Estimates of canonical affine term structure model parameters are highly sensitive to sample periods. For example, depending on whether the sample starts in 1961 or 1981, the 5-5 forward risk-neutral rate for September 1981 differs by 4.6 percentage points or 98% of the latter. The estimated response of this rate to high-frequency monetary policy shocks differs by a factor of three, even within a fixed sample for the monetary policy transmission regression. We suggest that a shifting endpoint model can mitigate these issues. Additionally, we provide new estimates of the effects of monetary policy shocks on long-term risk-neutral rates.

We construct a daily Chinese Housing Market Sentiment Index by applying GPT-4o to Chinese news articles. Our method outperforms traditional models in several validation tests, including a test based on a suite of machine learning models. Applying this index to household-level data, we find that after monetary easing, an important group of homebuyers (who have a college degree and are aged between 30 and 50) in cities with more optimistic housing sentiment have lower responses in non-housing consumption, whereas for homebuyers in other age-education groups, such a pattern does not exist. This suggests that current monetary easing might be more effective in boosting non-housing consumption than in the past for China due to weaker crowding-out effects from pessimistic housing sentiment. The paper also highlights the need for complementary structural reforms to enhance monetary policy transmission in China, a lesson relevant for other similar countries. Methodologically, it offers a tool for monitoring housing sentiment and lays out some principles for applying generative AI models, adaptable to other studies globally.

Local financial development is crucial for advancing regional financial supply side structural reform, enabling local governments to leverage financial instruments to effectively mobilize land resources and foster competitive growth. The introduction of numerous financial products linked to land-related rights and interests has resulted in a pronounced transmission and interconnection of fiscal and financial risks across regions. This study examines the impact of local financial development on land financialization in China using panel data from prefecture-level cities and detailed information on land mortgages. The findings indicate that the establishment of city commercial banks (CCBs) contributes to the progress of land financialization by incentivizing local government financing vehicles to participate in land mortgage financing, increasing the transfer of debt risks to the financial sector. Notably, the impact of CCBs on land financialization is more pronounced in regions with urban agglomeration, high GDP manipulation, inadequate local financial regulation, and robust implicit government guarantees. Further analysis reveals that CCB establishment has negative spillover effects on land financialization in neighboring areas, while expansion strategies such as establishing intercity branches, engaging in cross-regional mergers, and relaxing regulations have mitigated the rise of land financialization at the regional level. This study provides policy recommendations that focus on reducing local governments’ reliance on land financing and enhancing the prevention and management of financial risks.

We examine the relation between the CEO’s childhood socioeconomic class and corporate labor policies. We find that CEOs raised in low socioeconomic class families are less likely to invest in employee friendly firm policies measured by several types of labor and employment litigation, including litigation by unions, and occupational safety measures. These results are confirmed by crowdsourced employee firm reviews across several workplace dimensions. Our findings are supported by the studies of within-family transmission of occupational knowledge and formation of occupational norms as well as development of empathy and altruistic behaviors in children.

This paper studies the transmission of monetary policy to the stock market through investors’ discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China, and thereby control for revisions in cash-flow expectations. We find this channel to be strong and asymmetric, with the effect driven by surprise monetary policy interest rate cuts. A 100 basis point surprise cut results in a 30 basis point increase in the ratio of stock prices over 5 days. These results suggest significant slow-moving reductions in stock market risk premia following accommodating monetary policy surprises.

The study of interconnections between various sectors of the national economy is crucial for understanding the pattern and pace of macroeconomic growth. This paper analyzes the macroeconomic impact of shocks occurring in specific sectors through both supply and demand perspectives and proposes a combination of bottom-up and top-down structural path analysis approaches to trace the transmission path of network spillover effects, where shocks in this paper refer to microeconomic productivity changes and network spillover is defined as the effect on GDP due to the propagation of shocks to other sectors. The research results found that the total spillover effect of primary and secondary industry sectors in China shows an inverted U-shape, and the total spillover effect of tertiary industry sectors shows an upward trend. A large total spillover effect of a sector does not mean that both upward and downward spillover effects are large; for example, the construction industry has high upward spillover effects and low downward spillover effects. The spillover effect of each production layer decreases as the path lengthens, and the distribution is Lshaped.In addition, by identifying the critical paths of spillover effects, we find that the spillover effects of labor-intensive industries, such as wholesale and retail, are decreasing year by year, and the spillover effects of the paths related to the information technology industry are gradually occupying an important position.

Using a proprietary database of stock transactions in China, we document significant trading disparities between retail and institutional investors around important macro announcements. These disparities are driven by differences in information positions. We find that before the monthly releases of China’s key monetary aggregates data, institutional investors reduce their stock exposure and shift towards riskier, smaller-cap stocks. In contrast, retail investors increase their stock exposure and avoid riskier stocks. The risk positions of institutional investors are compensated by the pre-announcement premium in smaller stocks. Following the announcements, institutional investors trade in line with news surprises, contributing to price discovery and reinforcing monetary policy transmission into asset prices. Our findings have implications for understanding announcement-related equity premium and for evaluating the general efficiency of stock market in China.

This paper aims to investigate the transmission mechanism through which trade policy uncertainty (TPU) impacts bank risk-taking via firms’ capital market performance. The research reveals that TPU significantly affects firms’ capital market performance, leading to reduced stock liquidity, increased stock price crash risk, decreased stock price synchronicity, and lower stock returns. These effects are transmitted to bank risk-taking, resulting in an overall increase in banks’ passive risk-taking and a decrease in their willingness to undertake active risk-taking. Furthermore, we discover that the impact of TPU on bank risk-taking varies across different categories of firms, revealing heterogeneity in this transmission process. This study uncovers the critical mechanism through which TPU propagates in financial markets, offering important theoretical insights and policy implications for understanding and managing financial risk.

We examine the interest rate pass-through in Hong Kong (HK) and Macao to see if the monetary policy transmission mechanism has been impaired since the Global Financial Crisis (GFC). Our results show that, in the post-GFC period, both the long-run and short-run interest rate pass-through from policy rates to prime rates have disappeared in Macao and weakened significantly in HK. The long-term relationship between deposit rates and policy rates no longer exists in either market while the short-term relationship has been reduced significantly. The results indicate that the effectiveness of the monetary policy in HK and Macao has been seriously undermined after the GFC and alternative monetary policy tools were needed.

This paper selects 346 green bonds issued in China from 2016 to 2021 as the sample, and the Propensity Score Matching (PSM) method is employed to confirm the existence of ‘green premium’ in the Chinese bond market. On this basis, data on internet media sentiment and print media sentiment are collected from ‘Sina Weibo’ and ‘China Important Newspaper Full Text Database’ by both Web Crawler Technology and Textual Analysis Methods to explore the impact and the mechanism of heterogeneous media sentiments on the ‘green premium’. The results show that both the optimism of internet media and print media can significantly promote the ‘green premium’ of green bonds, and the influence of print media sentiment on the ‘green premium’ is greater than that of internet media sentiment. In addition, the Bootstrap method verifies the mediating effect of print media sentiment in the influence of internet media sentiment on ‘green premium’, indicating that print media sentiment is an important transmission path. Moreover, the results of the heterogeneity test show that the more optimistic the media is, the more significant the ‘green premium’ effect is in the regions with higher institutional environments and financial subsidy policies. The ‘green premium’ of green bonds is most pronounced for higher levels of institutional environment and green bond preferential policies.