Yilin (David) Yang

Yilin (David) Yang

Assistant Professor in Finance

City University of Hong Kong

I am an Assistant Finance Professor at the City University of Hong Kong. My research interests span various areas of financial markets research and banking-related issues. My ongoing work focuses on monetary policy transmission and the effects of reference rate transition on credit supply. I teach a course on Security Analysis and a course on Asset Management.

Interests
  • Financial Intermediation
  • Central Banking
  • Asset Pricing
Education

  • PhD in Finance, 2022

    Stanford University

  • MS in Mathematics, 2016

    University of Michigan, Ann Arbor

  • MA in Economics, 2016

    University of Michigan, Ann Arbor

  • BS in Finance and Mathematics (double major), 2014

    Wake Forest University

Publications

Bank Funding Risk, Reference Rates, and Credit Supply
Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated …
Harry Cooperman, Darrell Duffie, Stephan Luck, Zachry Wang, Yilin (David) Yang
PDF Cite Google Scholar Forthcoming, JF
Bank Funding Risk, Reference Rates, and Credit Supply
Reserves were not so ample after all
We show that the likelihood of a liquidity crunch in wholesale US dollar funding markets is highly dependent on levels of reserve balances at the financial institutions that are the most active …
Adam Copeland, Darrell Duffie, Yilin (David) Yang
PDF Cite Google Scholar Forthcoming, QJE
Reserves were not so ample after all

Working Papers

What Quantity of Reserves Is Sufficient?
What quantity of reserves should the Fed supply to support effective monetary policy implementation and an efficient interbank payment system? To answer this question, I construct a model linking …
Yilin (David) Yang
PDF Cite Google Scholar Revise & Resubmit, JFE WFA 2022 Brattle Group Ph.D. Candidate Awards For Outstanding Research The BlackRock Applied Research Award 2021 (runner-up)
What Quantity of Reserves Is Sufficient?
Trading with High-Dimensional Data
We study a trading game with agents who face a high-dimensional estimation problem. In the presence of a curse of dimensionality, we show rational expectations equilibrium is ε-approximated by a …
Anirudha Balasubramanian, Yilin (David) Yang
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Trading with High-Dimensional Data

Other Publications

Three consecutive almost squares
Given a positive integer n, we let sfp(n) denote the squarefree part of n. We determine all positive integers n for which max{sfp(n),sfp(n+1),sfp(n+2)}<=150 by relating the problem to finding …
Jeremy Rouse, Yilin (David) Yang
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Discrete nonlinear equations and the Fučı´k Spectrum
We consider matrix-vector equations of the form Ax = f(x) that are motivated by nonlinear oscillating systems such as the Tacoma Narrows Bridge. We identify a particular set, called the Fučı´k …
Stephen B. Robinson, Yilin (David) Yang
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Teaching

At the City University of Hong Kong, I am teaching two courses below.