赵阳

长聘副教授，副院长

Tel: 010-6228 8392

Email: yangzhao@cufe.edu.cn

Office: Academic Hall, Room 809 (学术会堂809）

Homepage: https://sites.google.com/site/yangzhaoshomepage/

个人简介：

赵阳，现任中央财经大学中国金融发展研究院副院长，长聘副教授，硕士生导师。英国格拉斯哥大学亚当斯密商学院数理金融学博士，主要研究领域包括：风险管理、量化投资、金融科技与可持续金融等。已在国内外知名学术期刊如Journal of Corporate Finance，Journal of Banking and Finance，Journal of Empirical Finance，International Journal of Forecasting，British Journal of Management，Journal of Futures Markets，Energy Economics和《财贸经济》等发表论文40余篇，部分论文获得《人大复印资料》和《中国社会科学文摘》转载，2篇论文被列为ESI高被引论文，出版学术专著1本。担任国际知名学术期刊Journal of Forecasting副主编，Journal of Chinese Economic and Business Studies副主编，Journal of Digital Economy副主编（数字金融）以及Economic Modelling客座主编。近年来先后主持1项国家自然科学基金项目（结项获评“优”）和2项横向课题，参与2项国家社科基金重大项目，3项国家自然科学基金面上项目以及多项部委课题，2项报告获国务院办公厅采纳。主讲过的课程包括大数据分析与金融实证，经济学原理，金融学原理，金融衍生工具以及金融计量经济学等。曾多次受邀参加商务部主办的海外培训班援外教学，为发展中国家政府官员主讲金融科技、大数据分析等课程。

英文论文发表：

[1] Cerrato, Mario, John Crosby, Minjoo Kim*, and Yang Zhao (2017). Relation between higher order comoments and dependence structure of equity portfolio. Journal of Empirical Finance, 40, 101-120.

[2] Cerrato, Mario, John Crosby, Minjoo Kim, and Yang Zhao* (2017). The joint credit risk of UK global‐systemically important banks. Journal of Futures Markets, 37(10), 964-988.

[3] Zhao, Yang, Charalampos Stasinakis*, Georgios Sermpinis, and Yukun Shi (2018). Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance, 18(5), 761-775.

[4] Kutan, Ali M., Yukun Shi, Mingzhe Wei, and Yang Zhao* (2018). Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. International Review of Economics & Finance, 57, 183-197.

[5] Zhao, Yang, Charalampos Stasinakis*, Georgios Sermpinis, and Filipa Da Silva Fernandes (2019). Revisiting Fama-French factors’ predictability with Bayesian modelling and copula-based portfolio optimization. International Journal of Finance & Economics, 24(4), 1443-1463.

[6] Shi, Yukun, Hao Zhang*, Yaofei Xu, and Yang Zhao (2019). The term structure of option-implied volatility and future realized volatility. Emerging Markets Finance and Trade, 55(13), 2997-3022.

[7] Xu, Liao*, Han Gao, Yukun Shi, and Yang Zhao (2020). The heterogeneous volume-volatility relations in the exchange-traded fund markets: Evidence from China. Economic Modelling, 85, 400-408.

[8] Xu, Liao, Lu Xu, Jing Zhao, and Yang Zhao* (2020). Information-based trading and information propagation: Evidence from the exchange traded fund market. International Review of Financial Analysis, 70, 101495.

[9] Chen, Jilong, Liao Xu*, and Yang Zhao (2020). Do ETF flows increase market efficiency? Evidence from China. Accounting & Finance, 60(5), 4795-4819.

[10] Roh, Tai-Yong, Alireza Tourani-Rad, Yahua Xu*, and Yang Zhao (2021). Volatility-of-volatility risk in the crude oil market. Journal of Futures Markets, 41(2), 245-265.

[11] Kim, Minjoo, Junhong Yang, Pengcheng Song, and Yang Zhao* (2021). The dependence structure between equity and foreign exchange rates and tail risk forecasts of foreign investments, Quantitative Finance, 21(5), 815-835.

