Seminar Schedule, Fall 2020
Regularly 16:10-17:40 on Thursday, with a few exceptions.
All times displayed in Beijing time.
For further information on the talks, please check the detailed section. Some parts are with links to the speakers' bio or work.
24 Sept, Thur, 16:40-18:10
Digital Footprints as Collateral for Debt Collection
We examine the role of borrowers' digital footprints in debt collection. Using a large sample of personal loans from a fintech lender in China, we find that the information acquired by the lender through borrower's digital footprints can increase the repayment likelihood on delinquent loans by 18.5%. The effect can be explained by two channels: bonding borrower's obligations with their social networks and locating borrowers' physical addresses. Moreover, the lender is more likely to approve loan applications from borrowers with digital footprints, even though these borrowers have a higher likelihood of delinquency. The use of digital footprints remains legitimate in many instances under stringent privacy protection regulations and fair debt collection practices. Our findings suggest that digital footprints, as a new type of collateral, can ultimately enhance financial inclusion by facilitating the lender's collection of delinquent loans.
22 Oct, Thur, 16:10-17:40
In their out-of-sample predictions of stock returns in the presence of structural breaks, Lettau and Van Nieuwerburgh (2008) implicitly assume that economic agents’ perception of the regime-specific mean for the dividend-price ratio is time-invariant within a regime. In this paper, we challenge this assumption and employ least squares learning with constant gain (or constant-gain learning) in estimating economic agents’ time-varying perception for the mean of dividend-price ratio. We obtain better out-of-sample predictions of stock returns than in Lettau and Van Nieuwerburgh (2008) for both the U.S. and Japanese stock markets. Our empirical results suggest that economic agents’ learning plays an important role in the dynamics of stock returns.
29 Oct, Thur, 16:10-17:40
03 Nov, Tue, 16:10-17:40
Environmental Regulation and Inward Foreign Direct Investment: Evidence from the Eleven Five-Year Plan in China
This paper investigates whether environmental regulations affect inward foreign direct investment. The identification uses the reduction target policy for air pollutants during 11th Five Year Plan period implemented by the Chinese government in 2006. Our difference-in-difference-in-differences estimation explores three-dimension variations; specifically, prefecture (i.e., high target prefectures versus low target prefectures), industry (more polluting industries relative to less polluting ones), and year (i.e., before and after 2005). We find that tougher environmental regulations lead to less inward foreign direct investment (FDI) through increasing the probability of exit and reducing the probability of entry of foreign invested enterprises. Mechanism analysis shows that foreign invested enterprises with relatively low productivity demonstrate strong negative response. This allocation of resource improves industry productivity.
05 Nov, Thur, 16:10-17:40
周航 Zhou, Hang
Shanghai University of Finance and Economics
Does sufficient sophistication on the reasoning of financial traders lead to rational expectation equilibrium? We provide an answer by studying a simple exchange economy with complete markets and asymmetric information. Each trader is either a fundamentalist, who knows the probability distributions of random shocks, or a speculator trying to infer the actual probability from asset prices. Starting with the naive beliefs that asset prices transmit no information, the speculators learn the mapping from asset prices to probabilities through level-k reasoning. We characterize the necessary conditions on convergence to rational expectations equilibrium for some specific utility functions (CRRA and CARA) and discuss the general case. Our results are that: (1) convergence to rational expectations requires that speculators have less market impact than fundamentalists; (2) convergence, when it takes place, occurs in an oscillating manner; and (3) asset prices can be more volatile than at rational expectations equilibrium when speculators display low sophistication.
11 Nov, Wed, 16:10-17:40
This paper introduces the DCC-HEAVY and DECO-HEAVY models, which are dynamic models for conditional variances and correlations for daily returns based on measures of realized variances and correlations built from intraday data. Formulas for multi-step forecasts of conditional variances and correlations are provided. Asymmetric versions of the models are developed. An empirical study shows that in terms of forecasts the new HEAVY models outperform the BEKK-HEAVY model based on realized covariances, and the BEKK, DCC and DECO multivariate GARCH models based exclusively on daily data.
12 Nov, Thur, 16:10-17:40
This study examines the utilization of randomization device—coin-flipping—to help resolve choice difficulty in a series of experiments. In a randomized field experiment, potential donors choose between two similarly favorable charities. We find when a coin-flipping option is included to decide between the two charities, the donation rate increases by 20 percent. Consistent with the notion of preference for randomization, results from two subsequent laboratory experiments show that participants are more likely to choose the coin-flipping option when the decision takes more time to make, when the two charities are similarly attractive, or when participants exhibit stochastic choice.
