1. 姚 薇（2017级博士生）：On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under unconventional monetary policy Evidence from a TVP-VAR model
2. 逯晓玮（2016级博士生）：Litigation Risk, Political Connections, and Corporate Governance
魏 旭 中央财经大学金融学院 副教授
吴 锴 中央财经大学金融学院副教授
杜涣程 中央财经大学金融学院 助理教授
五、主持人：魏 旭 中央财经大学金融学院 副教授
1. On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under unconventional monetary policy Evidence from a TVP-VAR model
In the realm of unconventional monetary policy, we explore the transmission that relates speculative activity, inventory arbitrage activity, and commodity price volatilities. In this direction, a TVP-VAR model is adopted to test the transmission effect on seven commodities’ prices using monthly data over the period 2003:4 to 2018:6. The results suggest that U.S. easing and unconventional monetary policy has a strong impact on precious metals and energy commodity price volatilities, whilst for industrial metals and agricultural stuffs' price volatilities, the impact is rather subdued. Even though easing and unconventional monetary policy affects energy commodity price volatilities through inventory arbitrage activity and speculative activity simultaneously, the impact of inventory arbitrage activity appears to be stronger than that of speculative activity. Furthermore, the effect of monetary policy, inventory arbitrage activity and speculative activity on commodities’ price volatilities in an alternative way between positive and negative. Moreover, Granger causality indicates some commodities’ prices may lead their inventory arbitrage activities and speculative activities. Finally, the evidence also shows that speculative activity does not seem to have exerted a weaker impact on commodities’ prices during de-financialization period of commodity market.
2. Litigation Risk, Political Connections, and Corporate Governance
This study first document models that measure litigation risk in China and to benchmark these models against the industry measure widely used in the literature. While the industry measure alone does a relatively poor job of predicting litigation, supplementing this variable with measures of firm capital market characteristics (such as stock return, and stock volatility) and political connection factor considerably improves predictive ability. Moreover, I examine the impact of litigation risk on corporate investment policies, and in shaping corporate performance. I document a negative association between litigation risk and corporate investment expenditures, and also a negative relationship between litigation risk and corporate performance. Lastly, I investigated the mediating impact of the political connection factor, concluding that having political connections to the government could mitigate the negative impacts of litigation risk on corporate investment policy, and also mitigate the negative impacts caused by litigation risk on corporate performance.