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Publications

by members of

School of Banking and Finance
University of International Business and Economics (UIBE)
Beijing, China

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters | Software components |

Working papers

2021

  1. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021. "Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets," Papers 2102.04591, arXiv.org.
  2. Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers 2112.05302, arXiv.org.
  3. Wang, Boqun & Yang, Dennis Tao, 2021. "Volatility and Economic Systems: Evidence from A Large Transitional Economy," MPRA Paper 106624, University Library of Munich, Germany.

2017

  1. Gong, Di & Huizinga, Harry & Laeven, L.A.H., 2017. "Nonconsolidated Affiliates, Bank Capitalization, and Risk Taking," Discussion Paper 2017-003, Tilburg University, Center for Economic Research.

2016

  1. Julien Albertini & Hong Lan, 2016. "The importance of time-varying parameters in new Keynesian models with zero lower bound," SFB 649 Discussion Papers SFB649DP2016-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Wagner, Wolf & Gong, Di, 2016. "Systemic risk-taking at banks: Evidence from the pricing of syndicated loans," CEPR Discussion Papers 11150, C.E.P.R. Discussion Papers.
  3. Hang Zhou, 2016. "Cross-Country Evidence on Monetary Policy Autonomy: A Markov Regime Switching Approach," 2016 Papers pzh699, Job Market Papers.

2015

  1. Wagner, Wolf & Bertay, Ata & Gong, Di, 2015. "Securitization and Economic Activity: The Credit Composition Channel," CEPR Discussion Papers 10664, C.E.P.R. Discussion Papers.
  2. Huizinga, Harry & Laeven, Luc & Gong, Di, 2015. "Nonconsolidated subsidiaries, bank capitalization and risk taking," CEPR Discussion Papers 10992, C.E.P.R. Discussion Papers.
  3. Gong, Di, 2015. "Essays on banking and financial innovation," Other publications TiSEM 9f8c23b7-7139-4cc6-be80-4, Tilburg University, School of Economics and Management.

2014

  1. Hong Lan, 2014. "Comparing Solution Methods for DSGE Models with Labor Market Search," SFB 649 Discussion Papers SFB649DP2014-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Gong, D., 2014. "Bank Systemic Risk-Taking and Loan Pricing : Evidence from Syndicated Loans," Discussion Paper 2014-046, Tilburg University, Center for Economic Research.

2013

  1. Hong Lan & Alexander Meyer-Gohde, 2013. "Decomposing Risk in Dynamic Stochastic General Equilibrium," SFB 649 Discussion Papers SFB649DP2013-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Hong Lan & Alexander Meyer-Gohde, 2013. "Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations," SFB 649 Discussion Papers SFB649DP2013-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Gong, D. & Ligthart, J.E., 2013. "Does Corporate Income Taxation Affect Securitization? Evidence from OECD Banks," Discussion Paper 2013-067, Tilburg University, Center for Economic Research.

2012

  1. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.

2011

  1. Hong Lan & Alexander Meyer-Gohde, 2011. "Solving DSGE Models with a Nonlinear Moving Average," SFB 649 Discussion Papers SFB649DP2011-087, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Journal articles

2023

  1. Gong, Di & Xu, Jiajun & Yan, Jianye, 2023. "National development banks and loan contract terms: Evidence from syndicated loans," Journal of International Money and Finance, Elsevier, vol. 130(C).
  2. Tong, Chen & Huang, Zhuo & Wang, Tianyi & Zhang, Cong, 2023. "The effects of economic uncertainty on financial volatility: A comprehensive investigation," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 369-389.
  3. Chen, Xiaoyi & Feng, JianFen & Wang, Tianyi, 2023. "Pricing VIX futures: A framework with random level shifts," Finance Research Letters, Elsevier, vol. 52(C).
  4. Li, Zhiyong & Wan, Yifan & Wang, Tianyi & Yu, Mei, 2023. "Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).

