Consistent with the Minsky hypothesis and the “volatility paradox” (Brunnermeier and Sannikov, 2014), recent empirical evidence suggests that financial crises tend to follow prolonged periods of financial stability and investor optimism. But does financial stability/tranquility always call...

Using a screening model with asymmetric information, I evaluate the positive and normative effects of the subsidized default insurance policy in the U.S. mortgage market. The model implies that the subsidy raises interest rates for eligible mortgages, which is contrary to conventional wisdom but...

It is of vital importance to better understand the US housing market, a market where the global financial crisis was originated from. In this paper, we build an infinite-horizon continuous-time structural model to study the effects of the long-standing and widespread Government-Sponsored...

I empirically evaluate the subsidized default insurance policy (implemented through the guarantee for Government-Sponsored Enterprises) in the U.S. mortgage market. First, I find that the subsidy has raised mortgage interest rates for all loans strictly eligible for the subsidy (conforming...

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead volatility indices dropped following announcements of...

Housing is by far the most important asset in households’ balance sheets across many countries including China, and the policy relevance of the housing sector has been increasingly recognized (as evident by the inclusion of the housing cost into ECB’s inflation measure proposed in its new...

The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess...

Housing is by far the most important asset in Chinese households' balance sheets. However, despite forceful and frequent government interventions, the rise in Chinese housing prices has not been contained as much as intended, a trend that has not been reversed by the COVID-19 shock. In this...