[12] Zhang, Xuan, Ding Liu, Yang Zhao, and Zhekai Zhang* (2021). Financial derivatives and default dependence: a time-varying copula approach. Applied Economics Letters, 28(1), 958-963.

[13] Fang, Yi, Zhongbo Jing, Yukun Shi, and Yang Zhao* (2021). Financial spillovers and spillbacks: New evidence from China and G7 countries. Economic Modelling, 94, 184-200.

[14] Yao, Xiao*, Xuan Zhang, and Yang Zhao (2022). Forecasting corporate default risk in China. International Journal of Forecasting, 38, 1054-1070.

[15] Li, Hao, Xuan Zhang*, and Yang Zhao (2022). ESG and firm's default risk, Finance Research Letters, 47, 102713.

[16] Pang, Yang, Yukun Shi*, Shimeng Shi, and Yang Zhao (2022). A nonlinear dynamic approach to cash flow forecasting, Review of Quantitative Finance and Accounting, 59, 205-237.

[17] Long, Zhenzhen and Yang Zhao* (2022). The risk spillover effect of COVID-19 breaking news on the stock market, Emerging Markets Finance and Trade, 58, 4321-4337.

[18] Ouyang, Ruolan, Xiang Chen, Yi Fang, and Yang Zhao* (2022). Systemic risk of commodity markets: A dynamic factor copula approach, International Review of Financial Analysis, 82, 102204.

[19] Li, Danyang, Yukun Shi, Liao Xu, Yahua Xu, and Yang Zhao* (2022). Dynamic asymmetric dependence and portfolio management in cryptocurrency markets, Finance Research Letters, 48, 102829.

[20] Zhang, Xuan, Yongmin Zhang, Eric Scheffel, and Yang Zhao* (2022). A key driver for the mixed relationship between loan risk premiums and collateral: Evidence from China, International Review of Financial Analysis, 83, 102206.

[21] He, Zhongda, Biao Guo*, Yukun Shi, and Yang Zhao (2022). Natural disasters and CSR: Evidence from China, Pacific-Basin Finance Journal, 73, 101777. (Best Paper Award of the 2021 GCAA Conference)

[22] Wen, Zhuzhu, Elie Bouri, Yahua Xu*, and Yang Zhao (2022). Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both, The North American Journal of Economics and Finance, 62, 101733.

[23] Li, Donghui, Lu Xing*, and Yang Zhao (2022). Does extended auditor disclosure deter managerial bad news hoarding? Evidence from crash risk, Journal of Corporate Finance, 76, 102256.

[24] He, Zhongda, Suardi Sandy, Kai Wang*, and Yang Zhao (2022). Firms’ COVID-19 pandemic exposure and corporate cash policy: Evidence from China, Economic Modelling, 116, 105999.

[25] Fang, Yi, Zhiquan Shao, and Yang Zhao* (2023). Risk spillovers in global financial markets: Evidence from the COVID-19 crisis, International Review of Economics & Finance, 83, 821-840.

[26] Jing, Zhongbo, Shiyu Lu, Yang Zhao, and Jun Zhou* (2023). Economic policy uncertainty, corporate investment decisions and stock price crash risk: Evidence from China, Accounting & Finance, 63, 1477-1502.

[27] Xu, Liao, Mingqi Xue, Xuan Zhang*, and Yang Zhao (2023). Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic, International Review of Financial Analysis, 87, 102608.

[28] Xiaohang Ren, Gudian Zeng, and Yang Zhao* (2023). Digital finance and corporate ESG performance: Empirical evidence from listed companies in China, Pacific-Basin Finance Journal, 79, 102019.

[29] Fang, Yi, Qi Wang*, Fan Wang, and Yang Zhao (2023). Bank fintech, liquidity creation, and risk-taking: Evidence from China. Economic Modelling, 127, 106445.

[30] Fang, Yi, Yanru Wang, Qi Wang*, and Yang Zhao (2023). Policy Uncertainty and Bank systemic risk: A perspective of risk decomposition. Journal of International Financial Markets, Institutions and Money, 88, 101827.

