YUNHUI (STEVEN) ZHAO
yunhui.zhao@nyu.edu
NEW YORK UNIVERSITY
Address:
Phone:
Placement Director: Alberto Bisin
Graduate Administrator: Marjorie Lesser
19 West Fourth St., 6th Floor, New York, NY 10012
917-391-6266 (mobile)
alberto.bisin@nyu.edu, 212-992-8916
marjorie.lesser@nyu.edu 212-998-8923
Education
Ph.D. in Economics, New York University (NYU), September 2010-May 2016 (expected)
Fulfilled the Ph.D. field requirements for Finance and Macroeconomics.
Thesis Concentrations: Financial Economics; Applied Econometrics; Applied Microeconomics.
Thesis Title: Government Intervention in the U.S. Mortgage Market.
M.Sc. in Economics (Research Track), London School of Economics (LSE), July 2010
Concentration: Monetary Economics (Pass with Distinction).
Thesis Title: Loan Market Stickiness and the Determinacy Property of the Taylor Principle.
Graduate Coursework in Finance, Central University of Finance and Economics (CUFE),
Beijing, China, September 2007-July 2009
B.A. in Finance, Xidian University, Xi’An, China, July 2006
Selected Teaching Experience
Summer 2015
Summer 2015
Spring 2015
Fall 2014
Summer 2014
Spring 2014
Fall 2013
Spring 2012
Summer 2010
Spring 2009
Fall 2007
Intermediate Micro, NYU, Instructor (Teaching Evaluation: 4.90/5)
Intermediate Macro, NYU, Instructor (Teaching Evaluation: 4.75/5)
Money and Banking, NYU, Teaching Assistant for Aditi Thapar
Introduction to Macro, NYU, Teaching Assistant for Harilaos Kitsikopoulos
Intermediate Macro, NYU, Instructor (Teaching Evaluation: 4.99/5)
Intermediate Micro, NYU, Teaching Assistant for Karl Storchmann
Introduction to Econometrics, NYU, Teaching Assistant for Josoph Tracy
(Federal Reserve Bank of New York)
Statistics, NYU, Teaching Assistant for Giuseppe Arbia
International Business, Oxford University (Oxbridge Program), Instructor
Dynamic Planning, CUFE, Teaching Assistant
Advanced Macro, CUFE, Teaching Assistant
Research Experience
Summer 2014
Spring & Summer 2013
Federal Reserve Bank of Atlanta, Visiting Scholar
NYU Stern, Research Assistant for Prof. Viral Acharya
Presentations and Conferences
December 2015
December 2015
November 2014
February 2014
September 2013
Spring 2013
October 2012
August 2012
Micro Friday Seminar, NYU Stern
Applied Micro Workshop, NYU
CRATE Lunch Seminar, NYU
Applied Micro Workshop, NYU
Applied Micro Workshop, NYU
Finance Student Workshop (coordinator and presenter), NYU Stern
Micro Student Lunch Seminar, NYU
EconCon (discussant), Princeton
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Honors, Scholarships, and Fellowships
2015-2016
Research Fellowship by Prof. Ennio Stacchetti, NYU
2010-2015
McCracken Fellowship, NYU
July 2009
Scholarship for Overseas Study, Yongjin Group
April 2008
“Role Model of the University” (Runner-up), CUFE
2003-2006
Hong Kong Seagull Scholarship
July 2003
National Scholarship (First-class), Ministry of Education, China
Publication
“Spillover Effects of FDI in China: from the Perspective of Technology Gaps,” Renmin University of China
(English Edition), 2010 (1), pp. 20-42. (draft available here) (with Qian Lu)
Highlight: Applying panel data and instrumental-variable estimation techniques to a Chinese data set, we
estimate the spillover effects of FDI in China. Then we provide a natural interpretation of our empirical findings
by decomposing the spillover effect and relating to the GDP-oriented behaviors of Chinese municipal officials.
