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Publications

by members of

University of International Business and Economics (UIBE) → School of Banking and Finance

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

2024

  1. Gong, Di & Ongena, Steven & Qi, Shusen & Yu, Yanxin, 2024, "“Time for a Change of Scenery†: Loan Conditions When Firms Switch Bank Branches," CEPR Discussion Papers, Centre for Economic Policy Research, number 18985, Apr.

2023

  1. Gong, Di & Lambert, Thomas & Wagner, Wolf, 2023, "Local Bank Supervision," CEPR Discussion Papers, Centre for Economic Policy Research, number 18571, Nov.
  2. Gong, D. & Huizinga, Harry & Li, T & Zhu, J, 2023, "Goodhart’s law in China: Bank branching regulation and window dressing," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9fe5227d-3143-44e5-aa0e-b.
  3. Gong, Di & Wu, Jin & Zhu, Jigao, 2023, "When banks' shadow fades and shadow banking rises: Securitization and loan performance in China," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 4/2023.

2021

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

2017

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

2016

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

2015

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

2014

  1. Gong, D., 2014, "Bank Systemic Risk-Taking and Loan Pricing : Evidence from Syndicated Loans," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-046.
  2. Lan, Hong, 2014, "Comparing solution methods for DSGE models with labor market search," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-049.

2013

  1. Gong, D. & Ligthart, J.E., 2013, "Does Corporate Income Taxation Affect Securitization? Evidence from OECD Banks," Discussion Paper, Tilburg University, Center for Economic Research, number 2013-067.
  2. Lan, Hong & Meyer-Gohde, Alexander, 2013, "Decomposing risk in dynamic stochastic general equilibrium," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-022.
  3. Lan, Hong & Meyer-Gohde, Alexander, 2013, "Pruning in perturbation DSGE models: Guidance from nonlinear moving average approximations," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-024.

2012

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

2011

  1. Lan, Hong & Meyer-Gohde, Alexander, 2011, "Solving DSGE models with a nonlinear moving average," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-087.

Journal articles

2024

  1. Liu, Tao & Yu, Yanxin & Gong, Di & Guo, Min, 2024, "Geographic disparities in bank lending: Evidence from an auto loan market," Pacific-Basin Finance Journal, Elsevier, volume 88, issue C, DOI: 10.1016/j.pacfin.2024.102573.
  2. Li, Shanshan & Gong, Di & Lu, Liping, 2024, "Bail-ins and market discipline: Evidence from China," International Review of Economics & Finance, Elsevier, volume 93, issue PB, pages 51-68, DOI: 10.1016/j.iref.2024.04.019.
  3. Di Gong & Shiwei Hu & Zongxin Qian, 2024, "Banking crises and exporter dynamics," Applied Economics, Taylor & Francis Journals, volume 56, issue 12, pages 1463-1487, March, DOI: 10.1080/00036846.2023.2257033.
  4. Kuang, Chun & Yang, Jiawen & Zhu, Wenyu, 2024, "Reserve holding and bank lending," Journal of Empirical Finance, Elsevier, volume 77, issue C, DOI: 10.1016/j.jempfin.2024.101478.
  5. Michael D Eriksen & Chun Kuang & Wenyu Zhu, 2024, "Attribute misreporting and appraisal bias," Review of Finance, European Finance Association, volume 28, issue 5, pages 1663-1686.
  6. Shambaugh, Jay C. & Zhou, Hang, 2024, "Interest rates across the world: Global, regional, and idiosyncratic factors," Journal of Banking & Finance, Elsevier, volume 163, issue C, DOI: 10.1016/j.jbankfin.2024.107192.

