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日前，北京大学深圳研究生院副院长、北京大学汇丰商学院院长王鹏飞教授的合作论文“Asset Bubbles and Foreign Interest Rate Shocks”（《 资产泡沫和外国利率冲击》）正式发表于SSCI期刊Review of Economic Dynamics （2022年第44卷，315-348页）。论文合作者为波士顿大学苗建军教授和复旦大学周晶博士。
This paper shows that with (partial) irreversibility higher uncertainty reduces the responsiveness of investment to demand shocks. Uncertainty increases real option values making firms more cautious w...
Asset Price Dynamics with Limited Attention
Transitory Volatility Limited Attention Individuals Market Makers Asset Pricing Financial Markets
2015/4/27
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010)...
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Heterogeneous credit portfolios dynamics aggregate losses
2010/12/20
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that make...