Publications

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Journal Articles

Carry Trade and the Theoretical Framework of “Impossible Trinity” Theory: An Empirical Analysis Based on TVP-SV-VAR

Published in Finance Forum, 2022

This paper evaluated China’s capital account liberalization and exchange rate marketization by integrating carry trade into the Impossible Trinity framework. Built a theoretical model and using TVP-SV-VAR analysis to examine the short- and long-term impulse responses between carry trade, capital controls, exchange rate stability, and monetary policy independence. Findings revealed that carry trade significantly impacts the independence of monetary policy, supporting a phased approach to capital account liberalization, starting with Portfolio Investment, followed by Financial Derivatives and FDI accounts.

Recommended citation: 郭桂霞,and 孙歌悦."人民币套息交易与“三元悖论”理论框架——基于TVP-VAR模型的实证研究." 金融论坛 27.11(2022):10-20. doi:10.16529/j.cnki.11-4613/f.2022.11.003.
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Impact of the Opening of Shanghai Free Trade Area on the Port Economy in Hong Kong

Published in China Circulation Economy, 2017

Investigated the impact of the Shanghai Free Trade Area (FTA) on Hong Kong’s port economy using a Difference-in-Differences (DID) approach and border analysis. The analysis revealed a crowding-out effect of the Shanghai FTA on Hong Kong’s import-export market, attributed to Hong Kong’s dependence on sales and import volume rather than production innovation and R&D capabilities.

Recommended citation: G. Sun. Impact of the Opening of Shanghai Free Trade Area on the Port Economy in Hong Kong China, Circulation Economy, 2017

Conference Papers

Bypassing Capital Interventions: Carry Trades via Commodity Futures Market

Published in 2024 Southern Economics Association (SEA) 94th Annual Meeting, 2024

Advisor: Prof. Tomas Williams
This project investigates commodity carry trade in developing countries, testing two key hypotheses: 1. Commodity liquidity risk reduces carry trade returns (impact: -0.226) 2. Capital controls amplify the negative impact of liquidity risk
A Staggered-DID model is employed using 4,000 daily capital intervention events from the Global Trade Alert (GTA) dataset. A Large Language Model (LLM) extracts regional information from 25,035 commodity contracts (Refinitiv), which is merged with Bloomberg’s carry trade returns to analyze liquidity risk’s effect on returns. The project’s findings were presented at the 2024 SEA Annual Meeting, offering new insights into the commodity-carry trade market equilibrium.

Recommended citation: G. Sun. (2024). "Bypassing Capital Interventions: Carry Trades via Commodity Futures Market." 2024 Southern Economics Association (SEA) 94th Annual Meeting.
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Geyue(Grace) Sun