I am a Ph.D. candidate in Finance at ESSEC Business School, I am on the job market during the 2022-2023 academic year.
Research Interests:
Asset Pricing
Macro-Finance
Macroeconomics
Financial Econometrics
Contact: bingxin.xing[at]essec.edu
My CV can be found here.
Working Papers
[1] Why Do Inflation Rates Vary Across Countries? with Bruno Feunou and Roméo Tédongap.
Abstract: I build an APT-like factor model for consumer price fluctuations across 181 countries and regions from January 1990 to February 2022. The sizable cross-sectional heterogeneity in inflation is well explained by the differential exposures (betas) to a set of common global factors, including three procyclical factors: energy price index, agriculture price index, and composite leading indicators, and three countercyclical factors: global unemployment rate, precious metals price index, and world uncertainty index. The main finding is that economies with procyclical inflation generally experience higher inflation than those with countercyclical inflation. The empirical estimates are significant and robust across various model specifications, alternative rolling-window analyses, and additional global factors. I propose an interpretation from a consumer behavior perspective for this observation: if other conditions are similar, consumers tend to adopt more accommodating consumption plans in economies with procyclical inflation due to the ``hedging effect'' of declining inflation in adverse economic conditions. Conversely, in economies with countercyclical inflation, consumers may display greater caution and a higher propensity to save rather than spend in everyday life, as such economies are more ``risky'' to consumers. Consequently, consumers' asymmetric aversion to higher inflation in economies with varying inflation cycle characteristics results in differing aggregate demand for consumption and, thus, diverse inflation rates across economies. This finding also contrasts with those from cross-sectional asset pricing studies. Despite divergent rationales, factor prices (lambdas) exhibit the same sign - positive for procyclical factors and negative for countercyclical factors.
Presentations: FMA European Conference 2023; SWFA Annual Conference 2023; 64th Annual Conference of the Italian Economic Association 2023 (scheduled), International Symposium on Econometric Theory and Applications 2023 (scheduled)
[2] Robust Empirical Regularities on the Heterogeneity of Inflation Across Consumer Goods, with Bruno Feunou and Roméo Tédongap.
Abstract: We define the individual excess inflation rate (IEIR) for a consumer good as its individual inflation rate (IIR) minus the CPI inflation rate. We document considerable cross-sectional heterogeneity in consumer goods' IEIRs, which we explain by their differential exposures to a set of macroeconomic factors capturing common sources of price variation. It includes pro-cyclical factors, such as long-term inflation expectations, wages, and consumer sentiment, as well as counter-cyclical factors, such as the unemployment gap, economic policy uncertainty, and financial conditions. Our findings indicate that, on average, 40\% of the variation in IEIR across goods is accounted for by the heterogeneity in goods' price responses to macroeconomic disturbances. Consumer goods with higher price sensitivity to pro-cyclical factors are associated with lower IEIR, while goods with higher price sensitivity to counter-cyclical factors are linked to higher IEIR. These results remain robust after considering other potential drivers, such as the volatility and persistence of disaggregated inflation.
Presentations: Federal Reserve Bank of New York 2023; 63rd Annual Conference of the Italian Economic Association 2022; the 41st EBES Conference; the Singapore Economic Review Conference 2022 (SERC), CY Cergy Paris University 2022, ESSEC Business School 2022, University of Nottingham 2022, Asia-Pacific Conference on Economics & Finance (APEF) 2022 (accepted), the 23rd Macro-econometric Workshop on Inflation: Modelling, Forecasting and Monetary Policy Reactions 2022 (accepted)
[3] US Macro News and Low-Frequency Changes in Small Open Economies Bond Yields, with Bruno Feunou, Morvan Nongni-Donfack, and Rodrigo Sekkel (R&R at Journal of Banking and Finance)
Abstract: This paper investigates the importance of U.S. and domestic macro news in driving high-and low-frequency fluctuations in Canada, Sweden, and the U.K. We follow two approaches. First, we apply a regression framework that aggregates the impact of daily macro news on bond yields to quarterly changes. Next, we estimate a macro-finance affine term structure model linking the daily news to lower frequency changes in bond yields, expectations, and term premiums. Both approaches show that U.S. macro news is an important driver of low-frequency changes in bond yields in these small open economies, often more important than their respective domestic macro news. Furthermore, the macro-finance model shows the importance of U.S. macro news in explaining the changes in bond yields and inflation compensation, the difference between nominal and real yields, in these economies is in large part due to their explanatory power for term and inflation risk premia.
[4] The Economic Value of TIPS Arbitrage Mispricing, with Shehryar Amin, Vasilis Dedes, and Roméo Tédongap.
Abstract: Rational frictionless asset pricing models imply that continuously compounded zero-coupon inflation swaps and break-even inflation rates with the same maturity must be equal. The data, however, evidence a persistent positive difference between these two quantities, which the literature attributes to the mispricing of Treasury Inflation-Protected Securities (TIPS). In theory, factors driving TIPS mispricing are not directly observable to the econometrician. To reveal these factors, we analyze the daily term structure of TIPS mispricing and uncover its information content. To assess its economic value, we derive novel high-frequency stylized facts about its dynamics. In particular, we document strong relationships with stock market returns, option-implied volatility, variance risk premium, and an important channel for jointly predicting inflation, bond, and equity excess returns.
Work in Progress
[5] Generalized Affine Habit Models, with Roméo Tédongap. (draft coming soon)
Abstract: This paper presents a consumption-based habit model that jointly explains various dynamic pricing features in the bond and equity market. The driving force behind the model is a time-varying price of risk generated by external habits. The model generates an upward-sloping term structure of real and nominal bonds. Also, the model produces an upward-sloping term structure of equity risk premia no matter whether we model stocks as a claim to the consumption or a claim to volatile dividends stream. When calibrated to historical data on consumption, inflation, and the aggregate market, the model generates realistic means and volatilities of bond and equity yields. The affine assumption allows for tractable solutions to prices and returns.
[6] Habit, Money, and Asset Prices
Abstract: This paper proposes a consumption-based model to generate time-varying risk tolerance through external habit and use recursive utility to separate intertemporal elasticity substitution (IES) and relative risk aversion (RRA). The model simultaneously explains bond and stock pricing in one model. Besides, this paper extends the current literature by accounting for real money holdings as an additional systematic risk source, introducing the Money-in-the-Utility Function (MIUF), and possibly providing some monetary policy references. The model is solved within the affine framework and gets closed-form expressions.