Joint ICEF-NES Workshop in Finance
Opening of the workshop: 2:00 pm (Moscow time)
Location: 11 Pokrovsky Boulevard, building T, room T824, Moscow, Russia
Format: hybrid (offline and online)
Language: English
If you would like to attend the Workshop, please complete the registration form provided below.
14.00-14.50 The source of unbalanced growth: Evidence from China’s bank and non-bank finance
Zeming Wang, SWUFE
Abstract
China’s post-reform growth trajectory has been characterized by persistent structural imbalances, with investment and exports prioritized over domestic consumption. This paper argues that the banking-dominated finance model has been instrumental in sustaining this unbalanced growth path. Drawing on reconstructed national accounts, industrial production, and shadow finance data, we employ a structural VAR framework with narrative and sign restrictions to identify the causal role of financial structure in shaping China’s growth path. Our analysis yields three key findings. First, bank lending consistently reinforced structural imbalances by prioritizing investment over consumption and channeling capital toward heavy industry. Second, the expansion of market-driven shadow finance after 2010 partially mitigated these distortions by relaxing credit constraints on underserved sectors. Third, regulatory suppression of shadow banking post-2017 reversed this rebalancing, underscoring the financial system’s pivotal role in sustaining structural biases. These results are robust across alternative shadow finance proxies and identification strategies. Our findings underscore the critical role of financial system reform in rebalancing China’s growth model.
14.50-15.00 Q&A
15.00-15.30 Realized Regularized Regressions
Aleksey Kolokolov, NES (сo-authored with Shifan Yu, Oxford)
Abstract
We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are Itô semimartingales with jumps. The coefficient paths are approximated by spline basis expansions and estimated via least squares from truncated high-frequency increments. In a finite-dimensional setting, we establish consistency and derive a feasible asymptotic distribution for the integrated coefficient estimator under infill asymptotics. We then extend the framework to high-dimensional settings in which the number of candidate covariates diverges, and show that a group-wise penalized estimator with a truncated ℓ1-penalty attains the oracle property, which delivers both consistent model selection and coefficient estimation. An empirical application to a large panel of more than two hundred high frequency factors documents sparse factor structure across a large cross-section of stocks and industry portfolios.
15.30-15.40 Q&A
15.40-16.10 Coffee break
16.10-16.40 Competition and commitment of informed speculators
Alex Boulatov ICEF HSE (сo-authored with Dan Bernhardt, University of Illinois Urbana-Champaign)
Abstract
We show that in a variant of static Kyle (1985) model with two competing informed speculators and competitive liquidity providers (market makers) making no profits in equilibrium, the informed speculator is better off committing to a certain linear trading strategy provided that the other speculator does not commit. However, if both speculators commit, then their equilibrium payoffs are higher than in the equilibrium with no commitment only if the correlation of their private signals is negative and sufficiently low, i.e., the nature of their information is sufficiently different. We also show that commitment may be a dominant strategy in the "commitment game" when the speculators endogenously choose to commit, but this takes place only if the correlation of their private signals is negative and belongs to the certain endogenously defined interval.
16.40-16.50 Q&A
16.50-17.20 All on Board: Corporate Governance and Co-Determination
Timur Sobolev, NES
Abstract
I examine a model of corporate behavior under shared governance, or co-determination, in the form of employee-elected representatives on a firm’s board of directors. Employee and shareholder representatives engage in sequential bargaining over the firm’s labor, capital, production, and financing decisions. If the firm has market power and as long as employee representatives (e.g., a union) have an interest in increasing labor, a limited increase in employee representation on the board will result in an increase in labor and output, an ambiguous and small effect on capital expenditures, and a decrease in monopoly deadweight loss with no effect on wages, which is in line with previous empirical estimates of the effect of co-determination. In the presence of risk of costly default and tax advantages of debt, limited employee control can reduce socially inefficient reliance on debt over equity. However, if employees elect most or all of the board representatives, then the firm will instead choose to increase wages and may not be able to commit to repay equity, increasing the proportion of debt in its capital structure.