Back to members

Hengjie Ai

Institution

University of Wisconsin - Madison

PhD Year

2006

Phone

608-890-3881

hengjie.ai@gmail.com

FTG Membership

Member

Website

http://www.hengjieai.com

Featured Work

Mar 7, 2026

Hengjie Ai

Using asset prices to measure the long-run impact of monetary policy

We develop a methodology to measure market expectations of the long-run impact of monetary policy from asset prices using the operator approach of Hansen

and Scheinkman (2009). We show that the ratio of long term equity returns to long term bond returns, measured over short FOMC windows, can be used to quantify this long-run impact. Empirically, we find that a 25-basis-point expansionary monetary policy shock and...

Apr 9, 2019

Hengjie Ai

Capital Misallocation and Risk Sharing

This paper shows that factor misallocation is closely tied to the risk-sharing avenues available to firm owners. In contrast to the commonly studied bond-only economy with collateral constraints (for example Moll (2014)), we find that the degree of misallocation is \emph{increasing }in persistence of the idiosyncratic risk when firms have access to state-contingent contracts. The possibility to transfer wealth from high productivity states to low...

Feb 28, 2018

Hengjie Ai, Ravi Bansal, Ravi Bansal | Working Paper No. 00009-00

Risk Preferences and the Macro Announcement Premium

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and virtually 100% of it during the later period of 1997-2014, where more announcement data are available. We provide a characterization theorem for the set of...