We study whether commodity risk is efficiently priced in the cross-section of US equities. We first provide novel evidence on firm-level risk exposure to up to 42 individual commodities. We then construct a mispricing measure as the realized return less the commodity-risk-implied return, and find that it strongly predicts next-month return reversal beyond the traditional short-term reversal. This commodity-risk-mispricing reversal is substantially stronger among small, less analyst- or media-covered stocks, is weakly associated with investor sentiment, and is less prevalent among firms that engage in commodity hedging. In particular, underpricing among these hedgers often remains persistent and even intensifies after the 2004 financialization of commodity markets. This implies that despite the overall decline in mispricing, financialization has likely introduced more costs than benefits for corporate risk management.

货币政策传导效果具有显著状态依赖特征，其强度和路径随经济周期、金融条件与市场预期动态调整。本文结合叙事符号约束结构向量自回归(SVAR)与平滑迁移局部投影(ST-LP)，基于2006年3月至2025年12月的中国宏观经济月度数据识别外生货币政策冲击，考察不同周期阶段的非对称传导效应，并从利率、信用和预期渠道分析其机制。研究发现：第一，货币政策具有显著经济周期非对称效应，相比扩张期，扩张性货币政策在收缩期对产出和通胀的促进作用更强，但冲击初期存在时滞；第二，利率渠道在两种状态下均有效传导，收缩期宽松政策能推动信用扩张，但信用利差未同步收窄；第三，预期渠道主体分化，企业信心在收缩期明显改善并与产出修复呼应，消费者信心响应较弱。这为完善逆周期宏观调控提供新的经验证据。

Firm characteristics help estimate conditional factor loadings. Larger libraries contain new and overlapping information. We use the cross-sectional distribution of firm characteristics as a ruler to evaluate IPCA loading spaces. With factor counts fixed, expanding from 36 to 153 characteristics can improve in-sample fit while representing momentum and size positions less fully. Reallocating shared exposures changes attribution without changing joint fitted returns. With coefficients fixed, exposure references alter holdings, trading, and subsequent risk at the same characteristic target. Statistical factor models should be evaluated not only by return fit, but also by the exposures they represent and the investment decisions they support.

在全球经济格局深度调整与国际货币体系多极化的背景下，人民币国际化已成为我国参与国际货币体系变革、促进实体经济开放发展的核心战略。然而，既有研究主要从制度和政策层面展开探讨，却相对忽略了一国内部要素禀赋、产业结构与金融结构动态适配的内生逻辑。新结构经济学主张要素禀赋结构内生决定最优产业结构，进而内生出与之相匹配的最优金融结构，这为解读我国人民币国际化路径提出了崭新视角。本文将立足新结构经济学视角，试图以此探讨人民币国际化的阶段性推进路径与政策协同框架，以期丰富理论认知并提供实践参考。

We study international monetary policy comovement using a large language model to analyze statements from 32 central banks. Federal Reserve guidance predicts subsequent policy guidance abroad, while its growth and inflation assessments show no comparable predictability. This guidance relationship strengthens with financial stress and capital-account openness, suggesting a financial channel. Consistent with this interpretation, central banks more often explain how external conditions affect domestic risks and policy choices when guidance is collectively closer to the Fed's. Guidance alignment also has exchange-rate implications: closer prior guidance is associated with less currency depreciation following unexpected upward revisions to the U.S. policy-rate path.

We study international monetary policy comovement using a large language model to analyze statements from 32 central banks. Federal Reserve guidance predicts subsequent policy guidance abroad, while its growth and inflation assessments show no comparable predictability. This guidance relationship strengthens with financial stress and capital-account openness, suggesting a financial channel. Consistent with this interpretation, central banks more often explain how external conditions affect domestic risks and policy choices when guidance is collectively closer to the Fed's. Guidance alignment also has exchange-rate implications: closer prior guidance is associated with less currency depreciation following unexpected upward revisions to the U.S. policy-rate path.

