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国际经济学workshop: The fickle and the stable:Global Financial Cycle transmission via heterogeneous investors
发布日期：2024-03-19 12:00 来源：
主讲人：Haonan Zhou（Princeton University）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年3月19日（周二）下午3:00-4:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
I show that accounting for foreign investor base differences helps explain the heterogeneous influence of the Global Financial Cycle on sovereign borrowing of emerging market economies. Using security-level data and a quantitative model featuring heterogeneous investors, stochastic debt default risk and global financial shocks, I investigate the two-way interaction between asset attributes and investor composition. Facing global financial tightening, sovereign bonds with a higher institutional ownership by foreign investment funds suffer a larger price drop. The willingness for long-term investors, including banks, insurance companies and pension funds, to act as shock absorbers, however, is limited by their higher propensities to hold safer, home-currency-denominated bonds. Leveraging my estimate of long-term investors’ demand elasticity, the model replicates the empirical relationship between foreign investor mix and sovereign yield spread sensitivity to global risk factors. Policy measures that encourage the participation of long-term foreign investors or limit the risk exposure of investment funds could substantially reduce the volatility of emerging markets’ borrowing cost.
主讲人介绍：
Haonan Zhou is a PhD Candidate at Princeton University. His research interests are International Finance and Macroeconomics. His research has been published in the JIE and other Journals.
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首页
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国际经济学workshop: The fickle and the stable:Global Financial Cycle transmission via heterogeneous investors
发布日期：2024-03-19 12:00 来源：
主讲人：Haonan Zhou（Princeton University）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年3月19日（周二）下午3:00-4:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
I show that accounting for foreign investor base differences helps explain the heterogeneous influence of the Global Financial Cycle on sovereign borrowing of emerging market economies. Using security-level data and a quantitative model featuring heterogeneous investors, stochastic debt default risk and global financial shocks, I investigate the two-way interaction between asset attributes and investor composition. Facing global financial tightening, sovereign bonds with a higher institutional ownership by foreign investment funds suffer a larger price drop. The willingness for long-term investors, including banks, insurance companies and pension funds, to act as shock absorbers, however, is limited by their higher propensities to hold safer, home-currency-denominated bonds. Leveraging my estimate of long-term investors’ demand elasticity, the model replicates the empirical relationship between foreign investor mix and sovereign yield spread sensitivity to global risk factors. Policy measures that encourage the participation of long-term foreign investors or limit the risk exposure of investment funds could substantially reduce the volatility of emerging markets’ borrowing cost.
主讲人介绍：
Haonan Zhou is a PhD Candidate at Princeton University. His research interests are International Finance and Macroeconomics. His research has been published in the JIE and other Journals.
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