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Biqin Xie

Personal Details

First Name:Biqin
Middle Name:
Last Name:Xie
Suffix:
RePEc Short-ID:pxi259
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Affiliation

Office of Financial Research
Department of the Treasury
Government of the United States

Washington, District of Columbia (United States)
http://www.treasury.gov/initiatives/ofr/Pages/default.aspx
RePEc:edi:ofrgvus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.

Articles

  1. Jed J. Neilson & K. Philip Wang & Christopher D. Williams & Biqin Xie, 2024. "Offsetable Derivatives and Investor Risk Assessment," Management Science, INFORMS, vol. 70(5), pages 2779-2798, May.
  2. Jed J. Neilson & Stephen G. Ryan & K. Philip Wang & Biqin Xie, 2022. "Asset‐Level Transparency and the (E)valuation of Asset‐Backed Securities," Journal of Accounting Research, Wiley Blackwell, vol. 60(3), pages 1131-1183, June.
  3. Yiwei Dou & Stephen G. Ryan & Biqin Xie, 2018. "The Real Effects of FAS 166/167 on Banks’ Mortgage Approval and Sale Decisions," Journal of Accounting Research, Wiley Blackwell, vol. 56(3), pages 843-882, June.
  4. Biqin Xie, 2016. "Does Fair Value Accounting Exacerbate the Procyclicality of Bank Lending?," Journal of Accounting Research, Wiley Blackwell, vol. 54(1), pages 235-274, March.
  5. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.

    Cited by:

    1. Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
    2. Ravi Jagannathan & Srikant Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
    3. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    4. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

Articles

  1. Jed J. Neilson & Stephen G. Ryan & K. Philip Wang & Biqin Xie, 2022. "Asset‐Level Transparency and the (E)valuation of Asset‐Backed Securities," Journal of Accounting Research, Wiley Blackwell, vol. 60(3), pages 1131-1183, June.

    Cited by:

    1. Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun, 2023. "Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 53-71.

  2. Yiwei Dou & Stephen G. Ryan & Biqin Xie, 2018. "The Real Effects of FAS 166/167 on Banks’ Mortgage Approval and Sale Decisions," Journal of Accounting Research, Wiley Blackwell, vol. 56(3), pages 843-882, June.

    Cited by:

    1. Aobdia, Daniel & Dou, Yiwei & Kim, Jungbae, 2021. "Public audit oversight and the originate-to-distribute model," Journal of Accounting and Economics, Elsevier, vol. 72(1).
    2. Dou, Yiwei & Hung, Mingyi & She, Guoman & Wang, Lynn Linghuan, 2024. "Learning from peers: Evidence from disclosure of consumer complaints," Journal of Accounting and Economics, Elsevier, vol. 77(2).
    3. Karthik Balakrishnan & Aytekin Ertan, 2019. "Bank asset transparency and credit supply," Review of Accounting Studies, Springer, vol. 24(4), pages 1359-1391, December.
    4. Minkwan Ahn & Samuel B. Bonsall & Zahn Bozanic & Yiwei Dou & Gordon Richardson & Dushyantkumar Vyas, 2020. "Have SFAS 166 and SFAS 167 improved the financial reporting for securitizations?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 47(7-8), pages 821-857, July.
    5. Seda Oz, 2020. "Did SFAS 166/167 decrease the information asymmetry of securitizing banks?," The Financial Review, Eastern Finance Association, vol. 55(4), pages 557-581, November.
    6. Lacina, Michael J. & Li, Shihong & Yi, Lin, 2020. "Do bank managers use securitization gains to smooth earnings in the post- FAS 166/167 period?," Advances in accounting, Elsevier, vol. 48(C).
    7. Massoud, Nadia & Song, Keke & Tran, Nam, 2024. "Lender effects on gains from mergers and acquisitions," Journal of Banking & Finance, Elsevier, vol. 163(C).
    8. Manasa Gopal & Philipp Schnabl, 2022. "The Rise of Finance Companies and FinTech Lenders in Small Business Lending," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 4859-4901.

  3. Biqin Xie, 2016. "Does Fair Value Accounting Exacerbate the Procyclicality of Bank Lending?," Journal of Accounting Research, Wiley Blackwell, vol. 54(1), pages 235-274, March.

    Cited by:

