My Research

Statement of Research:

I have interests to conduct research in the topics of international finance, financial markets and asset pricing, as well as the related monetary policy from central banks, such as interest rate decision and quantitative easing. My current research is about the profitability and risks of an investment strategy in international financial markets. Besides, I also studied the empirical relationship between monetary policy surprises and the response of different financial assets. Those are my main fields of research in Clemson. In addition, my future research will focus on the policy side of the monetary economics, the application of the economics of finance and investment, empirical asset pricing, economic growth and development.

I think the industrial working experience will add value on academic research, journal publications and teaching. I have spent multiple years in trading and research in the financial markets of Equities, Commodities, Interests Rate and Foreign Exchange Rate. I analyzed the pricing of derivative contracts and built profitable option strategies. I like modelling the economic behavior by using large set of empirical data. I believe that the advancement of new technologies in econometric analysis will make big data powerful in testing new economics theory and hypothesis. So, they are worthy to have a try.

Current Papers:

[1] "Carry Trade in Emerging Market: Return and Macroeconomic Risks", Job Market Paper

Submitted to The Journal of International Money and Finance, Under review.

Abstract:This paper finds that currency carry trade, which is borrowing money from low interest rate country and lending them into high interest rate country, can generate high excess profits in both developed and emerging markets. Emerging market (EM) data are more favorable to the UIP hypothesis, but G-10 countries are in the opposite. In addition, the higher interest rate differential is usually associated with the exchange rate crash of the high interest rate currency. By decomposition, we find that the profit from G-10 country carry trade is mainly from strong exchange rates, while most of the emerging markets carry trade’s profits are from the huge interest rate differential.

By using quantile regression, we also find out that carry trade portfolios are exposed to multiple risk factors. Those factors are more significant at the low tail distribution of returns. Commodities prices and emerging market equities index are positively associated with next month’s carry trade return. Liquidity condition in the U.S. is negatively related to G-10 country carry trade, but not related to Emerging markets. Finally, by studying Bloomberg country specific risk data, we find that better financial, economic and political conditions in each country predict lower carry trade return.

[2] "Monetary Policy Surprises and the Response of Asset Prices", with Gang Wang,

Published, SocioEconomic Challenges (SEC), Volume 1, Issue 3, 2017.

Abstract: As an important monetary policy transmission channel, the financial markets behavior around interest rate decision of the Federal Reserve of US have been widely discussed by people in academia and industrial world. This paper uses an event study of macroeconomics to exam the casual relationship of the monetary policy shock on asset prices. We find that treasury bills, exchange rates of developed countries are significantly influenced by the unexpected component of the monetary policy in US from 1989 to 2008. In addition, emerging market exchange rates respond weakly to the policy surprise. We also pointed out that international equity markets and commodities prices are not sensitive to the rate decision of the Federal Reserve Bank in our sample of studies. The pre and post FOMC meeting day’s Treasury bill yields are also respond to the anticipated and unanticipated of the rate decisions. We also show that the unexpected monetary policy in US has significant 5-day post-meeting impacts on almost all asset classes.