科学研究

Tianyu Wang, assistant professor, Department of finance, School of economics and management, Tsinghua University, received a doctorate in finance from Imperial College of technology in 2018. The main research areas are empirical finance, asset pricing, financial intermediation, and international finance. His research results have been published in the top international journals of finance, including Journal of Finance, Journal of Financial Economics, Review of Financial Studies. He has also been awarded of International Finance Conference Best Paper Award, Winner of Best Paper Award of China International Conference in Finance, 2019.

We uncover a new channel through which shocks are transmitted across international markets. As markets reacted to Covid-19 in March 2020, dollar appreciates sharply against other currencies. This resulted in a large increase in variation margin calls for insurance companies with high currency hedging position. We argue and show supporting evidence that insurance companies actively manage their positions in Treasuries to buffer margin shocks. Bonds with high insurer ownerships exhibit large negative price changes and reversals. This is more pronounced among more liquid bonds.