COVID-19 was first reported in Wuhan in late December 2019, and then spread throughout China, which has had great influence on many aspects of the economy. This paper uses the two-way fixed effects model to investigate the non-linear relationship between the death toll of COVID-19 and the...

We propose an asset pricing model with heterogeneous agents allocating capital to the stock and bond markets to optimize their portfolios, utilizing the dynamic interaction between the two markets. While some agents focus on the stock market and have more expertise in it, the others specialize...

We investigate the interaction between the real estate market and the business cycle volatility in China over the past two decades. A Bayesian dynamic stochastic general equilibrium (DSGE) model with nominal stickiness and collateral constraints is estimated. It is found that shocks from the...

The existing literature on the performance of monetary policy regimes is separate and isolated, with unidentified monetary policy framework for floating rate regime in the exchange rate regime literature and non-inflation targeting regime in the inflation targeting literature. This paper...

This study explores social capital and its relevance to bank risk taking across countries. Our empirical results show that the levels of bank risk taking are lower in countries with higher levels of social capital, and that the impact of social capital is mainly reflected by the reduced value of...

This paper revisits the asymptotic inference for non-stationary AR(1) models of Phillips and Magdalinos (2007a) by incorporating a structural change in the AR parameter at an unknown time k0. We derive the limiting distributions of the t-ratios of beta1 and beta2 and the least squares estimator...

Cost of living in Hong Kong is among the highest in the world. This paper investigates the effect of tourist arrivals on the residential property market in Hong Kong. It is demonstrated that the soaring number of tourists from mainland China is pushing up property rents in Hong Kong. The...

The price of gold and its determining factors have been studied extensively in the literature. However, there is a lack of research on structural break in the long memory of the gold markets. This paper examines the long memory properties of gold prices. In particular, it attempts to test the...

This paper analyzes the relationship between excess stock returns and the macroeconomy of China. A factor-augmented regression is applied to a panel of 123 monthly Chinese macroeconomic time series. Eight fundamental macroeconomic factors are identified and used to examine the excess returns in...