Research Papers
Government Subsidy in the U.S. Mortgage Market Under Asymmetric Information
(Job Market Paper) (January 2016 draft available here)
Abstract: I evaluate the effectiveness of the subsidized default insurance policy in the U.S. mortgage market
both empirically and theoretically. Empirically, I find that the subsidy has raised mortgage interest rates for all
loans strictly eligible for the subsidy (conforming loans), which is contrary to conventional wisdom. I do so by
applying regression discontinuity designs to loan-level data and using the exogenous variation in interest rates
generated by a mandate of U.S. Congress. My empirical strategy circumvents the endogeneity problem in
conventional studies. Then I set up a screening model with asymmetric information, which explains my
empirical finding. Moreover, the model predicts that the subsidy has reduced the welfare of borrowers of
conforming loans. The observed positive interest rate spread between jumbo (non-conforming) and conforming
loans can also be explained by the model. My paper cautions regulators against interpreting the observed jumboconforming spread as an indication that the subsidy necessarily decreases interest rates and benefits conforming
borrowers. Moreover, it highlights the importance of replacing the existing subsidized mortgage default
insurance system with a well-functioning private system.
Government Subsidy in the U.S. Mortgage Market: A Structural Analysis with Bunching
(draft available upon request)
Abstract: The large government bailout of the Government-Sponsored Enterprises (GSEs) in 2008, which
amounted to about 1.3% of the U.S. GDP, has raised important questions about the effects of the GSEs’
subsidized mortgage default insurance on banks’ equilibrium lending behavior and the efficiency of the subsidy
program. Using a structural approach with an infinite-horizon continuous-time model, I quantify these using a
truncated micro-level data set released by Freddie Mac. Despite the complexity of the model, I obtain analytical
solutions for the equilibrium loan size and interest rate. Importantly, I obtain the maximum likelihood estimate
of the magnitude of the default insurance subsidy, despite the fact that the pre-subsidy data are unavailable in
reality. I do so by using a salient feature in the data that a large number of borrowers take loans of sizes exactly
equal to the subsidy eligibility cutoff. The subsidy is found to be 31.14 basis points (4.5% of the sample
average), which is also the reduction in the interest rate due to the subsidy. Moreover, the subsidy increases the
loan size by $15,026 (10.4% of the sample average) and decreases the welfare by $2,901 per borrower (2.0% of
the average loan size). Only ¢38 of $1 of the subsidy expenditure is passed through to consumers, raising
concerns on the desirability of the GSE subsidy mechanism as opposed to other more direct transfer
mechanisms such as direct income transfers and the First-Time Home Buyer housing tax credit launched by
Obama Administration.
Research In Progress
Semi-parametric Identification of A Discrete-Choice Model: An Application to the U.S. Mortgage Market
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(slides available here) (with Kristopher Gerardi)
Abstract: We propose a semi-parametric identification strategy for an asymmetric-information discrete-choice
model that can be used to quantify the effects of the U.S. government’s mortgage default insurance subsidy.
These include the extensive-margin effect (whether the subsidy lowers the bank’s loan approval criteria), the
intensive-margin effect (conditional on being approved, how the subsidy affects the leverage ratio and the
interest rate), and welfare implications. Since the mortgage contracts are optimally chosen by borrowers with
persistent and unobservable types (intrinsic default probabilities), the results in Bajari et al. (2013) and other
existing discrete-choice literature are subject to an endogeneity problem. To solve this problem, we use both the
observed conditional choice probabilities (after the contracts are signed) and the optimality conditions for the
contract choice (in the contracting period). Under economically intuitive parameterizations, the semi-parametric
identification of the model is established.
Learning, Externality, and Excessive Risk Taking in Financial Markets
(slides available upon request) (with Deepal Basak.and Alexander Murray)
Abstract: We propose a theoretical model to explain the dramatic increase in the positions of speculative assets
(e.g., CDS) observed in the lead-up to the recent financial crisis. On the one hand, traders in the model do not
observe the true quality of the speculative asset and have to learn it through the asset’s realized performance. A
longer history of good performance builds up traders’ confidence and increases their holdings in the speculative
asset. On the other hand, an increase in the speculative asset position imposes a negative externality: as the
aggregate amount of the speculative asset holding goes up, economic resources are reallocated from the
productive sector to the speculative sector. This raises the probability of a systematic crisis, lowers the
profitability of the asset, and hurts all traders. Since traders are decentralized and cannot credibly coordinate, the
equilibrium (Nash equilibrium) aggregate asset holding exceeds the coordination equilibrium outcome (socially
optimal outcome), which induces excessive risk-taking.
Additional Information
Software: Matlab; Stata; SAS; Eviews; Parallel computing.
Languages: Mandarin (native); English (fluent).
Citizenship: Chinese.
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