自新型冠状病毒疫情暴发以来，银河教师笔耕不辍，多篇研究成果发表在国内外权威期刊上。2020年1月至2020年8月，共发表论文54篇。其中在一级学科顶尖期刊发表论文11篇，二级学科顶尖期刊发表论文3篇。在CSSCI期刊上发表论文24篇，在SCI期刊上发表论文2篇，在SSCI期刊上发表论文18篇，在国际英文权威期刊上论文发表再创佳绩。

范小云教授和王道平副教授合作的论文” Network connectedness and China's systemic financial risk contagion——An analysis based on big data”发表在期刊《Pacific-Basin Finance Journal》上（Available online 24 March 2020）。

范小云，yh86银河国际教授

王道平，yh86银河国际副教授

Network connectedness and China's systemic financial risk contagion——An analysis based on big data

Xiaoyun Fan，Yedong Wang，Daoping Wang       

      Abstract

Excessive network connectedness among financial institutions will amplify financial shocks through contagion effects. In order to measure the correlation between institutions from multiple channels more comprehensively, this paper adopts empirical Bayesian method to integrate the stock return correlation, sentiment correlation and marginal expected shortfall correlation of institutions, which respectively reflects the risk changes of the financial system, the internet public sentiment and the degree of risk contribution. More than 3.72 million posts are crawled from the Eastmoney Net through the Web Crawler Technology to obtain investors' sentiment. The Graphical Gaussian model is used to measure the partial correlation coefficients between every two institutions and the heat map is used to visualize them. The force-directed graph is used to construct the static and dynamic network of financial institutions. We also analyze the systemic risk contagion annual network and how the contagion propagates within sectors and across sectors. On this basis, the systemic importance of financial institutions is analyzed. The results show that China's systemic risk contagion has cluster effect; The network correlation of financial institutions has certain stability and time-variability; The systemic risk contagion level of different sectors has different characteristics and trend; The correlation and size are important factors affecting the systemic importance of financial institutions. This research has important reference value for the regulatory agencies to carry out the retrospective macro-prudential and targeted supervision.

张连增教授的论文”On a discrete-time risk model with time- dependent claims and impulsive dividend payments”发表在期刊《Scandinavian Actuarial Journal》上（Available online: 15 Feb 2020）。       

张连增，yh86银河国际教授

 On a discrete-time risk model with time-dependent claims and impulsive dividend payments

Lianzeng Zhang, He Liu

Abstract

A discrete-time risk model with a mathematically tractable dependence structure between interclaim times and claim sizes is considered in the presence of an impulsive dividend strategy. Under such a strategy, once the insurer’s reserve upcrosses the level b , the excess of the reserve over a(a≤b) is paid off as dividends. We derive difference equations for both the expected discounted penalty function and the expected present value of dividend payments. Solution procedures for these difference equations are provided. When the joint distribution of the interclaim time and claim size is a finite mixture of bivariate geometric distributions, closed-form expressions are given. Numerical results for several sets of parameters are also provided to illustrate the applicability of the results obtained.

何青副教授的论文” Litigation risk and cost of capital: Evidence from China”发表在期刊《Pacific-Basin Finance Journal》上（Available online 17 July 2020）。  

            何青，yh86银河国际副教授

           Litigation risk and cost of capital: Evidence from China

Jiaqi Qin, Xue Yang, Qing He, Lingxia Sun

Abstract

Using a unique dataset of corporate lawsuits disclosed by China's listed companies, we find a positive relationship between litigation risk and firms' overall cost of capital, cost of equity, and cost of debt. More importantly, we propose two possible mechanisms to mitigate the consequences of litigation risk and find that strong internal corporate governance and intensive social capital investments negatively moderate the relationship between litigation risk and cost of capital. The main findings are robust to the propensity score matching approach, the treatment effect model, and alternative measures. Further analyses show that the relation between litigation risk and cost of capital attenuates among big companies, state-owned companies, informationally transparent companies, and companies located in regions of higher social trust.

王博副教授的论文” Downside risk, financial condition and systemic risk in China”发表在期刊《Pacific-Basin Finance Journal》上(Available online May 2020)。论文“美联储政策变动、国际资本流动与宏观经济波动”发表在《金融研究》上（2020年第7期）。

王博，yh86银河国际副教授

 Downside risk,financial condition and systemic risk in China

Bo Wang ,Haoran Li

Abstract

Using quantile regression and Bayesian-VAR model, we demonstrate that deteriorating financial conditions and high systemic risk reinforce future downside risk when current GDP growth is relatively low in China. We construct the financial conditions indexes (FCIs) and find that there is a large difference between the forecasting ability of financial conditions and systemic risk to future GDP growth. The leading and early warning functions of systemic risks are better than that of financial conditions.