    1. Aobdia, Daniel & Dou, Yiwei & Kim, Jungbae, 2021. "Public audit oversight and the originate-to-distribute model," Journal of Accounting and Economics, Elsevier, vol. 72(1).
    2. Amir Amel-Zadeh & Mary E. Barth & Wayne R. Landsman, 2017. "The contribution of bank regulation and fair value accounting to procyclical leverage," Review of Accounting Studies, Springer, vol. 22(3), pages 1423-1454, September.
    3. Dou, Yiwei & Hung, Mingyi & She, Guoman & Wang, Lynn Linghuan, 2024. "Learning from peers: Evidence from disclosure of consumer complaints," Journal of Accounting and Economics, Elsevier, vol. 77(2).
    4. Viral V. Acharya & Stephen G. Ryan, 2016. "Banks’ Financial Reporting and Financial System Stability," Journal of Accounting Research, Wiley Blackwell, vol. 54(2), pages 277-340, May.
    5. Argimón, Isabel & Dietsch, Michel & Estrada, Ángel, 2018. "Prudential filters, portfolio composition at fair value and capital ratios in European banks," Journal of Financial Stability, Elsevier, vol. 39(C), pages 187-208.
    6. Chakravarty, Sugato & Ray, Rina, 2020. "On short-term institutional trading skill, behavioral biases, and liquidity need," Journal of Corporate Finance, Elsevier, vol. 65(C).
    7. Yiwei Dou & Stephen G. Ryan & Biqin Xie, 2018. "The Real Effects of FAS 166/167 on Banks’ Mortgage Approval and Sale Decisions," Journal of Accounting Research, Wiley Blackwell, vol. 56(3), pages 843-882, June.
    8. Adwan, Sami & Alhaj-Ismail, Alaa & Girardone, Claudia, 2020. "Fair value accounting and value relevance of equity book value and net income for European financial firms during the crisis," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 39(C).
    9. Sehwa Kim, 2022. "Delays in Banks’ Loan Loss Provisioning and Economic Downturns: Evidence from the U.S. Housing Market," Journal of Accounting Research, Wiley Blackwell, vol. 60(3), pages 711-754, June.
    10. Mies, Michael, 2024. "Bank opacity, systemic risk and financial stability," Journal of Financial Stability, Elsevier, vol. 70(C).
    11. Michael D. Stuart & Richard H. Willis, 2020. "Use of independent valuation specialists in valuing employee stock options: evidence from IPOs," Review of Accounting Studies, Springer, vol. 25(2), pages 438-473, June.
    12. Johannes Thesing & Patrick Velte, 2021. "Do fair value measurements affect accounting-based earnings quality? A literature review with a focus on corporate governance as moderator," Journal of Business Economics, Springer, vol. 91(7), pages 965-1004, September.
    13. Bischof, Jannis & Laux, Christian & Leuz, Christian, 2021. "Accounting for financial stability: Bank disclosure and loss recognition in the financial crisis," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1188-1217.
    14. Bischof, Jannis & Laux, Christian & Leuz, Christian, 2020. "Accounting for financial stability: Lessons from the financial crisis and future challenges," SAFE Working Paper Series 283, Leibniz Institute for Financial Research SAFE.
    15. Christian Laux & Thomas Rauter, 2017. "Procyclicality of U.S. Bank Leverage," Journal of Accounting Research, Wiley Blackwell, vol. 55(2), pages 237-273, May.
    16. Behn, Markus & Couaillier, Cyril, 2023. "Same same but different: credit risk provisioning under IFRS 9," Working Paper Series 2841, European Central Bank.
    17. Bischof, Jannis & Haselmann, Rainer & Kohl, Frederik & Schlueter, Oliver, 2022. "Limitations of implementing an expected credit loss model," LawFin Working Paper Series 48, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).

  4. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.

    Cited by:

    1. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
    2. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
    3. Weidong Tian & Qing Zhou, 2017. "Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 289-324, June.
    4. Roméo Tédongap, 2015. "Consumption Volatility and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, vol. 19(1), pages 367-405.
    5. Mathias S. Kruttli, 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.).
    6. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
    7. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
    8. Ravi Jagannathan & Srikant Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
    9. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers 14-05, University of Cologne, Centre for Financial Research (CFR).
    10. Boons, Martijn, 2016. "State variables, macroeconomic activity, and the cross section of individual stocks," Journal of Financial Economics, Elsevier, vol. 119(3), pages 489-511.
    11. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.
    12. Monterrey Mayoral, Juan & Sánchez Segura, Amparo, 2017. "Una evaluación empírica de los métodos de predicción de la rentabilidad y su relación con las características corporativas," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 20(1), pages 95-106.
    13. Avramov, Doron & Hore, Satadru, 2017. "Cross-sectional factor dynamics and momentum returns," Journal of Financial Markets, Elsevier, vol. 32(C), pages 69-96.
    14. Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
    15. Claude Bergeron, 2019. "Recursive preferences, long-run risks, and stock valuation," Economics Bulletin, AccessEcon, vol. 39(2), pages 996-1004.
    16. Samuel M. Hartzmark, 2016. "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(2), pages 179-220.
    17. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series 479, Center for Financial Studies (CFS).
    18. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    19. Marcos Álvarez-Díaz & Rangan Gupta, 2015. "Forecasting the US CPI: Does Nonlinearity Matter?," Working Papers 201512, University of Pretoria, Department of Economics.
    20. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100607, Verein für Socialpolitik / German Economic Association.
    21. Doron Avramov & Satadru Hore, 2015. "Cross-Sectional Factor Dynamics and Momentum Returns," Supervisory Research and Analysis Working Papers RPA 15-2, Federal Reserve Bank of Boston.
    22. Jean-Yves Pitarakis, 2020. "A Novel Approach to Predictive Accuracy Testing in Nested Environments," Papers 2008.08387, arXiv.org, revised Oct 2023.
    23. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 62-87.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (1) 2012-02-27
  2. NEP-MAC: Macroeconomics (1) 2012-02-27

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