1. 姚 薇（2017级博士生）： On the relationship between interest rates and commodities’ prices in the context of quantitative easing
2. 吴祯姝（2018级博士生）：Carbon Risk and Corporate Cash Holdings
3. 王 科（2017级博士生）：CEO Career Concern and ESG Reputation Risk: Evidence from Regression Discontinuity Design
陈宇子 中央财经大学金融学院 助理教授
朱菲菲 中央财经大学金融学院 助理教授
杜涣程 中央财经大学金融学院 助理教授
五、主持人：陈宇子 中央财经大学金融学院 助理教授
1. On the relationship between interest rates and commodities’ prices in the context of quantitative easing: Evidence from a wavelet coherency analysis
We investigate the time and frequency varying features of both the co-movement and causalities between commodities’ prices and interest rates in the context of quantitative easing (QE) policy. In this direction, we adopt a wavelet coherency analysis which is applied to U.S. data over the period from 2002:7 to 2018:6. Our results indicate that there is a strong co-movement between commodities’ prices and interest rates under QE policy and most commodities’ prices co-move with interest rates in the same direction in the long term. Additionally, commodities’ prices may lead interest rates including metals’ prices over the QE period, which supports the hypothesis that apart from energy and agricultural commodities’ prices, metals’ prices may also influence monetary policy through the inflation rate. Furthermore, the evidence indicates that low interest rates in conjunction with large funds flowing into the commodity market, may cause the commodity market to assume greater significance vis-à-vis the interest rate market. Finally, our results suggest that the inflation rate may indeed exert an impact on the correlation between commodities’ prices and interest rates under conventional monetary policy but may also cloud the relationship of the two variables under QE policy.
2. Carbon Risk and Corporate Cash Holdings
The adoption of Paris agreement to reduce carbon emission in response to global climate change exacerbates the uncertainty of high-carbon emitters. We use the adoption of Paris Agreement as a quasi-natural experiment to investigate the effect of corporate carbon risk on cash holdings in the context of Chinese listed industrial firms. We document a significant increase of high-carbon emitter’s cash holdings after the adoption of Paris Agreement. Economically, in contrast to the low-carbon emitters, high-carbon emitters’ cash holding increases about 2.2% on average after the adoption of Paris Agreement. Further analysis shows that the positive relationship between carbon risk and cash holdings is more pronounced for the firms with high external financial constraints and volatile cash flows. The evidence supports the pre-cautionary argument in response to carbon risk. In addition, we show that high-carbon emitters tend to commit to green transition to alleviate the impact of carbon risk.
3. CEO Career Concern and ESG Reputation Risk: Evidence from Regression Discontinuity Design
We use Regression Discontinuity Design (RDD) to identify the causal impact of CEO career concerns on ESG reputation risk. Using the ex-ante predicted dismissal probability as a proxy for career concern, we exploit narrowly missing the Relative Performance Evaluation (RPE) target as an exogenous shock to CEO career concern in the RDD setting. Our results suggest that career-concerned CEOs who narrowly miss the RPE target suffer less from ESG reputation risk in the subsequent year than otherwise similar CEOs who barely beat the target. This effect is more pronounced for firms with higher financial and idiosyncratic risks. However, we find no evidence that CEO career concern improves ESG performance. On the contrary, CEO career concerns could reduce actual ESG engagement. Our findings imply that career-concerned CEOs prioritize ESG reputation risk management that produces immediate effect while neglecting real ESG engagement that requires a long-term commitment.