Research - Assistant Professor (Teaching)

Jieshuang (Helen) HE

Title:

Assistant Professor (Teaching)

Education Background:

PhD in Economics, Indiana University, Bloomington
MA in Economics, Boston University
BS in Mathematics and BA in Economics, Wuhan University

jieshuanghe@cuhk.edu.cn

Office Address

Zhiren 414

Phone

+86 0755 23518837

Teaching Area

Economics

Other

Research

Financial Networks, Game Theory, Microeconomic Theory

Personal Website

https://sites.google.com/view/jieshuanghe/home

Research List

Working Papers:

1. Securities Settlement Fails Network and Buy-in Strategies (with P. Gurrola-Perez and G. Harper), September, 2019, Bank of England Staff Working Paper No. 821

2. Endogenous Multiplex Bank Networks and Contagion, March, 2019

3. Incentive Compatible Networks and the Delegated Networking Principle (with R. Gong and F. Page), February, 2016

Endogenous Multiplex Bank Networks and Contagion, March, 2019

I develop a model to study two related questions: how bank decisions to form connections depend on fundamentals; and how financial stability depends on bank network structure. In my model, banks are connected through two layers of networks: interbank debts and banks' common investments in non-financial firms. These layers of interconnections are incentivized by diversified investments when banks maximize their expected equity values according to mean-variance rules. I show that the topologies of the two network layers interact with each other. Comparative statics of a small number of banks indicates that, in equilibrium, as banks become less risk averse, they tend to issue more debts and form more links within the banking sector. Furthermore, I conduct numerical computations for bank default probabilities in a circle network and a more connected network. The results demonstrate that increased bank interconnectedness and common asset holdings significantly reduce systemic stability.

Securities Settlement Fails Network and Buy-in Strategies (with P. Gurrola-Perez and G. Harper), September, 2019, Bank of England Staff Working Paper No. 821

In the context of securities settlement, a trade is said to fail if on the settlement date either the seller does not deliver the securities or the buyer does not deliver funds. Settlement fails may have consequences for the parties directly involved and for the system as a whole. Chains of fails, for example, could lead to gridlock situations and large volume of fails can affect the liquidity and smooth functioning of financial markets. In this paper, we consider UK government bonds (gilts) and UK equities settlement data to examine the determinants of settlement fails and to explore the network characteristics of chains of settlement fails with the aim of identifying an optimal strategy to conduct a buy-in process that could resolve cascades of fails.

Incentive Compatible Networks and the Delegated Networking Principle (with R. Gong and F. Page), February, 2016

We construct a model of a principal-agent game of banking network formation with asymmetric information. We show that it is possible for the central bank to design a mechanism to regulate the banking network in order to control systemic risk to a desired level. Through the mechanism banks will truthfully reveal their private information. In addition, it is possible for the central bank to achieve the same outcome by instead choosing a profile of sets of allowable ways to connect and then delegating connection choices to each pair of agents.