This paper uses non-parametric methods to study the efficiency (Dybvig, 1988 and Post, 2003) and risk-profiles (Varian, 1988) of dynamic portfolio choices. We design an experiment which varies the number of states (complexity), and includes an equivalent static Arrow-Debreu problem. The results...

Despite the swift rise of shadow banking in China over the last decade, the challenge it poses to the monetary policy effectiveness is understudied. Using a novel dataset of listed Chinese banks, we find that aggressive issuance of off-balance sheet WMP impedes an efficient transmission of...

We empirically examine the response of cross-border capital flows to economic uncertainty. Using bilateral banking flow data, we show that while banks reduce their exposure to a foreign country when it becomes more risky, they tend to increase their exposure to their home country in bad times (a...

Focusing on local state-owned enterprise (SOE) bond credit spreads in China during the period 2013 to 2020, we disentangle a province premia component from firms' fundamentals and present evidence of an increasing subnational debt market fragmentation since 2018, which is shown to be associated...

We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market over the past twenty years. The index is a composite of popular price-based and quantity-based metrics of liquidity. The composite indexes, obtained by averaging...

This paper examines how the introduction of bond lending in China's bond market has affected violations of the law of one price, measured by the yield spread between similar treasury bonds. To identify the effect of bond lending, we exploit the fact that in China identical bonds are traded on...

We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market over the past twenty years. The index is a composite of popular price-based and quantity-based metrics of liquidity. The composite indexes, obtained by averaging...