【主题】Collateral Quality and House Prices
【报告人】周晶（复旦大学经济学院助理教授）
【时间】2022年1月5日（星期三）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】This paper studies the effects of shifts in collateral quality on house prices and the macroeconomy in a dynamic general equilibrium model with credit and housing collateral. Our model features endogenous regime switching between two lending regimes depending on whether or not information on collateral quality is produced. Shocks to collateral quality and the resulting regime switching amplify movements in house prices relative to rents. They can reconcile the joint dynamics of house prices, the price-rent ratio, and output observed in the data. Our estimation shows that the collateral quality shocks account for approximately half of the variations in house prices and the price-rent ratio, as well as one-fifth of the variations in investment during the housing boom and the Great Recession.
【主题】A Theory of National Development Bank: Long-Term Investment and the Agency Problem
【报告人】江深哲（北京大学新结构经济学研究院助理教授）
【时间】2021年12月22日（星期三）2:00-3:30 p.m.
【参会链接】https://us02web.zoom.us/j/82149867950 密码：107916
【语言】英文
【摘要】This paper applies the contract theory to study the role of National Development Bank (NDB) in financing long-term investment. We develop a principal-agent contracting model for application to an infrastructure construction problem. Our model suggests that the government employes the NDB loans to implement the optimal capital structure of an infrastructure project and mitigate overrun issues resulting from the agency problem during the infrastructure construction. In addition, we endogenize the NDB investment strategy to study the determinants of NDB profitability and use cross-country panel data to empirically test our model predictions.
【主题】Time-Varying Expectation Effects of Switching Financial Uncertainty
【报告人】邱实（复旦大学助理教授）
【时间】2021年12月15日（星期三）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】This paper investigates the effects of dynamic capital market conditions in a general equilibrium model, employing a process of switching steady-state levels of the volatility of market condition (SS-uncertainty). Decision-makers predict SS-uncertainty regimes using past fundamental shocks, but an exogenous uncertainty shock still exists. Model estimation uncovers evidence of state-dependent uncertainty effects. Shock responses significantly vary, depending on the current uncertainty regime and shock magnitude. In the high (low) SS-uncertainty regime, economic activities decrease (increase) regardless of shock direction. This anomaly disappears for sufficiently large uncertainty shocks. Quantitatively, a pessimistic shock produces inertia, whereas an optimistic shock boosts economic activities
【主题】Targeted Reserve Requirements for Macroeconomic Stabilization
【报告人】张婧屹（上海财经大学经济学院副教授）
【时间】2021年12月9日（星期四）10:00-11:30 a.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】We study the effectiveness of targeted reserve requirements (RR) as a policy tool for macroeconomic stabilization. Targeted RR adjustments were implemented in China during both the 2008-09 global financial crisis and the recent COVID-19 pandemic. We develop a model in which risky firms with idiosyncratic productivity borrow from two types of banks---local or national---to finance working capital. National banks provide liquidity services, while local banks have superior monitoring technologies, such that both types coexist. Firms pay a fixed cost if they switch lenders, and they choose to switch only under large shocks. Reducing RR on local banks boosts leverage and aggregate output, whereas reducing RR on national banks has an ambiguous output effect. Target RR policy that reduces RR for local banks relative to national banks can ease bank switching costs following large recessionary shocks, stabilizing macroeconomic fluctuations. However, targeted RR also boosts local bank leverage, increasing risks of default and raising financial stability concerns.
【主题】Assessing Individual’s Response to the Nonlinear Health Insurance Plan: Evidence From A Hawkes Process Framework
【报告人】李愚昊（武汉大学经济与管理学院助理教授）
【时间】2021年11月26日（星期五）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】In this paper, a Hawkes process is proposed to study an individual's responsiveness to the outpatient utilization under a nonlinear health insurance contract. For a given individual, each doctor visit record is represented as a point in a Hawkes process. When measuring the responsiveness, we adopt the episode-varying shadow price instead of a constant spot price or the expected end-of-year price. Using the RAND Health Insurance Experiment data, we found that individuals do understand the price incentive of a nonlinear contract. Our model can also describe the cluster patterns of outpatient utilization under different insurance plans. Comparing to a free insurance plan, a canonical individual would have fewer doctor visits in a cluster, and the cluster number also shrinks.
