Working papers:

  • "Dynamics and determinants of gross capital flows: a nonlinear approach" (Job-Market Paper) [PDF]
International capital flows have big impacts on financial stability, yet the dynamics and determinants of gross flows are still under debate. In this paper, I explore the nonlinear behavior of different types of gross capital flows and key capital flow drivers during normal and crisis times. I find that the dynamics of gross flows are more unstable after extreme capital flow episodes and in high risk environment. A simulation reveals that shocks preceded by a capital flow bust period tend to have larger and longer impact, although significant country heterogeneity exists. Also, I find that global push factors have larger impact in abnormal periods especially for bank flows. The effects of pull factors are also larger in abnormal regimes albeit less significant than push factors overall. 

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  • "The nonlinear capital flow dynamics" with Michael Bradley 
The global financial crisis has raised attention toward gross capital flows. While net capital flows are usually found to be volatile and non-persistent, the dynamics of gross flows are less well researched. In this paper, we perform linearity tests and apply nonlinear threshold models to study the dynamics of gross flows. We find that the dynamics tend to be explosive in economic recession periods and periods following a capital flow bust. This means a shock may cause more volatilities under abnormal economic and market conditions. Therefore, policy makers should be extra alert to capital flow shocks when abnormal regimes persist. 


  • "Carry trade and bubbles in the foreign exchange market" with Michael Bradley  
Are there bubbles in the foreign exchange market? In this paper, we test for bubbles in some most traded currency pairs using the PSY real time bubble detector and trivariate VAR analysis. We separate variations of the equilibrium exchange rate from the residual variation to ensure the detected excessive exuberant episodes reflect bubbles rather than shifts in economic fundamentals. This paper shows that bubbles exist in most of the commonly traded currency pairs, although the bubble episodes tend to be infrequent and relatively short-lived. We also explore the possible reasons for exchange rate bubbles, including speculative activities such as currency carry trade. Our findings suggest that the foreign exchange market is not fully efficient and can be destabilized by speculative behaviors in the short run​


  • "Banks’ Buffer-and-Filter Effects in Monetary Policy Transmission: An International Comparison" with Jiawen Yang  
Following the aggravation of financial crisis in 2008, central banks in advanced economies injected unprecedented liquidity into the banking system through quantitative easing. In tandem, China’s central bank also changed course and eased its monetary policy. However, data suggests increases in total credits due to monetary easing are relatively moderate in advanced economies comparing with China. In this paper, we study the differences in monetary policy transmission mechanisms among major economies and the role played by financial intermediaries. Our research describes a conceptual framework in which banks act as buffers and filters in the monetary policy transmission process as they build up liquidity buffer and become more selective in making loans after the global financial crisis (GFC). In particular, we propose that such buffer-and-filter effects create structural changes in the money multiplier, which we test using the Markov switching model. We also show through a principal component analysis that the buffer-and-filter effects matter for most of the major economies, although one effect can be more important in some countries than in others. As a result, liquidity conditions faced by firms operating in different economies can be affected differently even when the initial monetary policy shocks are similar.


Publications: 
  • Yiqun Wu, Xiaohui Sharon Wu, and Khristine L. Racoma, under the guidance of Ana Corbacho, 2018. The future of ASEAN-5 financial integration. In: Corbacho A & Shanaka P (eds.) The ASEAN Way: Sustaining Growth and Stability. International Monetary Fund, Washington DC. [Excerpt]
  • Yiqun Wu, Xiaohui Wu, 2018. Thailand: Implications of Regional Financial Integration. In: Thailand Selected Issues. International Monetary Fund, Washington, DC. [PDF]


Conference Presentations: 
  • 1st GW Student Research Conference in Economics, April 2017. [Link] 
  • The 86th annual conference of the Southern Economic Association, November 2016. [Link] 




Research Statement