JCER Seminar Series

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.

Xuan 22/10

22 Oct, Thur, 16:10-17:40

玄春姬 Xuan, Chunji

吉林大学

Jilin University

Structural Break in the Mean of Dividend-Price Ratios:

Implications of Learning on Stock Return Predictability (published)

Abstract:

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.

Liu 29/10

29 Oct, Thur, 16:10-17:40

刘定 Liu, Ding

西南财经大学

Southwest University of Finance and Economics

量价货币政策冲击识别、传导渠道及突发事件应对

摘要:

量价并用是我国货币政策的主要特性之一。各类结构向量自回归（SVAR）模型被用于研究价格型和数量型货币政策，但实证结果差异很大。本文阐述了如何借助结构参数考察不同结果的准确性，且递归或符号策略得到的结果均不准确。随后我们使用多信息源策略识别SVAR模型对比了量价货币政策在效应、传导渠道和应对突发事件的差异，主要得到两点结论：第一，价格型货币政策对产出和通胀的影响稳定且持久，其传导主要通过投资和消费渠道，更适合缓和突发事件的中期影响。第二，数量型货币政策的影响短期更多但持续时间较短，其传导主要通过投资和信贷渠道，更适合缓冲突发事件的短期影响。本文不仅阐明了在应用SVAR模型时需要明确结构参数，也对我国货币政策的实践提供了有益参考。

Lin 03/11

03 Nov, Tue, 16:10-17:40

林发勤 Lin, Faqin

中国农业大学

China Agricultural University

Environmental Regulation and Inward Foreign Direct Investment: Evidence from the Eleven Five-Year Plan in China

Abstract:

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.

Zhou 05/11

Xu 11/11

05 Nov, Thur, 16:10-17:40

周航 Zhou, Hang

上海财经大学

Shanghai University of Finance and Economics

On the Sophistication of Financial Investors and the
Information Revealed by Prices (link)

Abstract：

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

徐永登 Xu, Yongdeng

Cardiff University, UK

DCC-HEAVY: A Multivariate GARCH Model Based on Realized Variances and Correlations (link)

Abstract:

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.

Zhang 12/11

12 Nov, Thur, 16:10-17:40

张兴 Zhang, Xing

Sungkyunkwan University, South Korea

Putting Preference for Randomization to Work (link)

Abstract:

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.

Li 19/11

19 Nov, Thur, 16:10-17:40

李志远 Li, Zhiyuan(link)

复旦大学

Fudan University

International Liberalization and Intranational Deviations from the Law of One Price

Abstract：

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).

Xu 26/11

26 Nov, Thur, 16:10-17:40

徐舒 Xu, Shu

西南财经大学

Southwest University of Finance and Economics

社保征收体制改革、社保费率调整与社保基金收入

摘要：

本文从企业社保规避和转嫁的视角，建立了一个测算社保费率调整和社保征收体制改革如何影响社保基金收入的理论框架。该理论框架有效区别了社保法定缴费率、社保缴费基数下限，和社保征收体制调整这三种政策手段对社保基金收入的差异化影响。同时，该理论框架能有效整合既有实证文献，将文献中的参数估计结果组合成推断不同政策手段对社保基金收入影响的充分统计量。本文的测算结果表明，虽然社保法定缴费率的降低使社保基金收入减少，但社保缴费基数下限的下调却能在给企业减负的同时带来社保基金收入的增加。与此同时，征缴机构由社会保险部门变更为税务部门使得征管强度提升，进而会带来约2.2%-11%的社保基金收入增长。综合来看，2018年施行的《社保征收机构改革方案》与2019年实施的《降低社会保险费率综合方案》使得社保基金收入增加5%-17%，同时带来社会总福利0.39%-0.75%的提升。上述结论表明我国的社保综合改革在实现“降费”的同时有利于缓解社保基金收支平衡压力，增进社会福利。

Brahma 03/12

03 Dec, Thur, 16:10-17:40

Dweepobotee Brahma

National Institute of Public Finance and Policy, India

Early Warning Signs: Targeting Neonatal and Infant Mortality Using Machine Learning

Abstract:

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.

Zhang 10/12

10 Dec, Thur, 16:10-17:40

张俊杰 Zhang, Junjie

昆山杜克大学

Duke Kunshan University

The Value of Information Disclosure: Evidence from Mask Consumption in China

Abstract:

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

王忏 Wang, Chan

中央财经大学

Central University of Finance and Economics

Incomplete Financial markets, food price, and monetary policy in developing countries

Abstract:

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.

Wang 18/12

Eskander 07/01

07 Jan, Thur, 16:10-17:40

Shaikh Eskander

The London School of Economics & Political Science

and Kingston University of London, UK

Do efficiency improvements result in lower livestock emissions? Evidence from the global livestock sector

Abstract:

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.