I am a 6th-year PhD student in Economics at Princeton University. I am joining University of Hong Kong as Assistant Professor of Finance in Fall 2024.
I study macroeconomics and international finance, with a particular focus on exchange rate dynamics, emerging markets business cycles, and international capital allocation.
You can find my CV here (last updated: Mar 2024)
My Google Scholar page is here.
Contact:
E-mail: haonan@princeton.edu
Twitter: @Haonan_Zhou
Job Market Paper
The Fickle and the Stable: Global Financial Cycle Transmission via Heterogeneous Investors
[Latest version: January 2024]
Abstract: I show that accounting for foreign investor base differences helps explain the heterogeneous influence of the Global Financial Cycle on sovereign borrowing of emerging market economies. Using security-level data and a quantitative model featuring heterogeneous investors, stochastic debt default risk and global financial shocks, I investigate the two-way interaction between asset attributes and investor composition. Facing global financial tightening, sovereign bonds with a higher institutional ownership by foreign investment funds suffer a larger price drop. The willingness for long-term investors, including banks, insurance companies and pension funds, to act as shock absorbers, however, is limited by their higher propensities to hold safer, home-currency-denominated bonds. Leveraging my estimate of long-term investors’ demand elasticity, the model replicates the empirical relationship between foreign investor mix and sovereign yield spread sensitivity to global risk factors. Policy measures that encourage the participation of long-term foreign investors or limit the risk exposure of investment funds could substantially reduce the volatility of emerging markets’ borrowing cost.
Presentations: MFA, Adam Smith Workshop, ESSIM, DebtCon, EEA-ESEM
Working Papers
Signaling with Debt Currency Choice (with Egemen Eren and Semyon Malamud)
[Latest version: September 2023]
Best Paper Award, CICF 2023
Selected Presentations: Adam Smith Workshop, SFS Cavalcade, Vienna Symposium on Foreign Exchange Markets, AsianFA, CICF
Non-bank Lending during Crises (with Iñaki Aldasoro and Sebastian Doerr)
[Latest version: June 2023]
[SUERF Policy Brief] [Central Banking]
Selected Presentations: Bank of England, CEBRA, FDIC
Open Economy, Redistribution, and the Aggregate Impact of External Shocks
[Latest version: February 2022]
Marimar & Cristina Torres Prize (best 3rd-year paper), Princeton University
Avinash K. Dixit Prize in International Economics, Princeton University
Selected Presentations: NBER, Bank of Canada, Banco Central del Uruguay, T2M
Published and Forthcoming
The Global Dollar Cycle (with Maurice Obstfeld)
Brookings Papers on Economic Activity, Fall 2022.
[Replication Package] [Non-Technical Summary] [VoxEU Column] [Podcast]
[Bloomberg] [Central Banking] [Econofact] [The Economist] [FT] [MarketWatch] [Reuters] [New York Times]
[IMF 2023 External Sector Report]
Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants, and Disconnect (with Eugenio Cerutti)
Forthcoming, IMF Economic Review. [Latest version: September 2023]
[Local Copy]
Covered Interest Parity Deviations: Macrofinancial Determinants (with Eugenio Cerutti and Maurice Obstfeld)
Journal of International Economics, Volume 130, May 2021.
[VoxEU Column] [Replication Package]
Work in Progress
The Crowding Out Effect of Fiscal Expansion on Corporate Borrowing (with Zefeng Chen, Masazumi Hattori and Mai Li)
Abstract: This paper uncovers a large and unintended spillover effect of expansionary fiscal policy on corporate borrowing. Using a proprietary firm-bank-loan level data from Japan, we provide causal evidence that the significant expansion in the Japanese Government Bonds (JGBs) issuance starting from year 1998 crowded out the corporate bonds that could have been issued by industrial companies. The affected companies switched to banks for long-term funds to maintain a stable debt maturity structure. Upon the fiscal shock, 1) firms that have relied heavily on bond market began to borrow more long-term loans and extend their bank loan maturity stronger than the comparable counterparts did; 2) no significant effect on short-term loans is found; 3) such fiscal crowding-out effect on bank loans is not driven by bank’s credit supply but rather firm’s credit demand. We build a simple preferred-habitat model consistent with these findings.
Selected Presentations: AsianFA, AMES.
Financial Frictions and Emerging Market Currency Hedging (with Nanyu Chen)
Investor Base and Capital Flow Reversal (with Ester Faia and Karen K. Lewis)
Policy Writings
Non-bank Lenders in the Syndicated Loan Market (with Iñaki Aldasoro and Sebastian Doerr)
BIS Quarterly Review, March 2022
The Chinese Banking System: Much More than a Domestic Giant (with Eugenio Cerutti)
VoxEU Column, February 2018
Selected Discussions
“Liquidity Risk and Currency Premia” (Soderlind, Somogyi 2023). Northern Finance Association
“Understanding the Strength of the Dollar.” (Jiang, Richmond, Zhang 2023). Vienna Symposium on Foreign Exchange Markets
“Internationalizing Like China.” (Clayton, Dos Santos, Maggiori, Schreger 2022). SFS Cavalcade
“The Long-run Risk Premium in the ICAPM: International Evidence.” (Sakemoto 2022). AsianFA