PhD Students in the Job Market

 

2020-21

Hyeyoon Jung | Johnson Mo | Hae-Kang Lee  

 
Hyeyoon Jung
Hyeyoon Jung
Dissertation Committee:  Robert Engle (Co-chair), Philipp Schnabl (Co-chair), Joel Hasbrouck, Ralph Koijen, Alexi Savov
Download Job Market Paper
 
            The Real Consequences of Macroprudential FX Regulations
ABSTRACT: I examine the real effects of macroprudential foreign exchange (FX) regulations designed to reduce the risk taking by financial intermediaries. I exploit a natural experiment in South Korea at the bank level that can be traced through firms. The regulation limits banks’ ratio of FX derivatives position to capital. By using cross-bank variation in the tightness of regulation, I show that the regulation causes a reduction in the supply of FX derivatives. Controlling for hedging demand, I find that exporting firms reduce hedging with the constrained banks by 47%, relative to that with the unconstrained banks. I further show that the reduction in the banks’ supply of hedging instruments results in a substantial decline in firm exports. For one-standard-deviation increase in firm’s exposure to the regulation shock transmitted by banks, export falls by 17.1% for high-hedge firms and rises by 5.7% for low-hedge firms, resulting in the differential effect of 22.8%. Collectively, my results provide a novel implication that macroprudential FX regulations aiming to manage the risk taking of financial intermediaries can affect the real side of the economy.
 
Johnson Mo
Johnson Mo
Dissertation Committee:  Marti G. Subrahmanyam (Chair), Robert F. Engle, Raghu K. Sundaram, Anthony Saunders, Zhiguo He
Download Job Market Paper
 
            A Theoretical Model of Cross-market Arbitrage
ABSTRACT: I develop a preferred-habitat model of interest rates across two parallel sovereign bond markets, in which I study the interactions among preferred-habitat investors, arbitrageurs within each market, and arbitrageurs across the two markets. First, I discuss the ingredients and assumptions of my model and introduce three forms of market segmentation. Second, I show that my model generates a rich set of theoretical implications for the impact of the short rate shocks, exogenous supply shocks, and endogenous demand shocks on the two term structures. In particular, I analyze the propagation of these shocks within each market, under the semi-form of market segmentation, and their transmission from one market to the other, under the weak-form of market segmentation. Third, I calibrate my model to the parallel sovereign bond markets in China with heterogeneous market participants, a perfect empirical setting to test my model’s performance. I focus on analyzing the impact of the cross-market arbitrageur’s trading behaviors on the comovements of the two term structures. Last, I discuss some policy implications of my model, which allow the central bank to decide whether two segmented sovereign bond markets that operate in tandem or across different universes should be fully or partially integrated in the hope to achieve greater market efficiency.
 
Hae-Kang Lee
Hae-Kang Lee
Dissertation Committee:  Stijn Van Nieuwerburgh (Co-Chair), Ralph Koijen, Arpit Gupta (Co-Chair), Alexi Savov, Menachem Brenner
Download Job Market Paper
 
            Estimating the Net Benefit of Customer Health Engagement Programs to Life Insurers
ABSTRACT: This paper investigates the net benefit available to a life insurance company when it engages more with the policyholders to improve their health status. Using a proprietary big database of health and mortality information from a large U.S. life insurer, coupled with state-of-the-art machine learning techniques, I measure the financial benefits that will accrue to the insurer if it can change the health variables of existing policyholders. The cost of changing the health behaviors is measured from a rational addiction model, which I model and calibrate to be consistent with the vast health economics and medical literature on smoking cessation and other health interventions. The estimated net benefit available to the life insurance company from the smoking cessation program is around USD 87 million. The aggregate benefit available including other chronic conditions is around USD 872 million. I discuss the implementation issues and policy implications.