YINAN SU |
Ph.D. Candidate Joint Program in Financial Economics The University of Chicago |
|
I am on the job market this year and will be available for interviews at the Philadelphia AEA/AFA Meeting in Jan. 2018.
My primary research interests are banking and networks, secondary research interests are empirical asset pricing and financial econometrics. References: Lars Peter Hansen (Co-Chair) Zhiguo He (Co-Chair) Douglas Diamond Bryan Kelly |
|
Job Market Paper
|
Interbank Runs: a Network Model of Systemic Liquidity Crunches [View]
Abstract: I study how interbank lending network structures affect financial fragility. In interbank runs, banks mutually reinforce each other to withdraw interbank lending. Unlike the other liquidity crisis models, banks’ precautionary liquidity hoarding strategies are linked by the pre-existing interbank lending connections. I show such dispersed and indirectly linked interactions also lead to discontinuous and system-wide liquidity crunch. Local insolvency shocks trigger the interbank run, if the network is unraveled beyond a critical point. In that case, interbank lending drops, banks self-insure by hoarding liquid assets, social real investments evaporate. The model is applied to identify the critical banks for capital injection during bailouts, and study the systemic effects of the proposed regulations on restraining the highly connected banks.
|
Working Papers
|
Some Characteristics Are Risk Exposures, and the Rest Are Irrelevant [View]
with Bryan Kelly and Seth Pruitt Abstract: We use a new method to estimate common risk factors and loadings in the cross section of asset returns. The method, Instrumented Principal Components Analysis (IPCA), allows for time-varying loadings in a latent factor return model by introducing observable characteristics that instrument for the unobservable dynamic loadings. If the characteristics' expected return relationship is driven by compensation for exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers that the characteristic effect is compensation without risk and allocates it to an "anomaly" intercept. Studying returns and characteristics at the stock-level, we find that three IPCA factors explain the cross section of average returns significantly more accurately than existing factor models and produce characteristic-associated anomaly intercepts that are small and statistically insignificant. Furthermore, among a large collection of characteristics explored in the literature, only seven are statistically significant in the IPCA specification and are responsible for nearly 100% of the model's accuracy.
Abstract: We propose a method of factor estimation for a data panel Y by using the data tensor Z to parameterize loadings --- Instrumented Principal Component Analysis. IPCA allows us to identify a model wherein factor loadings vary over both panel dimensions, which is an implication of various economic theories. Our benchmark estimator is computed virtually instantaneously using the singular value decomposition --- we show the consistency and asymptotic distribution for resulting estimates. An application to international macroeconomics suggests that a nation's import share, gross capital formation share, and overall level of GDP drive its relationship to a global growth factor, whereas population density does not.
The Reflection Channel of Shock Transmission in Production Networks [View]
Abstract: This paper studies the general equilibrium effects of industry-specific productivity shock in an economy in which sectors are connected via input-output linkages. My central finding is productivity shocks do not only travel downstream as is standard in the literature, but also trigger demand change at the final consumption industries, which propagates upstream. I label this novel mechanism “reflection channel”. Differences of the elasticity of substitution of consumption and production for the final consumption industries drive the demand change. Empirically, the magnitude of the reflection channel is around three times greater than the previously studied downstream channel. When a positive productivity shock reaches a final consumption industry, consumers substitute towards it much more than producers substitute away, increasing the demand of its upstream industries, and vice versa.
|
Contact
|
Cell: 773-501-7620
Email: yns@uchicago.edu Home Address: 5559 S. Kimbark Ave., Apt 1 Chicago, IL 60637 |
The University of Chicago
Saieh Hall for Economics 1126 E. 59th Street Chicago, IL 60637 |
