教学项目
教师与研究
学生发展
国际交流
校友
合作发展
研究机构
关于我们

【学术预告】香港大学经管学院助理教授Yang Liu学术研讨会:Currency Risk Under Capital Controls

时间: 2022-05-25 10:00 来源: 作者: 浏览量:7739 字号: 打印


主题:Currency Risk Under Capital Controls

主讲人:Yang Liu,香港大学经济及工商管理学院助理教授

时间:525日(周三)10:00-11:30

地点:线上(Zoom)

语言:英文

 

摘要:

Currencies of emerging markets with stricter capital controls have lower average returns. These return spreads cannot be explained by traditional currency risk factors. The effect of capital controls is concentrated in debtor countries and is not present in currencies of advanced economies. The low-capital-control currencies depreciate less in times of high global risk, measured by VIX or currency implied volatility. This evidence is consistent with the macroprudential view of capital controls. In an equilibrium model where a country borrows subject to an occasionally binding credit constraint, capital controls can reduce the crises probability and mitigate the currency crashes in crisis times. The model quantitatively accounts for the empirical findings.  

 

主讲人介绍

Dr. Yang Liu is an Assistant Professor of Finance at the University of Hong Kong. His research interests span international finance, asset pricing, and macroeconomics. He published in leading academic journals such as Journal of Financial Economics and Review of Financial Studies. His research has won the Best Paper Award of the Annual Conference in International Finance and the Cubist Systematic Strategies Award of the Western Finance Association. He was a visiting scholar at the International Monetary Fund and a research associate at the Federal Reserve Bank of Philadelphia. He received his Ph.D. in Economics from the University of Pennsylvania.