[31] Han, Liyan, Chen Xie, Jiayu Jin, and Yang Zhao (2023). Effect of low-carbon innovation on carbon risk: International firm-level investigation. International Review of Financial Analysis, 90, 102912.

[32] Fernandes, Filipa Da Silva, Georgios Sermpinis, Charalampos Stasinakis, and Yang Zhao (2024). Corporate social responsibility and firm survival: Evidence from Chinese listed firms. British Journal of Management, 35, 1014-1039.

[33] Yu, Minggui, and Yang Zhao (2024). Editorial of the special issue on FinTech and digital finance: Fostering the synergy of finance and technology, Economic Modelling, 135, 106721.

[34] Zhang, Xuan, Minjoo Kim, Cheng Yan, and Yang Zhao (2024). Default dependence in the insurance and banking sectors: A copula approach. Journal of International Financial Markets, Institutions and Money 91, 101911.

[35] Sun, Lan, Shaobo Liu, Ruolan Ouyang, and Yang Zhao (2024). Innovation at the helm: Decoding founder-manager influence in Chinese family firms. Pacific-Basin Finance Journal, 85, 102364.

[36] Jing, Zhongbo, Qin Li, Hongyi Zhao, and Yang Zhao (2024). Predicting stock price crash risk in China: A modified graph WaveNet model. Finance Research Letters, 64, 105468.

[37] Tian, Lichuan, Kai Sun, Jie Yang, and Yang Zhao (2024). Does digital economy affect corporate ESG performance? New insights from China. International Review of Economics & Finance, 93, 964-980.

[38] Shen, Hongshan, Mengyao Qian, Tianyi Li, Xuan Zhang, and Yang Zhao (2024). Digital finance and industrial structure upgrading: Evidence from Chinese counties, International Review of Financial Analysis, 2024, 95, 103442.

[39] Ouyang Ruolan, Tiancheng Pei, Yi Fang, and Yang Zhao (2024). Commodity systemic risk and macroeconomic predictions, Energy Economics, 2024, 138, 107807.

[40] Chen, Yulong, Yating Li, Wenrui Zeng, and Yang Zhao (2024). Personal income tax reform and household savings rates: Evidence from a quasi-natural experiment in China, International Review of Financial Analysis, 2024, 96, 103726.

[41] Qiao, Tongshuai, Yang Zhao, Liyan Han, and Donghui Li (2024). Multivariate crash risk in China, Journal of Banking and Finance, 2024, forthcoming.

亚洲开发银行政策报告：

[1] Paramati, Sudharshan Reddy, Yukun Shi, and Yang Zhao (2019). Environmental challenges and sustainable economic development in the People’s Republic of China: The role of renewable energy across provinces, ADBI Working Paper 1050. Tokyo: Asian Development Bank Institute.

中文论文发表：

[1] 方意, 贾妍妍*, 赵阳, “重大冲击下全球外汇市场风险的生成机理研究”, 《财贸经济》, 2021年, 第(42)卷, 第5期, 76-92页. （《中国社会科学文摘》2021年第10期全文转载；人大复印报刊资料《金融与保险》2021年第8期全文转载）

[2] 赵阳，曾文锐，荆中博*，“ESG表现能否提升企业估值？——来自权益资本成本的经验证据”，《金融市场研究》，第(5)卷, 第3期, 1-14页.

专著与书籍章节：

[1] 翟玮, 赵阳, 《商业银行与金融科技:政策、风险与挑战》, 中国金融出版社,  2023.

[2] 赵阳，张旋，余小宁，系统性金融风险与股票市场预测：来自中国的证据，《债务违约风险管理问题研究》，中国金融出版社，2019.

[3] 杨晟，赵阳，姚潇，基于深度强化学习算法的股指期货交易系统与实证，《量化实证分析在金融风险管理中的应用》，中国金融出版社，2021.

