Chuck Fang

Honored to present my paper with @kairong_xiao “What Do $40 Trillion of Portfolio Holdings Say about Monetary Policy Transmission” at NBER Summer Institute, Macro Money Financial Frictions / Asset Pricing! Many thanks to the organizers for including our paper, Jeremy Stein for a terrific discussion, and a lively audience for many excellent comments. Here is the video recording in case you are interested (we are the 3rd paper): youtube.com/live/oFEBljIZO…

5/ A highlight of our framework is that it can be used to dissect each individual monetary policy episode. With the up-to-date holdings data, we can quantify which channels matter specifically for the current monetary easing cycle and why some channels have become stronger or weaker over time.

@kairong_xiao 4/ Apart from the average effect, our demand system uncovers important heterogeneities and state dependencies. The contribution of a channel varies across the term structure and credit spectrum and depends on the composition and elasticity of investors.

1/ Yesterday 10-year Treasury yield rose by 12 bps in response to the surprisingly hawkish FOMC announcement, a large part of which arguably comes from term premium movement. What are the relevant channels and how important are they? @kairong_xiao and I develop a random-coefficient demand system framework to answer this question, using granular portfolio holdings data covering the near universe of U.S. bonds: papers.ssrn.com/abstract=50254…

Glad to be part of this open data initiative and let me know if any questions on the linker / if you want to contribute!

Corporate bond issuer CUSIP to Compustat (GVKEY) and CRSP (PERMNO) monthly linker file now on Open Source Bond Asset Pricing (OSBAP), openbondassetpricing.com/bond-compustat… courtesy of Chuck Fang (Drexel), @fangcb0822. Chuck's associated paper, 'Monetary Policy Amplification through Bond Fund Flows' is available here: papers.ssrn.com/sol3/papers.cf…. The linker file allows you to seamlessly merge stock return data from CRSP and accounting data from Compustat to the TRACE or BAML/ICE bond datasets. The data augments the amazing work of the WRDS data team with manual error correcting, larger cross-sectional and time-series coverage, inclusion of 144A bonds and BAML/ICE data coverage. Comparison below:

And the paper is now published on @IMF Economic Review at the link below! links.springernature.com/f/a/StfNonjJza…~~

Very happy that my paper on "Restructuring Sovereign Bonds" w/ Chuck Fang and Christoph Trebesch has been accepted by the @IMFNews Economic Review! The paper analyzes holdouts in sovereign default workouts and shows that *strong* CACs can be a remedy 1/n ecb.europa.eu/pub/pdf/scpwps…

@CarnivalCruise I did! But the agent said that I don't get any refund according to my original purchase agreement. I find this very unreasonable given the current situation with the virus, and I'm doing this for the interest of the public health. Please let me know if an exception can be made!

@fangcb0822 Good Morning Chuck. We are so sorry you are not feeling well and hope you get better soon. Please give our Guest Solutions team a call at 1.800.764.7419.

There is a glut of ex ante pricing studies of #CACs in #sovereigndebt (instrumentally useful, but ? informative); none of their ex post effect. Kudos to Chuck Fang @Wharton Christoph Trebesch @kielinstitute Julian Schumacher @ECB on paper @IMFNews #ARCPolak, cmts Marcos Chamon.

@ATTCares I simply wanted to switch from postpaid to prepaid while keeping my number but none of the 20 something agents I talked to could do that.