Fields of expertise
My research interest is in macroeconomic modeling of the housing market, banking regulation and government behavior. My recent research work focuses on the impact of low rate policy on the supply of mortgages and on housing market conditions.
BiographyI am currently in my fifth year of PhD at the Chair of International Finance, at EPFL. I completed my Master in Economics in 2016 at Central University of Finance and Economics in China, and Bachelor in Communication in 2013 at University of Science and Technology of China. In 2016, I was accepted as a PhD student at EPFL, under the supervision of prof. Lambertini. Later the same year I followed the Swiss Program for Beginning Doctoral Students at Gerzensee. Now I am focusing on my research project and working as a teaching assistant for the Global Business Environment class.
Mortgage Lending Responses to Negative RateWe use Sweden bank-level data and a diff-in-diff-in-diff identification strategy to study how the negative monetary policy rate has impacted mortgage lending across banks. Our first main finding is that the deposit funding channel operates only for banks with low capital buffers, i.e. capital in excess of requirement. This explains why small banks, which are completely dependent on deposits but have large capital buffers, were able to significantly expand mortgage lending. Our second main finding is that banks more reliant on covered bonds to finance household loans are better able to cushion against negative rate policy as they can shift for cheaper deposit funding. We build up a general equilibrium model to structure these empirical findings, featuring big and small banks with different deposit ratios that compete in the deposit and mortgage market. We use this model to study the implications of the Covid-19 pandemic for the mortgage market.
Mortgage Supply and Capital RegulationLow-for-long nominal interest rates have resulted in strong growth in mortgage lending and real house prices in Switzerland. Domestically-oriented, small banks have mostly contributed to this expansion in mortgage lending while the two big, global systemic banks (UBS and Credit Suisse) have lost market share. We develop a model with two types of banks and monopolistic competition in the deposit and mortgage market, which we calibrate to the Swiss banking sector. In this model, a contemporaneous expansion in the housing market and change in market shares as in the data emerges only if the monetary policy rate is reduced and capital requirements on the big banks are tightened. Any of the two policies in isolation fails to match the empirical evidence.