2022

  1. Gong, Di & Jiang, Tao & Li, Zhao & Wu, Weixing, 2022. "Optimal loan contracting under policy uncertainty: Theory and international evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  2. Di Gong & Zongxin Qian, 2022. "Inflation targeting and financial crisis," Applied Economics, Taylor & Francis Journals, vol. 54(41), pages 4782-4795, September.
  3. Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022. "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, vol. 109(C).
  4. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Directly pricing VIX futures: the role of dynamic volatility and jump intensity," Applied Economics, Taylor & Francis Journals, vol. 54(32), pages 3678-3694, July.
  5. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
  6. Chen Tong & Zhuo Huang & Tianyi Wang, 2022. "Do VIX futures contribute to the valuation of VIX options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1644-1664, September.
  7. Elliot Anenberg & Chun Kuang & Edward Kung, 2022. "Social learning and local consumption amenities: Evidence from Yelp," Journal of Industrial Economics, Wiley Blackwell, vol. 70(2), pages 294-322, June.
  8. Lu, Dong & Liu, Jialin & Zhou, Hang, 2022. "Global financial conditions, capital flows and the exchange rate regime in emerging market economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  9. Dong Lu & Tian Xia & Hang Zhou, 2022. "Foreign exchange intervention and monetary policy rules under a managed floating regime: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 54(28), pages 3226-3245, June.

2021

  1. Gong, Di & Jiang, Tao & Lu, Liping, 2021. "Pandemic and bank lending: Evidence from the 2009 H1N1 pandemic," Finance Research Letters, Elsevier, vol. 39(C).
  2. Huang, Zhuo & Liang, Fang & Wang, Tianyi & Li, Chao, 2021. "Modeling dynamic higher moments of crude oil futures," Finance Research Letters, Elsevier, vol. 39(C).
  3. Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng, 2021. "Measuring investors’ risk aversion in China’s stock market," Finance Research Letters, Elsevier, vol. 42(C).
  4. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021. "Liquidation, leverage and optimal margin in bitcoin futures markets," Applied Economics, Taylor & Francis Journals, vol. 53(47), pages 5415-5428, October.
  5. Fangsheng Yin & Yang Bian & Tianyi Wang, 2021. "A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 458-477, April.
  6. Bo, Shiyu & Deng, Liuchun & Sun, Yufeng & Wang, Boqun, 2021. "Intergovernmental communication under decentralization," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 606-652.
  7. Kuang, Chun & Liu, Zijie & Zhu, Wenyu, 2021. "Need for speed: High-speed rail and firm performance," Journal of Corporate Finance, Elsevier, vol. 66(C).
  8. Zhou, Hang & Yu, Mei & Li, Jiahui & Qin, Qilin, 2021. "Rare disasters, exchange rates, and macroeconomic policy: Evidence from COVID-19," Economics Letters, Elsevier, vol. 209(C).

2020

  1. Chen, Jiayuan & Gong, Di & Muckley, Cal, 2020. "Stock market illiquidity, bargaining power and the cost of borrowing," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 181-206.
  2. Wang, Yajing & Liang, Fang & Wang, Tianyi & Huang, Zhuo, 2020. "Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 87(C), pages 148-157.
  3. Zhuo Huang & Chen Tong & Tianyi Wang, 2020. "Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options," Applied Economics, Taylor & Francis Journals, vol. 52(17), pages 1866-1880, April.

2019

  1. Hu, Shiwei & Gong, Di, 2019. "Economic policy uncertainty, prudential regulation and bank lending," Finance Research Letters, Elsevier, vol. 29(C), pages 373-378.
  2. Yaojie Zhang & Feng Ma & Tianyi Wang & Li Liu, 2019. "Out‐of‐sample volatility prediction: A new mixed‐frequency approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(7), pages 669-680, November.
  3. Zhuo Huang & Chen Tong & Tianyi Wang, 2019. "VIX term structure and VIX futures pricing with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 72-93, January.
  4. Daniel A. Broxterman & Chun Kuang, 2019. "A revealed preference index of urban amenities: Using travel demand as a proxy," Journal of Regional Science, Wiley Blackwell, vol. 59(3), pages 508-537, June.
  5. Jee W. Hwang & Chun Kuang & Okmyung Bin, 2019. "Are all Homeowners Willing to Pay for Better Schools? ─ Evidence from a Finite Mixture Model Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 638-655, May.

2018

  1. Hong Lan, 2018. "Comparing Solution Methods for DSGE Models with Labor Market Search," Computational Economics, Springer;Society for Computational Economics, vol. 51(1), pages 1-34, January.
  2. Gong, Di & Jiang, Tao & Wu, Weixing, 2018. "A foreign currency effect in the syndicated loan market of emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 211-226.
  3. Gong, Di & Huizinga, Harry & Laeven, Luc, 2018. "Nonconsolidated affiliates, bank capitalization, and risk taking," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 109-129.

