Name: Xuedong Wang (王雪冬) Citizenship: Chinese
Education
PhD in economics, Tinbergen Institute & Erasmus University Rotterdam, Expected Completion: March, 2015.
M.Phil. in Economics, Tinbergen Institute & University of Amsterdam, 2009-2011.
M.Sc. in Macroeconomic Policy and Financial Markets,
Barcelona Graduate School of Economics, University of Pompeu Fabra, 2008-2009.
PhD in Biochemistry and Molecular Biology, Peking University, 1999-2004.
B.Sc. in Biochemistry, Sichuan University, 1995-1999.
Research Fields
International Macroeconomics and Finance, Macroeconomics and Monetary Economics,
General Financial Markets, Asset Pricing with Connection to Macroeconomics.
Teaching Assistantship
2010 Math II (M.Phil. Core, Tinbergen Institute), for Prof. Jan Brinkhuis.
2012 & 2013 International Economics (Undergraduate, Erasmus School of Economics), for Dr. Julian Emami Namini and Dr. Maarten Bosker.
2012 & 2013 Macroeconomics (Undergraduate, Erasmus School of Economics), for Dr. Laura Hering.
Master Thesis Supervision
Thesis topic: The Determinants of Government Bond Yield Spreads
Internship
Oct. 2014-Feb. 2015: Validation of Interest Rate Risk in The Banking Book Models (DHB Bank at Rotterdam)
Conference Presentation
2013
Aug. Singapore Economic Review Conference, Singapore
Sep. The 45th Money, Macro and Finance Conference, London
2014 (including scheduled)
June Midwest Macro Conference, USA
June 13th EBES Conference, Istanbul
June Asian Meeting of the Econometric Society, Taipei
June Columbia-Tsinghua Conference in International Economics, Beijing
Aug. EEA-ESEM Conference, Toulouse
Dec. XXXIX Symposium of the Spanish Economic Association, Palma de Mallorca, Spain
Dec. 12th International Paris Finance Meeting, Paris
Work Experience
National Institutes of Health (USA), Research Fellow, 2007-2008.
Zhongzi Law Office (Beijing, China), Patent Attorney, 2004-2007.
Scholarships, Honors and Awards
Tinbergen Institute M.Phil. scholarship, 2009-2011
Barcelona GSE M.Sc. scholarship, 2008
Distinguished graduate of Peking University, 2004 (Top 3%)
JiuYuan scholarship of Fudan University (Tan Jia-Zhen Fund), 2004
Award for innovation in science, Peking University, 2003 (Top 1%)
Award for excellence in researching, Peking University, 2003
Donggang scholarship, Peking University, 2002
Tingmei scholarship, Peking University, 2002
Working Papers
1. Limited Participation and International Risk Sharing: Does the Nominal Exchange Rate Matter? (JOB MARKET PAPER)
In international business cycle models with complete financial markets, the consumption growth ratio moves in tandem with the real exchange rate growth. In the data, however, their correlation is often negative. International risk sharing is quite poor in reality. This consumption-real exchange rate anomaly, also called the Backus-Smith puzzle, is one of the major puzzles in international macroeconomics. Empirical results show that the nominal exchange rate movements are the main source for this anomaly. This paper shows that an endogenously segmented asset markets model can solve the consumption-real exchange rate anomaly and reveal the role of the nominal exchange rate in international risk sharing. If the nominal exchange rate is fixed, international risk sharing improves in the simulated economy.
2. Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates, joint with Casper G. de Vries
The term structure of interest rates does not adhere to the expectations hypothesis possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the risk premium becomes time varying and we can rationalize the failure of the expectations hypothesis. Indirect empirical tests of the model’s implications are provided.
3.Excess Returns: Different Tales from the Euro and the Dollar Interest Rate Futures, joint with Kerstin Bernoth and Casper G. de Vries
We collect the futures rates for four kinds of interest rates. They are two euro interest rate futures, the 3-month Euribor rate futures and the one-month Eonia rate futures, and two U.S. dollar futures, Federal funds futures and 3-month Eurodollar rate futures. We test the excess returns for the four futures and find there is significant difference in the excess returns between the euro futures and the dollar futures. We can see significant excess returns on the dollar futures. However, for the euro futures, we cannot. We then test the expectation hypothesis for all the futures and find the EH does not hold for any one of them. We try to use the common correlated effects (CCE) estimator to fix the EH. However, we find the CCE estimator is not a effective way to explain the failure of the EH in futures markets.
Language Skills
Chinese (native), English (fluent)
Computer Skills
Programming: MATLAB, OxMetrics, R;
Software: LaTeX, MS Office, Mathematica, EViews, Stata.
Main Publications in Life Science
Wang XD, Liu J, Yang JC, Chen WQ and Tang JG. Mice body weight gain is prevented after naked human leptin cDNA transfer into skeletal muscle by electroporation. J Gene Med. 2003, 5(11): 966-976.
Wang XD, Tang JG, Xie XL, Yang JC, Li S, Ji JG, Gu J. A comprehensive study of optimal conditions for naked plasmid DNA transfer into skeletal muscle by electroporation. J Gene Med. 2005, 7(9): 1235-1245.
Wang XD, Hiroki Matusda, Yun-Bo Shi, Development regulation and function of thyroid hormone receptors and 9-cis retinoic acid receptors during Xenopus tropicalis metamorphosis. Endocrinology 2008, 149 (11): 5610-5618.
