有人说了这是北美的，那看个香港的吧


王鹏飞

吉林大学会计系本科，北大CCER硕士，2007年康奈尔大学经济系博士。现任港科大经济系助理教授。现已经在国际主流期刊发文10篇，还有投稿和修改中的论文14篇——包括正在econometica二审中的文章。

http://ihome.ust.hk/~pfwang/Research.htm



Publications

1.     Bubbles and Total Factor Productivity, with Jianjun Miao, PDF, Forthcoming: American Economic Review Papers and Proceedings.

2.     Understanding Expectation-Driven Fluctuations-A Labor-Market Approach, PDF,  Forthcoming: Journal of Money, Credit, and Banking.

3.     Hayashi Meets Kiyotaki and Moore: A Theory of Capital Adjustment Costs, with Yi Wen,  PDF,  Forthcoming: Review of Economic Dynamics.

4.     Speculative Bubbles and Financial Crisis, with Yi Wen, PDF,  Forthcoming: American Economic Journal: Macroeconomics

5.     Understanding the Effects of Technology Shocks , with Yi Wen, PDF,  Review of Economic Dynamics, October 2011, 14(4),  pp.705-724.

6.     Volatility, Growth, and Welfare, with Yi Wen, PDF,  Journal of Economic Dynamics and Control, October 2011, 35(10),  pp.1696-1709.

7.     Imperfect Competition and Indeterminacy of Aggregate Output , with Yi Wen, PDF, Journal of Economic Theory, November 2008, 143(1), pp. 519-40.

8.     Inflation Dynamics: A Cross-Country Investigation ,with Yi Wen, PDF, Journal of Monetary Economics, October 2007, 54, pp. 2004-31.

9.     Another Look at Sticky Prices and Output Persistence ,with Yi Wen, PDF, Journal of Economic Dynamics and Control, December 2006, 30(12), pp. 2533-52.

10.  Endogenous Money or Sticky Prices? Comment on Monetary Non-Neutrality and Inflation Dynamics, with Yi Wen, PDF, Journal of Economic Dynamics and Control, August 2005, 29(8), pp. 1361-83.

Working Papers
1.     Land-Price Dynamics and Macroeconomic Fluctuation, with Zheng Liu and Tao Zha , PDF,  Revised and Resubmitted to Econometrica , First Version in December 2009, Originally entitled "Do Credit Constraints Amplify Macroeconomic Fluctuation" .
Abstract: We argue that positive co-movements between land prices and business investment are a driving force behind the broad impact of land-price dynamics on the macroeconomy. We develop an economic mechanism that captures the co-movements by incorporating two key features into a DSGE model: We introduce land as a collateral asset in firms’ credit constraints and we identify a shock that drives most of the observed fluctuations in land prices. Our estimates imply that these two features combine to generate an empirically important mechanism that amplifies and propagates macroeconomic fluctuations through the joint dynamics of land prices and business investment.
2.     Incomplete Information and Self-fulfilling Prophecies,  with Yi Wen,  PDF, Revised and Resubmitted to Journal of Money, Credit, and Banking, First Version in August 2007.
Abstract: This paper shows that incomplete information can be a rich source of sunspots equilibria. This is demonstrated in a standard dynamic general equilibrium model of monopolistic competition à la Dixit-Stiglitz. In the absence of fundamental shocks, the model has a unique certainty (fundamental) equilibrium, but there are also multiple stochastic (sunspots) equilibria that are not mere randomizations over fundamental equilibria. In other words, sunspots can exist in infinite-horizon dynamic models with a unique saddle-path steady state. In contrast to the recent sunspots literature (e.g., Benhabib and Farmer 1994), sunspots arising under incomplete information can be serially correlated and are robust to parameters associated with production technologies and preferences. Markup is always countercyclical in sunspots equilibria (which is consistent with empirical evidence) and fluctuations driven by sunspots look very similar to fluctuations driven by technology shocks.

3.     Financial Development and Aggregate Saving Rates:  A Hump-Shaped Relationship, with Lifang Xu and Zhiwei Xu , PDF, October 2011.

Abstract: This study has documented a hump-shaped empirical relationship between financial development and the national saving rate across 102 countries. An incomplete-market model featuring both heterogeneous households and heterogeneous firms is provided to explain this hump-shaped relationship. The key insight of the model is that financial development tends to reduce the precautionary-saving incentives of households but increase firms' ability to borrow and invest. As a result, the aggregate saving rate may rise initially with financial development because of greater investment by firms, but then declines with further financial development because of substantially reduced precautionary savings by households. The model also predicts that the market interest rate lies substantially below the rate of return to capital in emerging economies, but the gap diminishes with financial development, as observed in the data.