2017

  1. Bertay, Ata Can & Gong, Di & Wagner, Wolf, 2017. "Securitization and economic activity: The credit composition channel," Journal of Financial Stability, Elsevier, vol. 28(C), pages 225-239.
  2. Xiaohua Wang & Zhi Luo & Tianyi Wang & Zhuo Huang, 2017. "The Impact of Privatization on TFP: a Quasi-Experiment in China," Annals of Economics and Finance, Society for AEF, vol. 18(1), pages 53-71, May.
  3. Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen, 2017. "Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(4), pages 328-358, April.
  4. Tianyi Wang & Yiwen Shen & Yueting Jiang & Zhuo Huang, 2017. "Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(7), pages 641-659, July.
  5. Kuang, Chun, 2017. "Does quality matter in local consumption amenities? An empirical investigation with Yelp," Journal of Urban Economics, Elsevier, vol. 100(C), pages 1-18.

2016

  1. Huang, Zhuo & Liu, Hao & Wang, Tianyi, 2016. "Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model," Economic Modelling, Elsevier, vol. 52(PB), pages 812-821.
  2. Hao Liu & Shihan Shen & Tianyi Wang & Zhuo Huang, 2016. "Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect," China Economic Journal, Taylor & Francis Journals, vol. 9(2), pages 140-153, May.
  3. Deng, Liuchun & Wang, Boqun, 2016. "Regional capital flows and economic regimes: Evidence from China," Economics Letters, Elsevier, vol. 141(C), pages 80-83.

2015

  1. Di Gong & Shiwei Hu & Jenny Ligthart, 2015. "Does Corporate Income Taxation Affect Securitization? Evidence from OECD Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(3), pages 193-213, December.
  2. Xiuping Hua & Laixiang Sun & Tianyi Wang, 2015. "Impact of exchange rate regime reform on asset returns in China," The European Journal of Finance, Taylor & Francis Journals, vol. 21(2), pages 147-171, January.

2014

  1. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 366-388.
  2. Qing He & Jack W. Hou & Boqun Wang & Ning Zhang, 2014. "Time-varying volatility in the Chinese economy: A regional perspective," Papers in Regional Science, Wiley Blackwell, vol. 93(2), pages 249-268, June.

2013

  1. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Solving DSGE models with a nonlinear moving average," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2643-2667.

2012

  1. Tianyi Wang & Zhuo Huang, 2012. "The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 211-236, May.
  2. Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.

2011

  1. Chia-Shang James Chu & Tianyi Wang & Huihui Li, 2011. "China's macroeconomic stability – an empirical study based on survey data," China Economic Journal, Taylor & Francis Journals, vol. 4(1), pages 43-64.
  2. Maobin Wang & Chun Qiu & Dongmin Kong, 2011. "Corporate Social Responsibility, Investor Behaviors, and Stock Market Returns: Evidence from a Natural Experiment in China," Journal of Business Ethics, Springer, vol. 101(1), pages 127-141, June.

Chapters

2014

  1. Shiwei Hu & Di Gong, 2014. "Tax distortions in securitization: an overview," Chapters, in: Sajid M. Chaudhry & Andrew W Mullineux (ed.), Taxing Banks Fairly, chapter 3, pages 54-72, Edward Elgar Publishing.

Software components

2013

  1. Hong Lan & Alexander Meyer-Gohde, 2013. "Dynare add-on for "Pruning in Perturbation DSGE Models"," QM&RBC Codes 196, Quantitative Macroeconomics & Real Business Cycles.
  2. Hong Lan & Alexander Meyer-Gohde, 2013. "Dynare add-on for "Decomposing Risk in Dynamic Stochastic General Equilibrium"," QM&RBC Codes 197, Quantitative Macroeconomics & Real Business Cycles.

2011

  1. Hong Lan & Alexander Meyer-Gohde, 2011. "Dynare add-on for "Solving DSGE Models with a Nonlinear Moving Average"," QM&RBC Codes 192, Quantitative Macroeconomics & Real Business Cycles, revised 2013.

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