Education
PhD in economics, Tinbergen Institute & Erasmus University Rotterdam, Expected Completion: March, 2015.
M.Phil. in Economics, Tinbergen Institute & University of Amsterdam, 2009-2011.
M.Sc. in Macroeconomic Policy and Financial Markets,
Barcelona Graduate School of Economics, University of Pompeu Fabra, 2008-2009.
PhD in Biochemistry and Molecular Biology, Peking University, 1999-2004.
B.Sc. in Biochemistry, Sichuan University, 1995-1999.
Research Fields
International Macroeconomics and Finance, Macroeconomics and Monetary Economics,
General Financial Markets, Asset Pricing with Connection to Macroeconomics.
Teaching Assistantship
2010 Math II (M.Phil. Core, Tinbergen Institute), for Prof. Jan Brinkhuis.
2012 & 2013 International Economics (Undergraduate, Erasmus School of Economics), for Dr. Julian Emami Namini and Dr. Maarten Bosker.
2012 & 2013 Macroeconomics (Undergraduate, Erasmus School of Economics), for Dr. Laura Hering.
Master Thesis Supervision
Thesis topic: The Determinants of Government Bond Yield Spreads
Internship
Oct. 2014-Feb. 2015: Validation of Interest Rate Risk in The Banking Book Models (DHB Bank at Rotterdam)
Conference Presentation
2013
Aug. Singapore Economic Review Conference, Singapore
Sep. The 45th Money, Macro and Finance Conference, London
2014 (including scheduled)
June Midwest Macro Conference, USA
June 13th EBES Conference, Istanbul
June Asian Meeting of the Econometric Society, Taipei
June Columbia-Tsinghua Conference in International Economics, Beijing
Aug. EEA-ESEM Conference, Toulouse
Dec. XXXIX Symposium of the Spanish Economic Association, Palma de Mallorca, Spain
Dec. 12th International Paris Finance Meeting, Paris
Work Experience
National Institutes of Health (USA), Research Fellow, 2007-2008.
Zhongzi Law Office (Beijing, China), Patent Attorney, 2004-2007.
Scholarships, Honors and Awards
Tinbergen Institute M.Phil. scholarship, 2009-2011
Barcelona GSE M.Sc. scholarship, 2008
Distinguished graduate of Peking University, 2004 (Top 3%)
JiuYuan scholarship of Fudan University (Tan Jia-Zhen Fund), 2004
Award for innovation in science, Peking University, 2003 (Top 1%)
Award for excellence in researching, Peking University, 2003
Donggang scholarship, Peking University, 2002
Tingmei scholarship, Peking University, 2002
Working Papers
1. Limited Participation and International Risk Sharing: Does the Nominal Exchange Rate Matter? (JOB MARKET PAPER)
In international business cycle models with complete financial markets, the consumption growth ratio moves in tandem with the real exchange rate growth. In the data, however, their correlation is often negative. International risk sharing is quite poor in reality. This consumption-real exchange rate anomaly, also called the Backus-Smith puzzle, is one of the major puzzles in international macroeconomics. Empirical results show that the nominal exchange rate movements are the main source for this anomaly. This paper shows that an endogenously segmented asset markets model can solve the consumption-real exchange rate anomaly and reveal the role of the nominal exchange rate in international risk sharing. If the nominal exchange rate is fixed, international risk sharing improves in the simulated economy.
2. Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates, joint with Casper G. de Vries
The term structure of interest rates does not adhere to the expectations hypothesis possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the risk premium becomes time varying and we can rationalize the failure of the expectations hypothesis. Indirect empirical tests of the model’s implications are provided.
3.Excess Returns: Different Tales from the Euro and the Dollar Interest Rate Futures, joint with Kerstin Bernoth and Casper G. de Vries
We collect the futures rates for four kinds of interest rates. They are two euro interest rate futures, the 3-month Euribor rate futures and the one-month Eonia rate futures, and two U.S. dollar futures, Federal funds futures and 3-month Eurodollar rate futures. We test the excess returns for the four futures and find there is significant difference in the excess returns between the euro futures and the dollar futures. We can see significant excess returns on the dollar futures. However, for the euro futures, we cannot. We then test the expectation hypothesis for all the futures and find the EH does not hold for any one of them. We try to use the common correlated effects (CCE) estimator to fix the EH. However, we find the CCE estimator is not a effective way to explain the failure of the EH in futures markets.
Language Skills
Chinese (native), English (fluent)
Computer Skills
Programming: MATLAB, OxMetrics, R;
Software: LaTeX, MS Office, Mathematica, EViews, Stata.
Main Publications in Life Science
Wang XD, Liu J, Yang JC, Chen WQ and Tang JG. Mice body weight gain is prevented after naked human leptin cDNA transfer into skeletal muscle by electroporation. J Gene Med. 2003, 5(11): 966-976.
Wang XD, Tang JG, Xie XL, Yang JC, Li S, Ji JG, Gu J. A comprehensive study of optimal conditions for naked plasmid DNA transfer into skeletal muscle by electroporation. J Gene Med. 2005, 7(9): 1235-1245.
Wang XD, Hiroki Matusda, Yun-Bo Shi, Development regulation and function of thyroid hormone receptors and 9-cis retinoic acid receptors during Xenopus tropicalis metamorphosis. Endocrinology 2008, 149 (11): 5610-5618.