Prof. Zhiguo He

Papers

  • Working Papers
  • The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes, with Zhuo Chen and Chun Liu. New, Presentation Slides.
    China's four-trillion-yuan stimulus package fueled by bank loans in 2009 led to the rapid growth of shadow banking in China several years later, evidenced by the composition shift of the local government liabilities.
  • Leverage Dynamics without Commitment, with Peter DeMarzo, 11/2016.
    Firms who cannot commit to their future debt policies will issue debt but never repurchase at any point of time, and the firm's leverage follows an endogenous mean-reverting process in response to asset growth shocks. Equity and debt valuations and endogeous debt issuance polices are derived in closed-form for the log-normal cash-flow process.
  • A Model of Safe Asset Determination, with Arvind Krishnarthy and Konstantin Milbradt, 02/2016. R&R in American Economic Review.
    The safe asset tends to be the bonds issued by a relatively strong country. Large debt size helps the safety status given a high global demand for safe asset (previously circulated under the title of "A model of reserve asset.")
  • A Macroeconomic Framework for Quantifying Systemic Risk, with Arvind Krishnamurthy, 06/2014. R&R in American Economic Review. Presentation Slides, Matlab code.
    Winner of Swiss Finance Institute Outstanding Paper Award 2012
    Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We calibrate our model and use it to match the systemic risk apparent during the 2007/2008 financial crisis.

  • Publications
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