2023

  1. Gong, Di & Huizinga, Harry & Li, Tianshi & Zhu, Jigao, 2023, "Goodhart’s law in China: Bank branching regulation and window dressing," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101434.
  2. 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, volume 130, issue C, DOI: 10.1016/j.jimonfin.2022.102763.
  3. Kuang, Chun & Wei, Mengying & Zhu, Wenyu, 2023, "The spatial impact of high-speed rail on firm performance: The role of proximity to urban cores," Economics Letters, Elsevier, volume 231, issue C, DOI: 10.1016/j.econlet.2023.111271.
  4. 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, volume 73, issue C, pages 369-389, DOI: 10.1016/j.jempfin.2023.08.004.
  5. Chen, Xiaoyi & Feng, JianFen & Wang, Tianyi, 2023, "Pricing VIX futures: A framework with random level shifts," Finance Research Letters, Elsevier, volume 52, issue C, DOI: 10.1016/j.frl.2022.103501.
  6. 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, volume 85, issue C, DOI: 10.1016/j.intfin.2023.101782.
  7. Xia, Tian & Zhou, Hang, 2023, "Commodity terms of trade co-movement: Global and regional factors," Journal of International Money and Finance, Elsevier, volume 139, issue C, DOI: 10.1016/j.jimonfin.2023.102944.

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, volume 77, issue C, DOI: 10.1016/j.intfin.2021.101502.
  2. Di Gong & Zongxin Qian, 2022, "Inflation targeting and financial crisis," Applied Economics, Taylor & Francis Journals, volume 54, issue 41, pages 4782-4795, September, DOI: 10.1080/00036846.2022.2036685.
  3. Elliot Anenberg & Chun Kuang & Edward Kung, 2022, "Social learning and local consumption amenities: Evidence from Yelp," Journal of Industrial Economics, Wiley Blackwell, volume 70, issue 2, pages 294-322, June, DOI: 10.1111/joie.12291.
  4. 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, volume 109, issue C, DOI: 10.1016/j.econmod.2022.105781.
  5. 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, volume 54, issue 32, pages 3678-3694, July, DOI: 10.1080/00036846.2021.2016592.
  6. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022, "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 7, pages 1264-1283, July, DOI: 10.1002/fut.22330.
  7. 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., volume 42, issue 9, pages 1644-1664, September, DOI: 10.1002/fut.22278.
  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, volume 77, issue C, DOI: 10.1016/j.intfin.2021.101500.
  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, volume 54, issue 28, pages 3226-3245, June, DOI: 10.1080/00036846.2021.2005767.

2021

  1. Gong, Di & Jiang, Tao & Lu, Liping, 2021, "Pandemic and bank lending: Evidence from the 2009 H1N1 pandemic," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101627.
  2. Kuang, Chun & Liu, Zijie & Zhu, Wenyu, 2021, "Need for speed: High-speed rail and firm performance," Journal of Corporate Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.jcorpfin.2020.101830.
  3. Huang, Zhuo & Liang, Fang & Wang, Tianyi & Li, Chao, 2021, "Modeling dynamic higher moments of crude oil futures," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101570.
  4. Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng, 2021, "Measuring investors’ risk aversion in China’s stock market," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2020.101891.
  5. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021, "Liquidation, leverage and optimal margin in bitcoin futures markets," Applied Economics, Taylor & Francis Journals, volume 53, issue 47, pages 5415-5428, October, DOI: 10.1080/00036846.2021.1922597.
  6. 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., volume 41, issue 4, pages 458-477, April, DOI: 10.1002/fut.22183.
  7. Bo, Shiyu & Deng, Liuchun & Sun, Yufeng & Wang, Boqun, 2021, "Intergovernmental communication under decentralization," Journal of Economic Behavior & Organization, Elsevier, volume 184, issue C, pages 606-652, DOI: 10.1016/j.jebo.2021.02.007.
  8. Zhou, Hang & Yu, Mei & Li, Jiahui & Qin, Qilin, 2021, "Rare disasters, exchange rates, and macroeconomic policy: Evidence from COVID-19," Economics Letters, Elsevier, volume 209, issue C, DOI: 10.1016/j.econlet.2021.110099.