【嘉宾简介】Dr. Yuhao LI is now an Assistant Professor at Economics and Management School, Wuhan University. He obtained his Ph.D. in Economics from Universidad Carlos III de Madrid in 2019. His fields of interest include Applied Econometrics, Labor and Health Economics.
【主题】On the Aggregate and Distributional Effects of Innovation Policies (with Chengcheng Jia)
【报告人】顾诗骏（中央财经大学经济学院助理教授）
【时间】2021年11月17日（星期三）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】We study the aggregate and distributional impact of fiscal subsidies on firms’ R&D investment using a heterogeneous-agent model featuring occupational choice, endogenous innovation, and financial frictions. We find that more productive entrepreneurs face more severe borrowing constraints when upgrading productivity through R&D expenditures and thus more substantially underinvest in innovation. We then compute the optimal shape and level of R&D subsidies and show that the non-linear subsidy that can correct the underinvestment due to financial frictions leads to more sizable welfare gains than the uniform subsidy. Although the non-linear subsidy policy increases income and wealth concentration, there would be large welfare gains for the vast majority of workers and low-wealth households if the resulting government surplus were used to lower income taxation.
【主题】Financial Crises, Bailouts and Monetary Policy in Open Economies
【报告人】焦阳（复旦大学泛海国际金融学院经济学助理教授）
【时间】2021年10月27日（星期三）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】I jointly study the optimal bailout policy and monetary policy in open economies that borrow in foreign currency from international lenders. A policy dilemma emerges in financial crises. Policy-makers tradeoff the benefit of more bailouts alleviating firms’ financial constraints against the cost of larger currency devaluation, which tightens firms’ financial constraints. I embed the optimal bailout in an otherwise standard “sudden stop” model with nominal rigidities. The model sheds light on the role of bailouts and currency mismatch in driving the exchange rate, firms’ balance sheets and economic recovery. Quantitatively, the model matches key business cycle moments; in particular, it also captures the empirical relationship between foreign currency debt level and the extent of currency devaluation in financial crisis episodes. A welfare evaluation shows that there are in general welfare gains from the bailout policy despite exante moral hazard problems of firms.
【主题】Marginal Propensities to Consume Before and After the Great Recession
【报告人】Yunho Cho（暨南大学经济与社会研究院 助理教授）
【时间】2021年10月21日（星期四）10:00-11:30 a.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】We extend a semi-structural model of household income and consumption to allow for dynamic consumption elasticities with respect to transitory income shocks. Likelihood-based inference for our model accurately estimates consumption insurance against income shocks in simulated data from a life-cycle model with borrowing constraints and captures non-zero transitory consumption responses for constrained households. Applying our model to data from a representative sample of U.S. households, we find that short-run elasticities with respect to transitory income shocks are substantially larger than long-run elasticities. We also find a structural break in the transitory sensitivity of consumption from before to after the Great Recession, implying an increase in the estimated marginal propensity to consume out of transitory income for all households by more than 40%. There is considerable heterogeneity in estimates across households grouped by various balance sheet characteristics, with the significant increase in transitory sensitivity of consumption for all households driven by homeowners with lower levels of liquid wealth. Our estimates also imply large consumption elasticities with respect to house prices, supporting a bigger role of the deterioration in housing wealth for liquidity-constrained homeowners than deleveraging in explaining the fall in consumption during the Great Recession.
【主题】The evolution of income and wealth inequality in China
【报告人】王言（北京师范大学经济与工商管理学院 助理教授）
【时间】2021年10月13日（星期三）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】China’s GDP per capita has increased from 400 USD in 1990 to 8,000 USD in 2015. Over the same period of time inequality in both income and wealth has increased substantially. This paper proposes a general equilibrium multi-sector growth model with rich heterogeneity to quantify the impact of different changes that took place in the early 1990s over inequality along the transition. Rural-urban migration has alleviated the increase in inequality by narrowing the rural-urban income gap. The emergence and growth of private sector is a fundamental engine of growth and is the key driving force behind the increasing inequality. Not following the Kuznets projection, the income concentration is ever-increasing till 2050s and no signal to decrease. By implementing conceived reforms in labor market and financial market, we notice a significant decrease in the income and wealth concentration.
