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The Chinese Saving Rate: Long-Term Care Risks, Family Insurance, and Demographics
Ayşe İmrohoroğlu, Kai Zhao, Sep 13, 2017In this paper, we show that a general equilibrium model that properly captures the risks in old age, the role of family insurance, changes in demographics, and the productivity growth rate is capable of generating changes in the national saving rate in China that mimic the data well. Our findings suggest that the combination of the risks faced by the elderly and the deterioration of family insurance due to the one-child policy may account for approximately half of the increase in the saving rate between 1980 and 2010. We also show that changes in total factor productivity growth account for the fluctuations in the saving rate during this period.
An Empirical Overview of Chinese Capital Market
Grace Xing Hu, Jun Pan, Jiang Wang, Jun 29, 2022We provide an empirical review of the Chinese capital market, focusing on the basic return and risk characteristics of its major asset classes, as well as a comparison to the US market. All major asset classes in China have significant higher volatilities than their counterparts in the US market, but they do not always yield larger returns. Small-company stocks, short-, medium-, and long-term treasury bonds outperform their US counterparts, while large stocks underperform and long-term enterprise bonds yield similar returns.
Connections and Buildings collapse in the Sichuan Earthquake
Yiming Cao, May 24, 2023This study investigates the factors contributing to building damage during the 2008 Sichuan earthquake.
The Two-Pillar Policy for the RMB from December 2015 to May 2017
Urban J. Jermann, Bin Wei, Vivian Yue, Aug 16, 2017We document that since December 2015 the People’s Bank of China (PBC) has followed a “two-pillar” exchange rate policy that aims to achieve both stability and flexibility. Based on a no-arbitrage model and options price data we estimate the credibility of the policy as well as its impact on the RMB/USD exchange rate. The model was able to correctly forecast the end of the two-pillar policy in May 2017.
The Collateral Channel of Monetary Policy: Evidence from China
Hanming Fang, Yongqin Wang, Xian Wu, May 13, 2020As a quasi-natural experiment to estimate the causal impact of the collateral-based unconventional monetary policy, we exploit the expansion of the collateral for the Medium-Term Lending Facility (MLF) in the interbank bond market on June 1, 2018 by the People’s Bank of China. We also consider that many bonds are dual-listed in a largely segmented exchange market. We find that the policy reduced the spreads of the newly collateralizable, dual-listed bonds in the treatment...
