经济学论坛
2025年第1期，总第26期
报告题目： The US as the Global Equity Safe Haven
汇报人：余昌华 北京大学国家发展研究院 副教授
时间： 4.10 星期四（上午 10:00-11:30）
地点： A1148
邀请人： 金昊
报告摘要：
We systematically document a flight-to-US phenomenon in the global equity market when global volatility soars, using portfolio holdings of globally investing active equity mutual funds with total size of over 2 trillion USD. We find that at the fund-stock level, a fund would on average rebalance to a US stock by 2% of this position relative to a non-US stock contemporaneously under one unit increase of the log VIX index, before reaching its peak of 9.1% after 4 quarters. The rebalance to US is mostly offset by withdraw from the emerging markets. Funds experience better ex-post return by engaging in rebalancing than hypothetically not rebalancing in the short run, but this effect diminishes after 8 quarters. We interpret the empirical findings using a stylized model featuring asymmetric balance sheet capacity between US and non-US liquidity providers that generate a convenience value of US stocks. When volatility rises, mutual funds rebalance to US to lower their potential fire sale cost, thanks to the better balance sheet capacity of US liquidity providers leading to a lower haircut for US stocks.
主讲人简介：北大博雅青年学者、北大国发院经济学副教授（长聘）、入选国家级青年人才计划。2012年毕业于英属哥伦比亚大学，获经济学博士。在此之前，先后就读于中国人民大学（法学学士）和北京大学（经济学硕士）。主要研究方向为国际金融、货币政策、金融市场与宏观经济，在国内外顶级经济学学术刊物 Review of Economic Studies, Journal of International Economics, Journal of Monetary Economics, The Economic Journal, Journal of Economic Theory, Journal of International Money and Finance，《经济研究》等发表多篇学术论文。
