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publications
Global Monetary Policy Shocks and Export Prices
Published in , 2009
This paper examines how global monetary policies impact the export pricing behaviors of Chinese firms using unexpected exogenous monetary shocks and disaggregated customs export data. Our findings show that the unexpected tightening of the US monetary policy will lead to an increase in China’s export prices. This effect is attributed to a borrowing cost channel, which is related to firms’ trade credit and liquidity conditions. Moreover, the impact of US monetary policy shocks on export prices is more profound for firms that face higher borrowing costs, tighter trade credit and liquidity conditions. To further explain our empirical findings, we develop a heterogeneous firm trade model that incorporates financial frictions and external monetary shocks.
Unconventional Monetary Policy and the U.S. Firm Stock Prices: the Information Effect Revisited
Published in , 2010
This paper provides evidence on the Fed information effect of large-scale asset purchases (LSAP) through the responses of US firm-level stock prices. We first present a novel empirical finding that unexpected expansionary US LSAP shocks, derived from high-frequency future price changes around FOMC announcements, have a negative impact on the stock market during the QE period, with the sign reversing in the latter Taper period. We then show that our findings are consistent with the information effect of LSAP. Specifically, based on the green book projection data of the Fed, we show that an easing policy signals a worsening economic outlook for the Fed, leading to a decrease in equity investors’ confidence. Furthermore, our research reveals that the transmission of LSAP shock’s information effect to the stock market is primarily through the risk premium channel, with more significant impacts on firms that are more procyclical and have greater risk exposure. Finally, it is found that the information effect of LSAP is state-dependent, with a more pronounced impact under worse economic circumstances.
talks
Talk 1 on Relevant Topic in Your Field
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Conference Proceeding talk 3 on Relevant Topic in Your Field
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teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
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Teaching experience 2
Workshop, University 1, Department, 2015
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