美联储政策变动、国际资本流动与宏观经济波动

  郝大鹏、王博*、李力

摘要

本文构建包含国际投资者、外资企业和银行流动性冲击的DSGE模型来探究美联储货币政策变动和政策不确定性对我国宏观经济的影响和作用机制。研究发现：(1) 美联储加息会导致我国产出、投资和通货膨胀的下降、汇率贬值、国际资本外流和银行系统流动性紧张。随着金融摩擦程度的增加和银行杠杆率的上升，美联储加息对我国产出、投资和资产价格的负面影响会进一步增强。(2) 美联储货币政策不确定性的增加会直接导致外资企业的投资、劳动需求和产出的下降，并对我国总产出、总投资和资产价格产生明显的负向外溢效应，进一步加剧我国宏观经济的波动。(3)为应对美联储的利率变动，适当限制国际资本流动能有效稳定我国经济和改善社会福利，而实行固定汇率和央行盯住美国利率的政策会加大宏观经济的波动，并导致社会福利下降。因此，我国应该加强跨境资本流动的宏观审慎管理，稳定国际投资者的情绪和信心，以防范国外的不利冲击。

李泽广副教授的论文” The impacts of circuit breakers on China's stock market”发表在期刊《Pacific-Basin Finance Journal》上（Available online 11 May 2020）。     

 李泽广，yh86银河国际副教授

 The impacts of circuit breakers on China's stock market

Zeguang Li, Keqiang Hou, Chao Zhang

Abstract

In this paper, we empirically investigate the impacts of the circuit breaker mechanism installed in the Shanghai Stock Exchange using high-frequency intraday data. We find that trade impediments have liquidity effects. In the presence of circuit breakers, investors' behavior will accelerate the arrival of price limits. We also document significant downward magnet effects for individual stocks and for the market index but find no significant volatility spillover effects.

杨昊晰助理教授的论文”Implications of Return Predictability for Consumption Dynamics and Asset Pricing”发表在期刊《Journal of Business & Economic Statistics》上（Volume 38, 2020 - Issue 3）。

杨昊晰，yh86银河国际助理教授

 Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Carlo A. Favero, Fulvio Ortu, Andrea Tamoni, Haoxi Yang

Abstract

Two broad classes of consumption dynamics—long-run risks and rare disasters—have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preferences. We show that bounds a-là Gallant, Hansen, and Tauchen that restrict the volatility of the stochastic discount factor by conditioning on a set of return predictors constitute a useful tool to discriminate between these alternative dynamics. In particular, we document that models that rely on rare disasters meet comfortably the bounds independently of the forecasting horizon and the asset returns used to construct the bounds. However, the specific nature of disasters is a relevant characteristic at the 1-year horizon: disasters that unfold over multiple years are more successful in meeting the predictors-based bounds than one-period disasters. Instead, at the 5-year horizon, the sole presence of disasters—even if one-period and permanent—is sufficient for the model to satisfy the bounds. Finally, the bounds point to multiple volatility components in consumption as a promising dimension for long-run risk models.

李晓讲师的论文”Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence”发表在期刊《Journal of International Financial Markets, Institutions & Money》上（Volume 64, January 2020）。

李晓，yh86银河国际讲师

 Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence

Xiong Xiong, Yongqiang Meng, Xiao Li, Dehua Shen

Abstract

This paper investigates the suitability of employing overnight return as the proxy for firm-specific investor sentiment in six G7 countries (excluding U.S.) and five Asia-Pacific countries (New Zealand, Singapore, Australia, China and India), by analyzing whether it processes certain characteristics expected of sentiment measurement, i.e., short-run persistence, whether the persistence is more pronounced for harder-to-value firms and long-run reversal. Overall, the empirical findings fail to support that overnight return is a satisfied proxy for firm-specific investor sentiment outside the U.S. stock market.

程华助理教授的论文” Corporate Disclosure Quality and Institutional Investors' Holdings During Market Downturns”发表在期刊《Journal of Corporate Finance》上（Volume 60, February 2020）。           

    程华，yh86银河国际助理教授

 Corporate disclosure quality and institutional investors' holdings during market downturns

Hua Cheng，Dayong Huang，Yan Luo

Abstract

We examine institutional investors' responses to corporate disclosure quality conditional on market states. Transient institutions react more positively to corporate disclosure quality during market downturns than during normal market periods, as better disclosure practices lower information asymmetry and are thus associated with reduced uncertainty, enhanced liquidity, and weakened impacts of crises, which are the most desirable features of assets during market downturns. Dedicated institutions are insensitive to corporate disclosure quality in both normal and market downturn periods, as they have access to inside information and rely less on public disclosures. Their reliance on corporate disclosures in market downturns, however, increases sharply after the implementation of Regulation Fair Disclosure, which removes their inside information advantage. We further show that corporate disclosure reduces information asymmetry to a greater extent in market downturns than in normal market periods and that transient ownership in market downturns provides strong price support and stabilizes return volatility, whereas dedicated ownership does not possess such functions. Finally, we show that the results are not simply driven by endogeneity and are robust to alternative corporate disclosure quality measure and to the control of other determinants of institutional holdings.

