题　目：Unintended Consequences of Holding Dollar Assets

嘉　宾：Shiyang Huang 教授 香港大学

主持人：张麒 副教授 上海交通大学安泰经济与管理学院

时　间：2024年11月29日（周五）13:30-15:00

地　点：上海交通大学 徐汇校区安泰楼A507室

内容简介:

We examine a novel mechanism whereby the US dollar’s global dominance can have a large, unexpected impact on foreign Treasury yields in crisis periods. Non-US institutions hold substantial dollar assets and hedge dollar exposures by selling dollars forward. In crisis periods, the dollar appreciates against other currencies. To meet margin calls on FX hedging positions, traditionally passive institutions sell domestic safe assets, thereby contributing to yield spikes in domestic markets. We show that during the recent COVID crisis, UK institutions with substantial dollar holdings and FX hedging positions sold large amounts of gilts, which contributed to the observed gilt yield spike.

演讲人简介：

Dr. Shiyang HUANG received his Ph.D. degree in finance from the London School of Economics in 2015.  He also holds a master degree and a bachelor degree in economics from Tsinghua University.  He joined The University of Hong Kong in 2015.

Shiyang’s research agenda focuses on financial economics and empirical asset pricing.  He has published research papers in several academic journals including Journal of Financial Economics, Management Science and Journal of Economic Theory.  He also won the best paper awards at academic conferences, including Best Paper Award at 7th Melbourne Asset Pricing Meeting, Conference Best Paper Award at China International Conference in Finance of 2019, Best Paper Award at 14th Annual Conference in Financial Economics Research by Eagle Labs (IDC) of 2017, Yihong Xia Best Paper Award at hina International Conference in Finance of 2015, Conference Best Paper Award at Paris December Finance Meeting of 2014,  IdR QUANTVALLEY / FdR Quantitative Management Initiative Research Award of 2013.

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