Yang Liu
Prof. Yang LIU
Associate Professor

2859 1050

KK 1005

Academic & Professional Qualification
  • Ph.D., University of Pennsylvania
  • B.A., Fudan University

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


Government Debt and Risk Premia

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.


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