4.     Sectoral Bubbles and Endogenous Growth, with Jianjun Miao, PDF, September 2011.

Abstract: Bubbles are often on productive assets and occur in a sector of the economy. In addition, their occurence is often accompanied with credit booms. Incorporating these features, we provide a two-sector endogenous growth model with credit-driven bubbles. Bubbles have a credit easing effect by relaxing collateral constraints and improving investment efficiency. Sectoral bubbles also have a capital reallocation effect in the sense that bubbles in a sector attract more capital to be allocated to that sector. Their impact on economic growth depends on the interplay between these two effects.

5.     Bubbles and Credit Constraints, with Jianjun Miao, PDF, Revised in December 2011, First Version in December 2010 .

Abstract: We provide an infinite-horizon model of a production economy with credit-driven bubbles, in which firms meet stochastic investment opportunities and face credit constraints. Capital is not only an input for production, but also serves as collateral. We show that bubbles on this reproducible asset may arise, which relax collateral constraints and improve investment efficiency. The collapse of bubbles leads to a recession and a stock market crash. We show that there is a credit policy that can eliminate the bubble on firm assets and can achieve the efficient allocation.

乖乖，这些才是真正的牛人啊。羡慕。

6.     When Do Inventories Destabilize the Economy?-An Analytical Approach to (S,s) Policies, with Yi Wen and Zhiwei Xu PDF, May  2011.  

Abstract: Conventional wisdom has it that inventory investment destabilizes the economy because it is procyclical to sales. Khan and Thomas (2007) show that the conventional wisdom is wrong in a general equilibrium (S,s) model with capital. We argue that their finding is not robust-- the conventional wisdom can still hold in general equilibrium if firms can adjust output by varying the capacity utilization rate. Our result also holds true if there exist investment adjustment costs. Unlike the existing (S,s) inventory literature that relies on the Krusell-Smith (1998) numerical solution methods, we characterize (S,s) inventory policies in closed form despite the large state space in our general equilibrium model. Standard log-linearization methods can be used to solve the model and generate impulse response functions.



7.     Credit Risk and Business Cycles, with Jianjun Miao, PDF, September, 2010.  

Abstract: We incorporate long-term defaultable corporate bonds and credit risk in a dynamic stochastic general equilibrium business cycle model. Credit risk amplifies aggregate technology shocks. The debt-capital ratio is a new state variable and its endogenous movements provide a propagation mechanism. The model can match the persistence and volatility of output growth as well as the mean equity premium and the mean risk-free rate as in the data. The model implied credit spreads are countercyclical and forecast future economic activities because they affect firm investment through Tobin's Q. They also forecast future stock returns through changes in the market price of risk. Finally, we show that financial shocks to the credit markets are transmitted to the real economy through Tobin's Q.

8.     Indeterminate Credit Cycles, with Zheng Liu,  PDF, September, 2010.  

Abstract: We present a model with heterogeneous firms, in which credit constraints may give rise to self-fulfilling, sunspot-driven business cycle fluctuations. We derive optimal incentive-compatible loan contracts, under which a firm’s borrowing capacity is constrained by expected equity value. Interactions between debt and equity value made possible by credit constraints generate a credit externality, which leads to procyclical total factor productivity (TFP) and, with sufficiently high cost of financial intermediation, to equilibrium indeterminacy. At the aggregate level, the credit externality is observationally equivalent to production externality. Aggregate dynamics in our model with credit constraints and constant returns technology at the firm level are isomorphic to those in an aggregate economy with increasing returns, such as that studied by Benhabib and Farmer (1994).

9.     Financial Development and Economic Volatility: a Unified Explanation, with Wen Yi,  PDF, Revised in October 2010, First Version July 2009.   

Abstract: We present a model with heterogeneous firms, in which credit constraints may give rise to self-fulfilling, sunspot-driven business cycle fluctuations. We derive optimal incentive-compatible loan contracts, under which a firm’s borrowing capacity is constrained by expected equity value. Interactions between debt and equity value made possible by credit constraints generate a credit externality, which leads to procyclical total factor productivity (TFP) and, with sufficiently high cost of financial intermediation, to equilibrium indeterminacy. At the aggregate level, the credit externality is observationally equivalent to production externality. Aggregate dynamics in our model with credit constraints and constant returns technology at the firm level are isomorphic to those in an aggregate economy with increasing returns, such as that studied by Benhabib and Farmer (1994).



10.  Does Lumpy Investment Matter for Business Cycle, with Jianjun Miao,  PDF, Revisited in January 2011, First Version in March 2009.