本文基于2010年第一季度至2023年第四季度229家中国商业银行的季度数据，考察存款定期化对货币政策信贷传导的影响。结果表明：第一，存款定期化显著削弱宽松货币政策对银行信贷增长的促进作用，该结论经多项稳健性检验和内生性处理后仍然成立。第二，存款定期化主要通过负债价格和负债数量两条渠道削弱货币政策向银行信贷的传导，并且在控制批发融资、市场竞争和银行资产质量等替代性因素后，核心结果保持稳健。第三，上述影响具有一定的动态持续性，并进一步削弱宽松货币政策对企业融资、投资和就业的促进作用；宏观层面的状态依赖局部投影模型分析显示，高存款定期化状态下，总量信贷、实际产出和资本形成对宽松货币政策的响应幅度总体较小。本文从银行存款期限结构视角拓展了货币政策存款渠道研究，为理解我国货币政策向银行信贷传导的异质性及其实体经济效应提供了新的经验证据。

数字技术大幅降低了信息的生产与传播门槛，但低门槛、高传播的数字舆论监督多大程度上能够发挥企业绿色转型的治理作用仍有待检验。本文以自媒体作为数字舆论监督的典型代表，基于第三方微信公众号发布的32万余篇文章，构建自媒体关注度及其内容特征指标，系统考察了数字舆论监督对企业绿色创新的影响。研究发现，自媒体关注虽能显著提升企业绿色专利申请数量，但未同步提升专利质量，形成了明显的“量质分化”。机制检验表明，自媒体通过提高分析师研报覆盖和投资者互动关注强化了资本市场外部监督强度，但企业主要以更积极的环保表述和更充分的信息披露作出回应，并未转化为环保投资增加和污染排放改善，呈现明显的“言过于行”。上述效应在外部关注压力更强、管理层短期化倾向更明显的企业中更为突出，也主要由聚焦绿色议题、持续跟踪且语调积极的报道所触发。进一步研究发现，自媒体与分析师、传统新闻媒体能够形成互补效应；由数字舆论监督驱动的绿色专利扩张虽能改善第三方环境评价，却受到资本市场的估值折价。本文结论为完善自媒体治理、促进企业的绿色创新转型等提供了重要启示。

This paper examines how major artificial intelligence (AI) breakthroughs affect the market pricing of firms’ pre-existing AI capabilities. Using Chinese listed firms’ 2023–2024 AI patents classified with a large language model, we estimate dynamic stock return and volatility responses to the DeepSeek-R1 release. Stronger pre-event AI capabilities are associated with higher post-release returns and greater short-term volatility, with volatility effects persisting longer. Positive return responses concentrate in algorithms and models, not computing infrastructure, while industry applications show later volatility increases without comparable return gains. These findings highlight technology-specific differences between return and volatility responses to AI breakthroughs.

This study investigates the role of contextual cues in memory-based decision-making within high-stakes trading environments. Using trade records from a large Chinese brokerage firm, I show that an everyday contextual cue—geographic location—triggers the recall of previously traded stocks: when an investor returns to a city she has visited before, her probability of retrading stocks associated with that city rises by 2.1 percentage points under the most saturated specification (up to 12.2 percentage points under less saturated ones). The effect displays the signatures of similarity-based recall: it is diluted by intervening trading experiences, decays with the age of the memory trace, survives when the city is not the investor's home, is not explained by mechanical recency, and is present for orders submitted via both smartphones and PCs. I then examine an extreme-event cue, COVID-19 quarantine, and find a smaller and less robust effect; the interference and decay signatures are absent precisely for these strongly encoded traces, as the memory account predicts. Memory-cued transactions underperform: stocks bought upon the cue earn about 50 basis points less per week than stocks bought for other reasons on the same day. The study provides causal field evidence for memory-based theories, particularly similarity-based recall, in real-world trading.