Corporate Basis and Demand for U.S. Dollar Assets-葡萄牙vs塞尔维亚比赛直播 系

Corporate Basis and Demand for U.S. Dollar Assets

主讲人:Zhan Shi
Zhan Shi is currently an Associate Professor at PBC School of Finance, Tsinghua University. Zhan received his Ph.D. in Finance from The Pennsylvania State University in 2014.  Before that, he earned his B.S. in Statistics from Fudan University in 2008. Before joining the PBCSF, he worked as a visiting assistant professor of finance at The Ohio State University. 
Zhan's research interests lie in fixed income, market microstructure, dynamic corporate finance, FinTech. His research has been published in leading finance journals, including Journal of Finance, Journal of Financial Economics, Review of Finance and Management Science. His work on time-varying ambiguity has won 2104 WFA Cubist Systematic Strategies Ph.D. Candidate Award.
主持人:Ming Gu

The corporate basis measures the price differences between bonds issued in dollars and foreign currencies by the same corporate entity. In this paper, we propose a novel method to decompose the corporate basis into three components: credit spread differential, convenience yield differential, and deviation from covered interest rate parity. With this decomposition, we document several stylized facts, and in particular, the substitution effect between safe and risky dollar assets. We provide further evidences on the substitution effect using the structural VAR analysis, which shows that a negative shock to financial intermediaries’ balance sheets causes a tightening of credit spread differential, a demand shift toward safe assets, and an appreciation of the dollar. We also find consistent holdings-level evidences using foreign investors’ aggregated holdings of safe and risky dollar assets. Lastly, we find that the substitution effect also shows great empirical plausibility for bonds denominated in the largest non-USD currencies—Euro and British Pounds—but is not highly relevant to other currencies in our sample. Our results highlight the important role of the top funding currencies, especially the U.S. dollar, in the global financial markets.

时间:2023-03-21 (Tuesday) 16:40-18:00
地点:Room N302, Economics Building
主办单位:葡萄牙vs塞尔维亚比赛直播 经济学院、王亚南经济研究院、邹至庄经济研究院
承办单位:葡萄牙vs塞尔维亚比赛直播 经济学院、王亚南经济研究院、邹至庄经济研究院