Jingling Luojia Finance Seminar: Spring Macro Workshop, 2019

武汉大学经管学院金融系

Finance Department, Economics and Management School, Wuhan University

一、议程 (Schedule)

时间 (Time)：2019/5/18

地点 (Location)：hbs04红宝石线路 (EMS, WHU)

场地 (Venue)：武汉大学理学楼301

二、报告人及文章摘要

1. 张国雄 (Prof. Guoxiong Zhang)

个人简介 (Bio)：上海交通大学安泰管理学院助理教授，毕业于加州大学尔湾分校，研究领域为宏观与贸易，多篇文章于世界知名期刊发表或RR，主持一项并参与多项国家自然科学基金研究项目。

文章题目 (Title)：Gains from Trade with Non-trade Frictions

文章摘要 (Abstract)：This paper incorporates non-trade frictions into the framework of Arkolakis et al. (2018, ACDR henceforth). We introduce a general form of market friction as a production quantity restriction on monopoly firms, which leads to markup distortion. We then show that our model with non-trade frictions also generates the same Gravity equation as the model in ACDR and that welfare gains from trade in our model are also pin-downed by precisely the same three sufficient statistics in ACDR. Nevertheless, in our model the elasticity of markup with respect to productivity critically depends on the elasticity of markup-distortion with respect to productivity. When the elasticity of markup-distortion is negative, the markup elasticity could be negative even when the demand elasticity is positive. In this case, gains from trade are larger in a heterogeneous firms model compared with a homogenous firms model when markups are endogenous. In our quantitative study, we use highly disaggregate import data of the United States to structurally back out this elasticity of markup-distortion. We find this elasticity to be negative while the resulting markup elasticity is still positive due to the dominant effect of demand elasticity. However, the gains from trade are larger in our model than in ACDR, although it is still smaller than in the model with homogenous firms.

2. 何超 (Prof. Chao He)

个人简介 (Bio)：华东师范大学讲师。University of Wisconsin-Madison 经济学博士，研究方向为宏观经济学，尤其是货币、失业和房地产。论文发表在 Review of Economic Dynamics 和 Journal of Money, Credit and Banking 上。

文章题目 (Title)：Firm Cash and Consumer Cash

文章摘要 (Abstract)：Existing studies of liquidity either focus on firms or consumers. However, both hold significant cash, and firms' share increased since the '90s and fell after 2008. We present a quantitative theory of how firm liquidity and consumer liquidity compete and interact. Monetary policy affects the intensive margin (consumption per trade) almost entirely through consumer liquidity and the extensive margin (unemployment) through both types of liquidity. A lower inflation rate raises the level and the share of firm cash, and the spillover effect from consumer liquidity alone accounts for 59 percent of the increase. Financial frictions lower firms' liquidity share and employment.

3. 彭玉磊 (Prof. Yulei Peng)

个人简介 (Bio)：中山大学岭南学院助理教授，博士毕业于美国德州农工大学，研究领域是宏观经济学，文章先后发表于Journal of Econometrics, Journal of Future Markets 和《经济研究》。

文章题目 (Title)：Monetary policy rules and the risk premium

文章摘要 (Abstract)：We study monetary policy’s effects on the equity premium using a segmented stock market model. We find that monetary policy is important in affecting the stock and bond prices, and thus, the equity premium. Specifically, we find that the optimal monetary policy in our model is risk sharing and countercyclical with respect to the dividend shock. Under that policy the risky asset is not that risky, and the return on equity is low. On the other hand, inflation targeting policy is risky, contributing to high equity return. At the same time, the inflation targeting policy produces lower return on the nominal bond, than what the optimal monetary policy does. This is because the inflation targeting policy insures against inflation, although the optimal policy does not. These two effects imply high equity premium under the inflation targeting policy compared to the optimal. Our calibration exercise finds equity premium of almost 7% under the inflation targeting policy and 1.5% under the optimal policy, using a coefficient of relative risk aversion equal to 2. Overall, the model suggests that optimal monetary policy corrects the segmentation friction, and minimizes the equity premium.

4. 薛涧坡 (Prof. Jianpo Xue)

个人简介 (Bio)：Dr. Jianpo Xue is currently an Associate Professor at School of Finance, Renmin University of China and will join WISE, Xiamen University in May. He got a Ph.D. from the Chinese University of Hong Kong in 2008. His main research interests are in macroeconomics with the focus on fiscal policy, economic growth, monetary economics, and Chinese economy. His research has been published in the refereed journals as Journal of International Economics, Journal of Money, Credit and Banking, Journal of Economic Dynamics and Control, Economic Theory, Journal of Mathematical Economics, Macroeconomic Dynamics, Journal of Public Economic Theory, Journal of Macroeconomics, and Economics Letters, etc.

文章题目 (Title)：Capital Income Taxation and Aggregate Instability

文章摘要 (Abstract)：This paper overturns the conventional wisdom that reliance on capital tax rate adjustment to ensure fiscal sustainability is immune to extrinsic uncertainty. The interaction of capital taxation and endogenous capital utilization generates fiscal increasing returns and factor share redistribution to induce sunspots expectations. Capital depreciation allowance debilitates this mechanism to preempt policy-induced instability while achieve budget objective. Self-fulfilling fluctuations can occur in large economies, unless their depreciation allowances are sufficiently higher or income tax rates lower than the current levels. This adds a short-run motivation to the long-run approach to capital taxation and the supply-side view of fiscal policy reforms.

5. 张琳 (Prof. Lin Zhang)

个人简介 (Bio)：Lin Zhang earned her economics PhD from Stony Brook University in US. She is now an associate professor at Henan University and a member of HENU Center for Financial Development and Stability. Her research fields are macroeconomics and Chinese economy. Her selected working papers include Trade Effects of Silver Price Fluctuations in 19th Century: A Macro Approach, Common Bank across Different Regions, and The Effects of the Responsiveness of Monetary Policy on the Housing Market.

文章题目 (Title)：Business Cycles across Chinese Provinces

文章摘要 (Abstract)：This paper investigates the Chinese provincial business cycles by employing the panel VAR approach introduced by Canova and Ciccarelli (2009). We find that there exists a moderate divergence of macroeconomic dynamics across Chinese provinces; Transitory business cycle synchronization occurs occasionally, but the provinces that experience similar dynamics change over time; The institutional and industrial factors dominate the geographic and administrative factors in grouping Chinese provinces. Our empirical model also demonstrates the asymmetric impact of monetary policy and the spillover of idiosyncratic shocks across provinces and regions.

6. Paul Luk (Prof. Luk)

个人简介 (Bio)：Paul LUK is an assistant professor in Economics at Hong Kong Baptist University. He received his D.Phil in Economics at the University of Oxford. Before becoming an academic, Paul has worked at the International Monetary Fund and the Hong Kong Monetary Authority. His research papers are published in journals such as Journal of Money, Credit and Banking, Journal of Dynamics and Controls and Macroeconomic Dynamics.

文章题目 (Title)：Measuring Economic Policy Uncertainty in China

文章摘要 (Abstract)：We construct a new monthly index of Economic Policy Uncertainty for China in 2000-2018 based on Chinese newspapers. Different from the existing index, ours uses information from multiple local newspapers, and foreshadows declines in equity price, employment and output. Media censorship does not seem to have qualitative impact to our index. Moreover, we develop a daily uncertainty index and several policy-specific uncertainty indices for public use.