耿欣助理教授的论文” Estimation of a partially linear additive model with generated covariates”发表在期刊《Journal of Statistical Planning and Inference》上（Volume 208, September 2020）。

             耿欣，yh86银河国际助理教授

 Estimation of a partially linear additive model with generated covariates

Xin Geng, Carlos Martins-Filho, Feng Yao

Abstract

We propose kernel-based estimators for both the parametric and nonparametric components of a partially linear additive regression model where a subset of the covariates entering the nonparametric component are generated by the estimation of an auxiliary nonparametric regression. Both estimators are shown to be asymptotically normally distributed. The estimator for the finite dimensional parameter is shown to converge at the parametric n rate and the estimator for the infinite dimensional parameter converges at a slower nonparametric rate that, as usual, depends on the rate of decay of the bandwidths and the dimensionality of the underlying regression. A small Monte Carlo study is conducted to shed light on the finite sample performance of our estimators and to contrast them with those of estimators available in the extant literature.

夏天助理教授的论文” The role of intermediate goods in international monetary cooperation”发表在期刊《Journal of International Money and Finance》上（Volume 100, February 2020）。         

               夏天，yh86银河国际助理教授

 T     he role of intermediate goods in international monetary cooperation

              Tian Xia

Abstract

This paper investigates the implications of intermediate goods for optimal monetary policy in open economies, and particularly focuses on the welfare gains that result from monetary cooperation. In a relatively standard two-country dynamic stochastic general equilibrium model with input-output relations, this paper demonstrates that introducing intermediate goods can amplify the welfare gains caused by cost-push shocks by an order of magnitude larger. A detailed analysis of equilibrium dynamics highlights a new channel that is absent in the previous literature: non-cooperative central banks respond differently to shocks in the intermediate goods market versus shocks in the final goods market, even if these shocks generate the same distortions when the two central banks cooperate. Furthermore, it is demonstrated that increasing the degree of openness in the intermediate goods market can reduce the welfare gains from monetary cooperation. This casts doubt on whether the recent trend in international economic integration justifies the potential need for international monetary cooperation.

丁树泽助理教授的论文”Legal restrictions and international currencies: An experimental approach”发表在国际权威期刊《Journal of International Economics》上（Volume 126, September 2020）。

                丁树泽，yh86银河国际助理教授

Legal restrictions and international currencies: An experimental approach

Shuze Ding ,Daniela Puzzello

Abstract

This paper integrates theory and experiments to explore how policy rules related to government interventions can affect economic allocations and the international status of a currency. Using a two-country, two-currency search model, we study two types of government interventions: (1) legal restrictions impacting a seller's ability to accept a foreign currency, and (2) reductions to the cost a seller must pay to accept a foreign currency. The first intervention can be viewed as a way to capture a decrease in capital controls, while the second can be viewed as a way to explore the impact of reducing information costs associated with using a foreign currency. Our results indicate that abolishing legal restrictions that impact a seller's ability to accept a foreign currency can increase both quantities traded and the number of trades involving two types of currencies. Additionally, the international status of currencies is significantly enhanced when sellers face very low foreign currency acceptance costs.

李欣明助理教授的论文” Executive compensation and corporate risk-taking: Evidence from private loan contracts”发表在国际权威期刊《Journal of Corporate Finance》上（Volume 64, October 2020）。

               李欣明，yh86银河国际助理教授

 Executive compensation and corporate risk-taking: Evidence from private loan contracts

Yongqiang Chu, Ming Liu, Tao Ma, Xinming Li

Abstract

We examine how management stock options affect corporate risk taking. We exploit exogenous variation in stock option grants generated by FAS 123R and use loan spreads to infer risk taking. Using a difference-in-differences approach, we find that the spreads of loans taken by firms that did not expense options before FAS 123R (treated firms) significantly decrease after FAS 123R relative to firms that either did not issue stock options or voluntarily expensed stock options before 123R (control firms). We also find that the effect is stronger for firms with high agency conflicts associated with risk-shifting. Furthermore, loans taken by the treated firms are less likely to contain collateral requirements and are less likely to have covenants restricting capital investment post FAS 123R.