We explore the information content of counterparty identities and how their disclosure can be exploited by other investors in a post-trade transparent market. Using data from the Helsinki Stock Exchange, we form dynamic mean-variance strategies with daily rebalancing which condition on the net...

We present the first micro-level evidence of the transmission of shocks through financial networks. Using the network of credit default swap (CDS) transactions between banks, we identify bank CDS returns attributable to counterparty losses. A bank's own CDS spread increases whenever...

Abstract We examine how Chinese exporters adjust their number of exported varieties with respect to different characteristics of destination countries and varying trade cost. Using the Chinese firm-level customs data from the years 2001 and 2006, we show that: (i) firms export fewer varieties...

The rise of market power and the decline of labor's share of GDP in the United States in recent decades is well documented and have critical macroeconomic implications, but the determinants of such trends remain unclear. This paper asks how and to what degree increasing import penetration...

The rise of market power in recent decades has received increased attention, but the determinants of such a rise remain unclear. This paper studies whether and how increasing import penetration of inputs leads to a more concentrated market structure and the associated rise of markups. The use of...

The effect of exchange rate movement on trade has been studied widely for a long history. Most literatures focus on its impacts on firms' export performances, and the performances usually refer to the intensive and extensive margins of export. Adding to the existing studies, we explore how firms...

In this paper, we investigate the relation between the export patterns and the income inequality of the destination countries using the Chinese firm-level data. Our empirical analysis finds two main results: (i) export price decreases in the income inequality of the destination countries; while...

Throughout the era of China’s accession to World Trade Organization (WTO), the labor market and education dynamics have been significantly impacted by the surge in foreign direct investment (FDI). This study scrutinizes how these factors interplay, with emphasis on migrants’ educational...

The rise of market power and the decline of labor's share of GDP in the United States in recent decades is well documented and have critical macroeconomic implications, but the determinants of such trends remain unclear. This paper asks how and to what degree increasing import penetration...

This dissertation consists of three stand-alone research papers, all of which treat the topic of estimation and dynamic modelling of multivariate volatility by employing the information contained in high-frequency data, which became available in the last 10 - 15 years. The main focus of all...