Abstract: We present an analytically tractable general equilibrium business cycle model that features micro-level investment lumpiness. We prove an exact irrelevance proposition which provides sufficient conditions on preferences, technology, and the fixed cost distribution such that any positive upper support of the fixed cost distribution yields identical equilibrium dynamics of the aggregate quantities normalized by their deterministic steady state values. We also give two conditions for the fixed cost distribution, under which lumpy investment can be important to a first-order approximation: (i) The steady-state elasticity of the adjustment rate is large so that the extensive margin effect is large. (ii) More mass is on low fixed costs so that the general equilibrium price feedback effect is small.



11.  Lumpy Investment and Corporate Tax Policy, with Jianjun Miao,  PDF, November 2009.

Abstract: This paper studies the impact of corporate tax policy on the economy in the presence of both convex and nonconvex capital adjustment costs in a dynamic general equilibrium model. We show that corporate tax policy generates both intensive and extensive margin effects via the channel of marginal Q. Its impact is determined largely by the strength of the extensive margin effect, which in turn depends on the cross-sectional distribution of firms. Depending on the initial distribution of firms, the economy displays asymmetric responses to tax changes. We also show that an anticipated decrease in the future corporate income tax rate raises investment and adjustment rate immediately, while an anticipated increase in the future investment tax credit reduces investment and adjustment rate initially. Our general equilibrium analysis demonstrates that a partial equilibrium analysis of tax policy can be quite misleading both quantitatively and qualitatively.



12.  Inventory Accelerator in General Equilibrium, with Yi Wen,  PDF, March 2009.

Abstract: We develop a general-equilibrium model of inventories with explicit microfoundations by embedding the production-cost smoothing motive (e.g., Eichenbaum, 1989) into a DSGE model with imperfect competition. We show that monopolistic firms facing idiosyncratic cost shocks have incentives to bunch production and smooth sales by carrying inventories. The model is broadly consistent with key stylized facts of aggregate inventory fluctuations, such as the procyclical inventory investment and the countercyclical inventory-to-sales ratio. In addition, the model yields novel predictions for the role of inventories in macroeconomic stability: Inventories may greatly amplify and propagate the business cycle, provided that markups or the variance of idiosyncratic cost shocks are sufficiently large. That is, a strong incentive to accumulate inventories under the cost-smoothing motive at the firm level may give rise to hump-shaped aggregate output dynamics and significantly higher volatility of GDP. Such predictions are in contrast to the implications of the recent general-equilibrium inventory literature, which shows that inventory investment induced by more conventional mechanisms (e.g., the stockout-avoidance motive and the (S,s) rule) does not increase the variance of aggregate output.

13.  Heterogeneous Sectors, Trade, and Growth,  with Danyang Xie,  PDF, September 2008.

Abstract: This paper introduces sectorial heterogeneity in TFPs in a growth model driven by an exogenous process of labor specialization to generate new insights on trade and economic growth. Despite the exogeneity of labor specialization, the overall economic growth rate in this model is endogenously determined and depends in a closed economy on the distribution of labor intensity across sectors. Our model could thus be labeled as a semi-endogenous growth model in the sense of Jones (1995). When the model is extended to allow for international trade, we find that the overall growth rate is unambiguously higher as the number of trading partners increases. There are two effects working in the same direction contributing to this result: the resource re-allocation effect and the total product-variety effect. On the other hand, the growth effect of the reduction in trade-related fixed cost is non-monotonic because the two effects work in opposite directions.

14.  Solving Linear Difference Systems with Lagged Expectation by a Method of Undetermined Coefficients, with Yi Wen,  PDF, January 2006, Revised May 2006. Matlab Codes.

Abstract: This paper proposes a solution method to solve linear difference models with N lagged expectations. Variables with lagged expectations expand the model's state space greatly when N is large; and getting the system into a canonical form solvable by the traditional methods involves substantial manual work, which is prone to human errors. Our method avoids the need of expanding the state space of the system and shifts the burden of analysis from the individual economist/model solver toward the computer. Hence it can be a very useful tool in practice, especially in testing and estimating economics models with a high order of lagged expectations. Examples are provided to demonstrate the usefulness of the method. We also discuss the implications of lagged expectations on the equilibrium properties of indeterminate DSGE models, such as the serial correlation properties of sunspots shocks in these models.

与其有时间讨论这菊那菊，不如

1）看看教科书、看看国外的论文

2）要真想胡吹蛋侃讨论牛人的话，还是打开窗子看看外面。

Working Papers
1.     Land-Price Dynamics and Macroeconomic Fluctuation, with Zheng Liu and Tao Zha , PDF,  Revised and Resubmitted to Econometrica , First Version in December 2009,
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