Jingye Wang

Boston, MA ยท wjytx-remove-@bu.edu

I am a PhD candidate in economics at Boston University. I expect to graduate in May 2022.

My research interests include international finance, international macroeconomics and asset pricing.

I am currently on the job market and will be available for interviews during EJME 2021 and the ASSA 2022 Annual Meetings.

C.V.

Currency Risk and Capital Accumulation

Job Market Paper
Abstract: The "Lucas Paradox" states that there are large and persistent differences in capital-output ratios across countries, suggesting capital is not flowing to countries where it is relatively scarce. In the data, capital-output ratios vary a lot cross-sectionally even within developed countries, and they are negatively correlated with currency risk premia and risk-free rates. To rationalize these patterns, I build a quantitative multi-country model of capital accumulation with external habit and heterogeneous exposures to a global productivity shock. I show that currency risk in this model generates cross-country variations in risk-free rates and capital-output ratios that are consistent with the data. I estimate the model using GDP data from countries issuing the G10 currencies and find two main results: (1) The heterogenous loadings that I extract from GDP data alone are highly correlated with capital-output ratios; and (2) when I feed the estimated loadings into the model, model-generated capital-output ratios account for roughly 55% of the cross-country variation in the data. I conclude that variation in currency risk and therefore currency risk premia have significant effects on the real economy.

A Currency Premium Puzzle

With Tarek A. Hassan and Thomas M. Mertens. Draft coming soon. [Slides]
Abstract: Canonical long-run risk and habit models address the equity premium puzzle by inducing a strong, negative correlation between the variance and the mean of the stochastic discount factor. When applied to an open economy with complete markets, this key feature requires that differences in currency returns should arise primarily from predictable appreciations, a requirement that is at odds with the data. We term this tension between a high equity premium, smooth risk-free rates, and largely unpredictable exchange rates the currency premium puzzle and argue it is the underlying reason why existing international asset pricing models have struggled to simultaneously match data on currency returns, equity returns, and risk-free rates.

Instructor

Math Camp, GPED, Vanderbilt University, Summer 2015

Teaching Assistantships

Intermediate Macroeconomic Analysis, Department of Economics, Boston University, Spring 2021
International Macroeconomics, Department of Economics, Boston University, Fall 2020, Fall 2019, Spring 2019, Fall 2018
Economics of Risk and Uncertainty, Department of Economics, Boston University, Fall 2020
Empirical Economic Analysis 1, Department of Economics, Boston University, Spring 2020
Introduction to Economic Dynamics, Department of Economics, Boston University, Spring 2020
Monetary and Banking Institutions, Department of Economics, Boston University, Spring 2020
Financial Economics, Department of Economics, Boston University, Fall 2019, Fall 2018, Fall 2017
International Finance, Department of Economics, Boston University, Spring 2019
Economic Analysis of Legal Issues, Department of Economics, Boston University, Spring 2019
Money and Financial Intermediations, Department of Economics, Boston University, Fall 2018, Fall 2017