自1983年起，香港一直實施與美元掛的聯繫匯率制度（聯匯制度）。在這40年間，制度運行穩定，順利應對了多次重大挑戰，如1997至1998年的亞洲金融危機和2007至2008年的全球金融危機等。值此制度40周年之際，本文將探討在新的國際經濟形勢下聯匯制度的現狀與發展。基於最新國際經濟學研究成果，通過量化指標，分析不同匯率制度對香港的利弊。
5 Feb 2024
Faculty
Prof. Yang LIU
Finance
Associate Professor
2859 1050
KK 1005
Academic & Professional Qualification
- Ph.D., University of Pennsylvania
- B.A., Fudan University
Biography
Dr. Yang Liu joined The University of Hong Kong as Assistant Professor of Finance in 2017. He received his Ph.D. in Economics from University of Pennsylvania, and his B.A. in Economics from Fudan University.
His research interests span asset pricing, macro-finance and international finance. He has won the 2018 Annual Conference in International Finance Best Paper Award and the Cubist Systematic Strategies PHD Candidate Award for Outstanding Research by Western Finance Association. He has been a visiting scholar at the International Monetary Fund and the World Bank, and was a research associate at the Federal Reserve Bank of Philadelphia.
Research Interest
- Asset Pricing
- Macro-Finance
- International Finance
Selected Publications
- “Dynamic ESG Equilibrium”
(with Doron Avramov, Abraham Lioui, and Andrea Tarelli), Management Science, forthcoming. - “Government Debt and Risk Premia”
Journal of Monetary Economics, 2023, 136:18-34. - “Government Policy Approval and Exchange Rate”
(with Ivan Shaliastovich), Journal of Financial Economics, 2022, 143(1): 303-331. - “Volatility Risk Pass-Through”
(with Ricardo Colacito, Mariano M. Croce, and Ivan Shaliastovich), Review of Financial Studies, 2022, 35(5): 2345–2385. - “Volatility, Intermediaries, and Exchange Rate”
(with Xiang Fang), Journal of Financial Economics, 2021, 141(1): 217-233.
For details, please visit www.yangliuresearch.com.
Recent Publications
5Feb
1May
Risk premia increase with government debt. Debt-to-GDP ratios positively predict stock returns at short and long horizons in the U.S. and other advanced economies. Higher debt is also associated with higher bond premia and lower risk-free rates. Major government debt theories (liquidity, safety, crowding out) either do not address or are inconsistent with these findings. New evidence suggests that the increased risk premia provide compensation for larger fiscal risk; during periods of elevated debt, fiscal policy becomes more uncertain and less effective and can lead to debt crises. I quantify these mechanisms in an equilibrium model.
1 May 2023
Journal of Monetary Economics
4Oct
傳統市場理論認為，貨幣滙率是反映經濟強弱的晴雨表。不過，香港大學經管學院金融學助理教授劉洋的研究發現，滙率浮動與經濟狀況和通貨膨脹等相關性很低，反之與金融市場的流動性，以及政府施行政策是否穩定有更大關係。 流動性與政策更具影響力 劉洋接受訪問時指出，其研究發現滙率是隨機遊走
4 Oct 2021
Faculty