Ziang Li (@ZiangLi

Ziang Li

56 posts

Ziang Li

@ZiangLi_

Assistant Professor of Finance @ImperialBiz | PhD @PrincetonEcon | Insurance, Financial Intermediation, Asset Pricing, Macro-Finance, Behavioral | 李子昂

Princeton, NJ

Joined August 2019

Ziang Li
@ZiangLi_
Sep 20, 2023
Thank you @PrincetonBCF for the Ben Bernanke Prize! Check out the paper here ziang-li.github.io/research/
Princeton Bendheim Center for Finance
@PrincetonBCF
Sep 20, 2023
Congratulations to Ph.D. candidate @ZiangLi_ on his outstanding job market paper and subsequent award of the 2023 Ben Bernanke Prize in Financial and Monetary Economics! Learn more about this award and Li's research: bit.ly/451Z2If @MarkusEconomist
18K
Ziang Li
@ZiangLi_
Nov 14, 2023
I’m on the job market! Here is a thread on my job market paper, which looks at how long-term interest rates (e.g., 10-year Treasury yields) affect the corporate bond market. ziang-li.github.io/files/JMP_Zian…
Princeton Economics
@PrincetonEcon
Nov 8, 2023
Ziang Li’s (@ZiangLi_) job market paper examines how long-term interest rates affect corporate bond credit spreads. He finds that increases in long rates have led to declines in credit spreads after the 2007-2008 Financial Crisis. ziang-li.github.io/files/JMP_Zian…
50K
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
Happy to chat! Also please check out my other papers on my website! ziang-li.github.io/research/
1.4K
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
I find that life insurers (largest bond investors, >30% market cap) are key contributors to this result. Post-2008, insurers start to face severe duration mismatch —> their market equity rises by over 7% when the 10y Treasury yield rises by 1%.
1.1K
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
I document that rises (declines) in long rates depress (heightens) credit spreads after the 2008 Financial Crisis
1.8K
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @MarkusEconomist
Thank you, Markus, for being an amazing advisor!
534
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
I build a quantitative model based on this mechanism that explains the observations. The model shows that unconventional monetary policy, such as QT, which raises long rates, has large unintended consequences in the bond market.
983
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
When long rates increase, insurers receive equity gains and become less constrained. They increase their bond demand, which lowers credit spreads.
561
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
I provide causal identification using an exogenous discontinuity in bonds’ investor composition due to mutual fund investment mandates and confirm that spreads of bonds held more by insurers exhibit stronger responses to long rates.
558
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
It helps explain two striking market observations: (1) heightened credit spreads in the low-rate environment post-GFC and (2) tightening of credit spreads this year following the recent hiking cycle. (also in ft.com/content/19e2f3…)
1.1K
Ziang Li
@ZiangLi_
Nov 14, 2023
Replying to @ZiangLi_
The channel has large real effects on bond issuance and firm investment -- new bond issuance is tilted towards speculative-grade bonds when rates are higher
813