Xiang Fang
Prof. Xiang FANG
金融学
Assistant Professor

3917 4178

KK 818

Academic & Professional Qualification
  • Ph.D., University of Pennsylvania, 2019
  • M.A. in Economics, Tsinghua University, 2013
  • B.A. in Economics, Fudan University, 2011
Biography

Dr. Xiang Fang received his Ph.D. degree in economics from the University of Pennsylvania in 2019. He obtained his M.A. in economics from Tsinghua University in 2013, and his B.A. in economics from Fudan University in 2011. He joined HKU in 2019.

He is interested in broad topics in international finance, asset pricing, and their connections to the macro economy, especially the crucial role of financial intermediaries.

Research Interest

International Finance, Asset Pricing, Macro-Finance

Selected Publications
  • “Bank Capital Requirements and Lending in Emerging Markets: The Role of Bank Characteristics and Economic Conditions,” (with David Jutrsa, Soledad Martinez Peria, Andrea F. Presbitero and Lev Ratnovski), Journal of Banking & Finance, Volume 135, February 2022, Article 105806
  • “Volatility, Intermediaries, and Exchange Rates,” (with Yang Liu), Journal of Financial Economics, Volume 141, Issue 1, July 2021, Pages 217-233
  • “Intermediary Leverage and Currency Risk Premium”

For more details, please visit my webpage at https://leonyangyu.weebly.com

Awards and Honours

The Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research, WFA 2017

Recent Publications
Volatility, Intermediaries, and Exchange Rates

We propose and estimate a quantitative model of exchange rates in which participants in the foreign exchange market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatility translates into tighter VaR constraints, and intermediaries require higher returns to hold foreign assets. Therefore, the foreign currency is expected to appreciate. The model quantitatively resolves the Backus–Smith puzzle, the forward premium puzzle, and the exchange rate volatility puzzle and explains deviations from the covered interest rate parity. Moreover, the model implies both contemporaneous and predictive relations between proxies of leverage constraint tightness and exchange rates. These implications are supported in the data.

随遇而安:方翔博士

方博士是一位研究汇率和国际金融的学者。方博士为人随和,他相信,面对生活丶教学,以及研究中的起落,都应努力处之泰然。