主持或参与基金项目：

[1] 2019年-2021年，国家自然科学基金青年项目《基于GAS模型的系统性金融风险测度及其在宏观经济预测中的应用研究》（项目编号：71801117），主持（结项为“优”）

[2] 2020年-2023年，国家自然科学基金面上项目，《金融周期视角下中国银行业系统性风险防范与化解》，（项目编号：71973162），参与，已结题

[3] 2020年-2025年，国家社会科学基金重大项目，《负利率时代金融系统风险的识别与防范研究》，（项目编号：20&ZD101），参与

[4] 2022年-2025年，国家自然科学基金面上项目，《金融文本大数据与银行业系统性风险：指标构建、应用与评估整合》，（项目编号：72173144），参与

[5] 2023年-2026年，国家自然科学基金面上项目，《基于复杂网络与深度学习的产业链信贷风险传染及监管研究》，（项目编号：72271253），参与

[6] 2024年1月至2028年12月，国家社科基金重大项目，《中国金融安全统计监测、预警与对策研究》，（项目号：23&ZD058），参与

[7] 2019年-2022年，中央财经大学青年科研创新团队项目，《中国金融部门系统性风险与金融稳定政策》，（项目编号：校20190092），项目参与人，已结题

[8] 2022年-2023年，长三角金融业发展联盟运营项目，（项目编号：JSSW2021-S-G-034），项目参与人，已结题

[9] 2020年-2021年，2020年上证联合研究计划国际系列专项课题，《境外资金对A股市场影响分析》，项目参与人，已结题

[10] 2017年-2018年，HEFCE Newton Fund Official Development Assistance Allocation, (Project Number: RI350011)，项目参与人，已结题

教学成果：

[1] 中央财经大学“十四五”校级一流本科课程，《经济学原理》

学术服务：

副主编，Journal of Forecasting，Wiley出版社，2022.1-至今

副主编，Journal of Chinese Economic and Business Studies，Taylor & Francis出版社，2024.9-至今

副主编（数字金融），Journal of Digital Economy，Elsevier出版社，2024.11-至今

客座主编，Economic Modelling，Elsevier出版社，2022.6-2024.3

匿名审稿：Journal of Banking and Finance, Energy Economics, International Review of Financial Analysis, Quantitative Finance, Annals of Operational Research, International Journal of Finance & Economics, Economic Modelling, Pacific-Basin Finance Journal, Accounting and Finance, Journal of Forecasting, Finance Research Letters, Applied Economics, North American Journal of Economics and Finance, Emerging Markets Finance and Trade, Journal of Commodity Markets等期刊

部分荣誉与奖项：

[1] 1st Young Finance Scholars Conference, poster session, Best Paper Price.

[2] 2022第三届环球华人会计年会（The 3rd GCAA Conference），最佳论文奖（二等奖）

[3] 2022“双碳战略、转型金融和制造业高质量发展”国际会议, 优秀论文奖

[4] 2021年中央财经大学第二十届“挑战杯”学生课外学术论文竞赛特等奖、一等奖指导老师

[5] 2020-2022学年中央财经大学本科优秀班主任

[6] 2022年中央财经大学年度考核优秀人员

[7] 2022届校级优秀毕业研究生指导老师

[8] 2022年研究生国家奖学金获得者指导老师

[9] 2023届校级本科生优秀毕业论文指导老师

[10] 2023届校级优秀毕业研究生指导老师

[11] 2023届北京市优秀毕业研究生指导老师

[12] 2023年北京市高校优秀本科毕业论文优秀指导老师

[13] 2023年研究生国家奖学金获得者指导老师

[14] 2023年中国金融发展研究院“校友杯”论文大赛优秀论文指导老师

[15] 2023年第九届中国国际“互联网+”大学生创新创业大赛三等奖指导老师

[16] 2023年中央财经大学第二十二届“挑战杯”学生课外学术论文竞赛三等奖指导老师

[17] 2023年第十三届全国大学生电子商务“创新、创意及创业”挑战赛一等奖指导老师

[18] 2023年第二届“财经中国”学术峰会青年论坛一等奖指导老师

[19] 2023-2024年大学生创新创业训练计划项目指导老师（优秀，北京市级）

[20] 2024届校级优秀毕业研究生指导老师

[21] 2024年校级优秀研究生学位论文指导老师

[22] 2024年中国金融发展研究院“校友杯”论文大赛优秀论文指导老师

Last updated on December 9,2024