2020

  1. Chen, Jiayuan & Gong, Di & Muckley, Cal, 2020, "Stock market illiquidity, bargaining power and the cost of borrowing," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 181-206, DOI: 10.1016/j.jempfin.2020.06.001.
  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, volume 87, issue C, pages 148-157, DOI: 10.1016/j.econmod.2019.07.014.
  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, volume 52, issue 17, pages 1866-1880, April, DOI: 10.1080/00036846.2019.1679348.

2019

  1. Hu, Shiwei & Gong, Di, 2019, "Economic policy uncertainty, prudential regulation and bank lending," Finance Research Letters, Elsevier, volume 29, issue C, pages 373-378, DOI: 10.1016/j.frl.2018.09.004.
  2. 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, volume 59, issue 3, pages 508-537, June, DOI: 10.1111/jors.12439.
  3. 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, volume 58, issue 4, pages 638-655, May, DOI: 10.1007/s11146-018-9658-z.
  4. 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., volume 38, issue 7, pages 669-680, November, DOI: 10.1002/for.2590.
  5. 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., volume 39, issue 1, pages 72-93, January, DOI: 10.1002/fut.21955.

2018

  1. 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, volume 52, issue C, pages 211-226, DOI: 10.1016/j.intfin.2017.09.022.
  2. Gong, Di & Huizinga, Harry & Laeven, Luc, 2018, "Nonconsolidated affiliates, bank capitalization, and risk taking," Journal of Banking & Finance, Elsevier, volume 97, issue C, pages 109-129, DOI: 10.1016/j.jbankfin.2018.09.019.
  3. Hong Lan, 2018, "Comparing Solution Methods for DSGE Models with Labor Market Search," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 1, pages 1-34, January, DOI: 10.1007/s10614-017-9670-z.

2017

  1. Bertay, Ata Can & Gong, Di & Wagner, Wolf, 2017, "Securitization and economic activity: The credit composition channel," Journal of Financial Stability, Elsevier, volume 28, issue C, pages 225-239, DOI: 10.1016/j.jfs.2016.01.010.
  2. Kuang, Chun, 2017, "Does quality matter in local consumption amenities? An empirical investigation with Yelp," Journal of Urban Economics, Elsevier, volume 100, issue C, pages 1-18, DOI: 10.1016/j.jue.2017.02.006.
  3. 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, volume 18, issue 1, pages 53-71, May.
  4. 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., volume 37, issue 4, pages 328-358, April.
  5. 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., volume 37, issue 7, pages 641-659, July.

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, volume 52, issue PB, pages 812-821, DOI: 10.1016/j.econmod.2015.10.018.
  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, volume 9, issue 2, pages 140-153, May, DOI: 10.1080/17538963.2016.1163813.
  3. Deng, Liuchun & Wang, Boqun, 2016, "Regional capital flows and economic regimes: Evidence from China," Economics Letters, Elsevier, volume 141, issue C, pages 80-83, DOI: 10.1016/j.econlet.2015.10.008.

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, volume 48, issue 3, pages 193-213, December, DOI: 10.1007/s10693-014-0210-x.
  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, volume 21, issue 2, pages 147-171, January, DOI: 10.1080/1351847X.2013.838183.

2014

  1. Lan, Hong & Meyer-Gohde, Alexander, 2014, "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, volume 45, issue C, pages 366-388, DOI: 10.1016/j.jedc.2014.06.005.
  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, volume 93, issue 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, volume 37, issue 12, pages 2643-2667, DOI: 10.1016/j.jedc.2013.06.014.

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, volume 13, issue 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, volume 0, issue 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, volume 4, issue 1, pages 43-64, DOI: 10.1080/17538963.2011.609329.
  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, volume 101, issue 1, pages 127-141, June, DOI: 10.1007/s10551-010-0713-9.

Chapters

2014

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

Software components

2013

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

2011

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

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