macroeconomic and reallocation effects of turbulence. In the model, increased turbulence makes high-productivity firms less likely to remain productive, reducing their expected equity values and tightening their borrowing constraints relative to low-productivity firms. This leads to a reallocation that reduces aggregate TFP. Unlike uncertainty, turbulence changes both the conditional mean and the conditional variance of the firm productivity distribution, enabling a turbulence shock to generate a recession with synchronized declines in aggregate activities.

Bond Financing Channel of Monetary Policy: Evidence from Chinese Bank Lending

Abstract：Using granular loan-level data from China, this paper proposes the bond financing channel of monetary policy transmission. We study the lending behavior of the bank in response to funding costs fluctuation caused by monetary policy shock. The main findings show that tighter monetary policy would increase loan rate and loan spread through the bond financing channel. In addition, it would also reduce loan volume and increase loan quality. We also explore the heterogeneous effect of monetary policy shock. The pass-through of monetary policy is stronger in the tight monetary policy period, as well as in areas with lower level of economic development, weaker fiscal capacity, and smaller bank penetration.

Climate Laws and Cross-Border Mergers and Acquisitions

Abstract：We examine the impact of climate regulations on cross-border mergers and acquisitions by exploiting the staggered introduction of climate laws in each country. We find that cross-border mergers and acquisitions targeting firms in a particular country decline significantly following the country’s adoption of climate laws. This evidence is more pronounced for firms operating in industries with higher exposure to climate regulations and for countries with stronger legal enforcement. On the other hand, the acquirer country’s concerns about climate change mitigate the relation. Consistent with climate laws imposing restrictions and costs on the value creation of cross-border transactions, we find that deal synergy and premium decline following the passage of climate laws. Moreover, announced bids are more likely to be withdrawn after the target country adopts climate laws. Overall, our findings suggest that national climate regulations can affect international capital flows and resource reallocation.