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Jia Pan

Placement Director: Vijay Krishna
    (814) 863-8543
    vkrishna@psu.edu


 Graduate Secretary &
Placement Assistant:
Lynn Sebulsky
    (814)865-1458
    lms50@psu.edu

Contact Information:
Jia Pan
  Office: (814) 863-9021
  Cell: (814) 777-7752
E-mail: jzp121@psu.edu
Website:http://www.math.psu.edu/pan
Curriculum Vitae

CITIZENSHIP:

 
  • China (F-1 visa)

EDUCATION:

 

 
  • Ph.D. candidate, Penn State University, Major: Applied Mathematics; Minor: Economics GPA: 3.87
  • Bachelor, Fudan University, China, Major Mathematics

PH.D. THESIS:

 

 

FIELDS:

 

 

 
  • Primary: Applied Mathematics
  • Secondary : Economics Minor (Ph.D. courses taken: Microeconomics (2 semesters), Macroeconomics (2 semesters), Econmetrics (Time series) (1 semester), Monetary Theory (2 semesters) )

PAPERS:

 
  • Optimal Intermediated Investment in a Liquidity-Driven Business Cycle

GRANTS &
FELLOWSHIPS:

 
  • Penn State Graduate Fellowship

TEACHING EXPERIENCE:
  • 3 years teaching experience in College Algebra

RESEARCH EXPERIENCE:

 

 
  • Computation supported by NSF Scientific Computing Research Environments for the Mathematical Sciences DMS-0215392 Jenny Li (Co-PI

PRESENTATIONS & OTHER PROFESSIONAL ACTIVITIES:
  • Cornell-Penn State Macroeconomics Workshop Spring 2007

REFERENCES:

 

 

THESIS ABSTRACT

Essay 1.

The thesis provides a dynamic infinite-horizon general equilibrium model of financial intermediation that extends the model introduced by D. Diamond and P. Dybvig (JPE 1983). This extension enables the relationship between the real business cycle and the composition of assets held in the banking sector to be studied. As in the D-D model, a bank is an optimal financial coalition. In the model developed here, the bank's optimal policy involves decisions about liquidity that vary systematically over the business cycle.

The analysis begins with a baseline model of an autarkic agent with two production technologies. One of these two technologies has a higher gross rate of return than the other does. While adjusting investment in the higher return technology will incur an convex cost. However, the other technology is freely adjustable. We refer to these as the illiquid technology and the liquid technology respectively.

The optimal choice of the agent reflects the consumption preference shocks that he experiences. Without such shocks, the agent will always invest in the illiquid technology. However when agent's time preference fluctuates in a cyclical pattern, then the agent may transfer resources from the illiquid technology to the liquid technology at times when he anticipates desiring high consumption in the near future. By doing so, the agent can spread liquidation cost over two periods and avoid the steepest part of adjustment cost curve. This result is proved analytically for a deterministic preference shock cycle and verified numerically for Markovian shocks.

The main model in the thesis builds on the baseline model by introducing a large population of agents with idiosyncratic preference shocks. In this model, we proved agents receive higher utility by trading through a financial intermediary than they could achieve by autarkic investment or direct trade with one another. The policy bank analyze based on the principal agent problem. The bank's optimal portfolio evolve the similar fashion to the autarkic agent's portfolio in the baseline model.