讲座题目：An Unintended Consequence of Holding Dollar Assets

地点：线上

时间：2021年11月29日(周一)10:00–11:00

主讲人：黄诗杨

主讲人简介：

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.

讲座内容简介：

We study investor trading behavior and yield patterns in the UK government bond market during the recent COVID crisis. We show that the yield spike in mid-March 2020 was accompanied by heavy selling of gilts by UK-based insurance companies and pension funds (ICPFs), which we argue was an indirect result of the US dollar’s global prominence. Foreign institutions invest a large portion of their capital in dollar assets and hedge their dollar exposures by selling dollars forward through FX derivatives. In crisis periods, dollars appreciate against other currencies. To meet margin calls on these short-dollar FX positions, foreign institutions sell their domestic safe assets, thereby contributing to the yield spikes in domestic markets. This is a joint work with Robert Czech from Bank of England, Dong Lou from London School of Economics, and Tianyu Wang from Tsinghua University.

会议方式：腾讯会议

会议ID：461 747 161