主持人：游宇教授（辽宁大学经济学部）

主讲人1：Hongqi Chen（伊利诺伊大学厄巴纳-香槟分校）

时间：2023年1月3日（周二）9:00-10:00（北京时间）

地点：腾讯会议：850-315-675

语言：英文

题目：On the Analysis of Quantile Forward Regression

摘要：In this paper, we study the theoretical properties of K-step and t-threshold quantile forward regressions in a linear quantile regression model with high-dimensional covariates. The model under our investigation is assumed potentially misspecified and we consider the best sparse approximation using quantile forward regressions. We provide non-asymptotic prediction bounds for both methods, and show asymptotic convergence results and the asymptotic efficacy of K-step quantile forward regression. In our asymptotic framework, we allow the number of covariates and the number of steps to diverge at different rates with the sample size. We demonstrate superior finite sample performance of quantile forward regressions to commonly-used penalization methods in terms of prediction accuracy and variable selection through extensive Monte Carlo simulations. We illustrate the usage of quantile forward regressions by two empirical applications: growth-at-risk forecasting and testing the convergence hypothesis of international economic growth.

主讲人2：Wendi Huang（香港大学）

时间：2023年1月3日（周二）10:15-11:15（北京时间）

地点：腾讯会议：850-315-675

语言：英文

题目：The Role of Government Contracting in Corporate Environmental Policies

摘要：This paper studies the relationship between government contracting and corporate environmental policies. Using a new data set of government contracts, I show that firms that supply government agencies conduct more emission-source reduction activities and pollution abatement expenditures when government agencies increase their overall preference for "green" suppliers. Analyses using a public procurement reform in European Union provide causal evidence. Additionally, I document stronger effects when firms face higher climate policy uncertainty and more external financing dependence. Overall, the results illustrate the economically large impact of government contracting in stimulating firms’ investments in environmentally friendly technologies and production methods.

主讲人3：Yijing Wang（加利福尼亚大学戴维斯分校）

时间：2023年1月3日（周二）11:30-12:30（北京时间）

地点：腾讯会议：850-315-675

语言：英文

题目：A Liquidity-based Resolution to the Dividend Puzzle

摘要：Contrary to the renowned irrelevance theory proposed by Miller and Modigliani in 1961, empirical evidence suggests that assets that pay dividends command a price premium, despite the fact that dividend payments are generally taxed more heavily than capital gains. In this paper, I use a monetary-search model and propose a new resolution to this puzzle, based on the idea that the price premium of dividend assets arises due to the superior liquidity role played by dividends compared to returns in the form of capital gain. As dividend is virtually identical to money in facilitating transactions, it helps stockholders avoid selling their assets at an undesirable price in financial markets with frictions and trading delays. The paper provides a number of theoretical results that find support in the data. I also study firms’ optimal decision to pay dividends, and show that an increase in the interest rate can hurt the economy not only through the traditional channel, i.e., reduction in real money holdings, but also through the reduction in aggregate R&D activities.

主持人：鄢萍教授（辽宁大学经济学部）

主讲人1：Junyi Hua（俄亥俄州立大学）

时间：2023年1月4日（周三）9:00-10:00（北京时间）

地点：腾讯会议：850-315-675

语言：英文

题目：Urban Development, Agricultural Land Markets and Weather Shocks: Implications for the Timing of New Development

摘要：We model the conversion of agricultural land to urban development capturing the impacts of climate, weather, land prices and demand in a duration model of the optimal timing of land conversion. To identify the differential impacts of land and housing prices in the conversion process, we develop novel new instruments for endogenous housing and land prices. We find that elasticities for housing values are consistent with the literature at 1.63% and inelastic for land prices at approximately 0.4%. Using the model for counterfactual simulations, we show that the IPCC 1990 climate scenario results in substantial decreases in cumulative development of 27%. When considering both the climate scenario and the indirect impacts on land prices this reduction in development is attenuated at 8% as lower land prices induce additional development. Comparing these scenarios, we find omitting the indirect effects of the IPCC 1990 climate scenario on land conversion through a 5% reduction in farmland value (Mendelsohn et al. 1994) underestimates the cumulative developed parcel counts 19%. For policymakers, this result highlights the importance of agricultural and urban policy interactions on urban development patterns in the face of climate change.

主讲人2：Shangdi Hou（巴塞罗那自治大学）

时间：2023年1月4日（周三）10:15-11:15（北京时间）

地点：腾讯会议：850-315-675

语言：英文

题目：Optimal Monetary Policy with Signal Extraction

摘要：I study the optimal discretionary monetary policy under partial information (PI) where the central bank can only extract information from an endogenous signal, price inflation. The signal is determined in equilibrium by the policy rate and the unobserved supply and demand shocks. We solve for optimal policy in a non-linear model where the Phillips curve is bent by asymmetric wage adjustment costs and the “certainty equivalence” principle that prevails in linear models cannot be applied. Optimal policy prescribes that the central bank should raise the interest rate gradually when price inflation is low but respond strongly when it is high. This nonlinearity arises because signal extraction interacts differently with optimal policy depending on the price inflation observed.

主讲人3：Li Yu（图卢兹经济学院）

时间：2023年1月4日（周三）15:30-16:30（北京时间）

地点：腾讯会议：850-315-675

语言：英文

题目：Monetary Policy and Global Bank Lending: A Reversal Interest Rate Approach

摘要：This paper studies the impact of monetary policy on the credit allocation of globally operating banks. First, we document that, at the country level, banks’ bias toward domestic lending fell in the early 2000s but increased by 10% during the low interest rate period after the Global Financial Crisis. To account for this finding, we develop an analytical framework for global banking based on a portfolio approach. In the model, global bank allocates their lending to both domestic and foreign borrowers for diversification benefits, but foreign lending comprises higher uncertainty due to cross-border frictions. Managing the uncertainty is costly and depends on banks’profitability driven by margins between lending and deposit rates. As a result, the effect of expansionary monetary policy on bank lending allocation is state-dependent. In times of low interest rates and large balance sheet, a further cut in the interest rate decreases bank profitability and has opposite effects on domestic and foreign lending, thereby increasing home bias. Extending the model to a dynamic general equilibrium setup with nominal rigidities, we find that with the portfolio re-balancing of the global banks, the prolonged period of low interest rates is accompanied by a persistently high home bias, as shown in the data, and the overall effectiveness of monetary policy is compromised.