【主题】Uncovering the Effects of the Zero Lower Bound with an Endogenous Financial Wedge
【报告人】聂光宇（上海财经大学商学院副教授）
【时间】2021年9月29日（星期三）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】We study the effects of the Zero Lower Bound (ZLB) on the severity of financial crises using an incomplete markets New Keynesian model with two occasionally binding constraints: a ZLB on the nominal interest rate and a borrowing constraint tied to an asset price. The model's financial wedge corresponds to an endogenous multiplier on the borrowing constraint. Binding ZLB exacerbates financial crises through its interaction with the asset fire-sale vicious cycle, driving up the financial wedge. Our results offer a novel reinterpretation of the negligible effect of the ZLB in representative agent New Keynesian models with exogenous wedges.
【主题】Human Capital Investment and Development: The Role of On-the-Job Training (Joint with Alejandro Nakab and Daniela Vidart)
【报告人】马啸（北大汇丰商学院助理教授）
【时间】2021年9月22日（星期三）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】Workers in richer countries experience faster rates of wage growth over their lifetimes than workers in poorer countries. We offer an explanation for this pattern by showing that workers in richer economies receive more firm-provided training. Using cross-country enterprise and worker-level data, we document that the share of workers who receive firm-provided training increases with development, and that firm-provided training is a key determinant of workers’ human capital. We then build a general equilibrium search model with firm-provided training investments. Our model suggests that firm-provided training accounts for 43% of cross-country wage growth differences and 10% of cross-country income differences.
【个人简介】Xiao Ma is an assistant professor at Peking University HSBC Business School. His research focuses on international trade and macro development. He received a Ph.D. degree in economics from the University of California, San Diego.
【主题】Housing Shock and Online Consumer Behavior
【报告人】王龙（上海科技大学创业与管理学院助理教授）
【时间】2021年9月17日（星期五）2:00-3:30 p.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【摘要】To establish the causal relationship between housing price appreciation and online consumer behavior, this study exploits a proprietary dataset assembled from October 1, 2016 to December 31, 2018 by the largest e-commerce company in China. In order to overcome the empirical challenges faced by existing literature due to the non-random nature of housing price changes, this study investigates a unique institutional setting in China, namely the announcement of the newest national-level special economic zone, Xiong’an new area, on April 1, 2017, as an exogenous shock to the housing price. The study focuses on three areas of interest. First, we examine how exogenous and unanticipated housing wealth shocks impact households’ online consumer behaviors. Second, we study the dynamic change of online consumer behaviors before and after the housing shock, and determine whether the behavioral responses persist in the long run. Third, we explore the underlying mechanisms through which the housing shock affects consumer behaviors. In particular, we attempt to disentangle the collateral effects from the wealth effects and the rent effects.
【个人简介】王龙博士现为上海科技大学创业与管理学院助理教授。他于2018年获得新加坡国立大学房地产博士学位，研究兴趣为城市经济学、房地产金融和中国经济。他的论文已发表于Journal of Public Economics、Journal of Urban Economics、Real Estate Economics和Journal of Real Estate Research等国际一流期刊。
【主题】Occupational Retirement and Social Security Reform: the Roles of Physical and Cognitive Health
【报告人】文家奕（厦门大学经济学院及王亚南经济研究院助理教授）
【时间】2021年9月15日（星期三）2:00-3:30 p.m.
【参会链接】https://us02web.zoom.us/j/84380058130
【密码】945525
【语言】英文
【摘要】During the past decades, jobs become less physically demanding whereas require more cognitive abilities, but existing studies rarely discuss the retirement implications of the cognitive dimension of health, neither the heterogeneous role of physical and cognitive health across occupations. This paper first documents occupational difference in ability requirements, age-profiles of physical and cognitive health, as well as their interactions in associating with retirement. Based on these facts, I propose and estimate a dynamic structural model of individual retirement and saving decisions, incorporating both physical and cognitive dimensions of health and allowing their retirement effects to differ across occupations via four channels respectively: leisure, wage, medical expenditure and life expectancy. I use indirect inference for estimation, using variants of auxiliary models to exploit either pooled variations or only within-individual variations to identify the model. The counterfactual results suggest cognitive health has minimal retirement effect for manual workers, whereas for clerical workers it is as vital as physical health. Leisure and life expectancy are more important channels. When retirement age increases, manual workers would actually delay retirement more than professionals. This is not due to their health capacity but instead to their financial rigidity in deciding when to retire, inducing unequal welfare loss.