19 Nov, Thur, 16:10-17:40
International Liberalization and Intranational Deviations from the Law of One Price
Literature usually takes a bilateral perspective when studying the deviations from the Law of One Price (LOP). This paper shows that trade relation with a third party (or region) might be important in affecting the price deviations between two markets. We develop a simple open-economy model showing that international trade liberalization can reduce the volatility of deviations between cities with a country. We find strong supporting evidence using highly disaggregated monthly retail price data of China. The paper demonstrates that a non-bilateral perspective might be needed when studying the deviations from LOP under circumstances such as when the pair of markets experienced large changes in trade with a third country (or region).
26 Nov, Thur, 16:10-17:40
03 Dec, Thur, 16:10-17:40
This paper builds predictive models for the incidences of neonatal and infant mortality using multiple parametric and non-parametric Machine Learning (ML) techniques. The consensus of the top predictors from the interpretable ML algorithms (that we use) serve as leading indicators of neonatal and infant mortality and enables us to identify a ‘high-mortality risk’ group of mothers and infants using a household survey data from India. Given the imbalance nature of the data (‘rare-event’ problem) as robustness check we use additional ML methods that are tailor-made for the purpose. The identification of this at-risk population is an important aspect of the government of India’s ‘India Newborn Action Plan’ which has been launched as part of World Health Organization’s Global ‘Every Newborn Action Plan’ and is particularly useful for the creation of targeted public health policies. In addition to identifying some socio-economic, health and behavioral characteristics/predictors of the target group, our analysis also sheds lights on some policy relevance.
10 Dec, Thur, 16:10-17:40
The Value of Information Disclosure: Evidence from Mask Consumption in China
We study the effect of information provision on avoidance behaviors. The identification is based on a staggered roll-out of air pollution information and a unique dataset of high-frequency mask purchase transactions in China. Using a generalized difference-in-differences approach, we estimate that the provision of air pollution information increases expenditures on PM2.5 respirators by 31.9. The effect, driven by the improved information quality and the adding of PM2.5 information, is enhanced by people's increased attention to pollution avoidance and mainly exists during polluted days. Our results highlight the potential benefits of information provision on inducing effective pollution avoidance and improving health outcomes.
18 Dec, Fri, 16:10-17:40
Incomplete Financial markets, food price, and monetary policy in developing countries
In a small open developing economy model with incomplete financial markets and a subsistence level of food consumption, headline inflation targeting performs better in terms of stabilizing the economy, thus generating welfare gains relative to core inflation targeting. By incorporating the input-output linkages between sectors and endogenous capital accumulation, we reexamine this result and conclude that, compared with headline inflation targeting, core inflation targeting is more successful in stabilizing the economy, thereby improving welfare outcomes. The main reason is that the spillover effect produced through the input-output linkages between sectors, together with endogenous capital accumulation, amplify the depressing effect of the higher interest rate present under headline inflation targeting regime. By contrast, a slight increase in the interest rate under core inflation targeting regime is more helpful in stabilizing the economy.
07 Jan, Thur, 16:10-17:40
and Kingston University of London, UK
Do efficiency improvements result in lower livestock emissions? Evidence from the global livestock sector
Adoption of more efficient production techniques is the major driver behind reducing emissions in the global livestock sector. However, estimated effectiveness may suffer from measurement errors if market responses to such efficiency improvements are not accounted for, which can lead to formulation of less efficient policies. We investigate the presence of rebound effects that explain the factors limiting the potential emissions-reduction effect of efficiency improvements in the global beef production systems during 1990-2017. We develop theoretical, numerical, and econometric frameworks suitable to empirically investigate the relationship between production efficiency, the required heads of cattle, and emissions while controlling for market factors, allowing us to estimate the extent of rebound effects. Our results demonstrate that market factors partially offset the emission-reduction benefits of livestock productivity improvements, indicating that calculations failing to include market factors may overestimate the effect of efficiency improvements. These results have policy implications for climate change adaptation and mitigation strategies: efforts to reduce livestock emissions based on efficiency improvements might be hampered if the effects of mediating factors are not considered. Estimated rebound effects vary between industrialized and developing countries.