Yang Liu

The University of Hong Kong - Faculty of Business and Economics

Pokfulam Road

Hong Kong

China

  • The University of Hong Kong - Faculty of Business and Economics

SCHOLARLY PAPERS

10

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5,868

SSRN CITATIONS
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Top 34,584

in Total Papers Citations

7

CROSSREF CITATIONS

16

Scholarly Papers (10)

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1.

Getting to the Core: Inflation Risks Within and Across Asset Classes

Downloads 2,101 ( 11,006)

Getting to the Core: Inflation Risks Within and Across Asset Classes

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 91 Posted: 17 Feb 2021 Last Revised: 03 May 2022
Xiang Fang, Yang Liu and Nikolai L. Roussanov
The University of Hong Kong, The University of Hong Kong - Faculty of Business and Economics and University of Pennsylvania - The Wharton School
Downloads 2,089 (10,892)

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Getting to the Core: Inflation Risks within and Across Asset Classes

NBER Working Paper No. w30169
Number of pages: 92 Posted: 20 Jun 2022 Last Revised: 25 Jun 2022
Xiang Fang, Yang Liu and Nikolai L. Roussanov
The University of Hong Kong, The University of Hong Kong - Faculty of Business and Economics and University of Pennsylvania - The Wharton School
Downloads 12 (839,498)
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2.

Dynamic ESG Equilibrium

Number of pages: 56 Posted: 05 Oct 2021 Last Revised: 12 Nov 2022
Doron Avramov, Abraham Lioui, Yang Liu and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, EDHEC Business School, The University of Hong Kong - Faculty of Business and Economics and Catholic University of Milan
Downloads 750 (50,001)

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ESG, Dynamic equilibrium, Asset pricing, Preference shock

3.

Volatility, Intermediaries, and Exchange Rates

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 53 Posted: 20 Nov 2016 Last Revised: 23 Jul 2021
Xiang Fang and Yang Liu
The University of Hong Kong and The University of Hong Kong - Faculty of Business and Economics
Downloads 745 (50,412)

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Volatility, Financial Intermediaries, Exchange Rates, Currency Return, Value-at- Risk

4.

Government Debt and Risk Premia

Number of pages: 58 Posted: 19 May 2022
Yang Liu
The University of Hong Kong - Faculty of Business and Economics
Downloads 741 (50,792)
Citation 5

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Government debt, risk premia, fiscal policy risk

5.

Volatility Risk Pass-Through

Downloads 700 ( 54,743)
Citation 2

Volatility Risk Pass-Through

Number of pages: 66 Posted: 27 Nov 2015 Last Revised: 18 Oct 2021
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 646 (59,997)
Citation 2

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Volatility pass-through, foreign exchange disconnect, risk sharing

Volatility Risk Pass-Through

NBER Working Paper No. w25276
Number of pages: 51 Posted: 19 Nov 2018 Last Revised: 25 Jul 2022
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 54 (539,402)

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Volatility Risk Pass-Through

CEPR Discussion Paper No. DP13325
Number of pages: 53 Posted: 19 Nov 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
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foreign exchange disconnect, Risk Sharing, Volatility pass-through

Volatility Risk Pass-Through

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Oct 2018 Last Revised: 29 Apr 2021
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison

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Volatility, International Risk Sharing, Exchange Rate

6.

The Risks of Safe Assets

Downloads 328 (135,674)
Citation 6

The Risks of Safe Assets

Number of pages: 70 Posted: 13 Nov 2020 Last Revised: 24 Jul 2021
Yang Liu, Lukas Schmid, Amir Yaron and Amir Yaron
The University of Hong Kong - Faculty of Business and Economics, University of Southern California - Marshall School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 328 (134,867)
Citation 7

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Government debt, safe assets, liquidity premium, uncertainty, growth, fiscal costs, risk premia, credit spreads, cost of capital, unconventional stabilization policies

The Risks of Safe Assets

CEPR Discussion Paper No. DP16407
Number of pages: 73 Posted: 27 Sep 2021
Lukas Schmid, Yang Liu, Amir Yaron and Amir Yaron
University of Southern California - Marshall School of Business, The University of Hong Kong - Faculty of Business and Economics and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
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fiscal costs, Government Debt, risk premia, safe assets

7.

Government Policy Approval and Exchange Rates

Number of pages: 56 Posted: 27 Dec 2017
Yang Liu and Ivan Shaliastovich
The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 284 (157,456)
Citation 1

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Government Policy Approval, Policy Uncertainty, Exchange Rate, Currency Risk

8.

Volatility (Dis)Connect in International Markets

Downloads 130 (315,146)

Volatility (Dis)Connect in International Markets

Number of pages: 40 Posted: 28 Jan 2022
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 130 (316,312)

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Volatility risk, foreign exchange disconnect, risk sharing

Volatility (Dis)Connect in International Markets

CEPR Discussion Paper No. DP17101
Number of pages: 43 Posted: 29 Mar 2022
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
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foreign exchange disconnect, Risk Sharing, volatility risk

9.

Government Policy Announcement Return

Number of pages: 38 Posted: 28 Jan 2022
Yang Liu and Ivan Shaliastovich
The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 49 (553,160)

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10.

On the Asymmetry of Global Spillovers: Emerging Markets Versus Advanced Economies

World Bank Policy Research Working Paper No. 8662
Number of pages: 31 Posted: 04 Dec 2018 Last Revised: 07 Dec 2018
Rabah Arezki and Yang Liu
World Bank - African Development Bank and The University of Hong Kong - Faculty of Business and Economics
Downloads 40 (599,150)
Citation 1

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International Trade and Trade Rules, Investment and Investment Climate, Natural Disasters, Energy and Environment, Energy Demand, Energy and Mining, Regional Urban Development