Endogenous Global Risk

主讲人：Ji Huang (CUHK)

主持人：余淼杰、余昌华（北京大学国家发展研究院）

时间：2022年06月07日（周二）上午10:30-12:00（北京时间）

Zoom会议号：926 3889 7210

密码：908060

摘要：

The U.S. could be the source of the global financial risk because it longs risky assets and shorts safe assets in the international capital market. This paper builds a stylized two-country model to highlight that when the developed country's risk-bearing capacity improves, it holds more foreign risky assets and issue more risk-free debt. The foreign country's risk-bearing capacity is enhanced thanks to international risk sharing. Hence, the financial health of the developed country is the key driver behind the co-movement of global capital flow, asset price, risk premiums, and volatility, and the main variable affecting the valuation effects of its external positions and the financial contagion across countries. The risk-bearing capacity of the developing country, in turn, determines its supply of safe assets, whose fluctuation influences the demand for global safe assets and risk-free rates. We model a country's endogenously time-varying risk-bearing capacity in a continuous-time macro-finance framework featuring within-country heterogeneity and the equity financing constraint.

主讲人简介：

Ji Huang(黃吉) is an Assistant Professor of Economics in the Department of Economics, The Chinese University of Hong Kong. He is also 2013 MFM Fellowship Awardee. He received a BA degree in Managementfrom Southwestern University of Finance and Economics, a MA degree in Economics from Nankai University, and a PhD in Economics from Princeton University. His research areas are on Banking and Macro-finance. He has published in Journal of Economic Theory.