题　目：The fickle and the stable: Global Financial Cycle transmission via heterogenenous investors

嘉　宾：Haonan Zhou(周皓南) Ph.D. Candidate Princeton University

主持人：张麒 副教授 上海交通大学安泰经济与管理学院

时　间：2024年2月26日（周一）09:30-11:00

地　点：上海交通大学 徐汇校区安泰楼B207室 

内容简介:

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.

演讲人简介：

Haonan Zhou is a Ph.D. Candidate in Economics at Princeton University. Before graduate school, he worked at the Research Department of International Monetary Fund. He graduated from the University of Chicago with a B.S. in Mathematics, with Specialization in Economics. His current research interests cover international macro-financial issues.

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