In this paper, I unveil a novel mechanism through which a housing market boom leads to a recession following the burst of a housing market bubble. Overbuilding, characterized by increased residential construction driven by optimism or misinformation rather than sound economic foundations, crowds...

Quantifying the economic loss from climate change in China is crucial for understanding the potential costs and benefits of climate policy within the context of carbon neutrality. This study develops a multidisciplinary and integrated assessment framework for climate damage, which uses the...

This paper disentangles the effectiveness of quantitative easing (QE) into two channels: Liquidity (injecting liquidity into the market) and interest rate (twisting the term yield). Through a general equilibrium model with household heterogeneity and financial friction, I demonstrate that they...

This paper investigates the coherent risk measure of normal mixture distributions. The main result shows that the mean-risk portfolio optimization problem of some widely-used normal mixture distributions can be reduced to a quadratic programming problem which has closed form of solution by...

This paper extends Meucci's Effective Number of Bets to general risk measures with heavy-tailed distributions. By diagonalizing the Hessian matrix of a risk measure we are able to extract locally independent marginal contributions to the risk. The Minimal Torsion approach can still be applied to...

This paper presents the total least squares quasi-Monte Carlo approach (TLSQM) for valuing American barrier options, which modifies the least-squares Monte Carlo method (LSM). The total least squares are applied to estimate the conditional expected payoff to the option holder from continuation,...