Research

Published Paper

• "Time variation in US monetary policy and credit spreads." Journal of Macroeconomics 43 (2015): 205-215. 

• "Potential Output and Inflation Dynamics after the Great Recession." Empirical Economics, 55 (2018): 495-517 (with Sui Luo) 

This paper finds that the inflation dynamic after the Great Recession could be well explained by lower potential output growth path.  ​

• "Flexible Panel Stochastic Frontier Model with Serially Correlated Errors." Economics Letters, 163 (2018): 55-58 (With Sui Luo and Hung-Jen Wang)

This paper proposes a flexible dynamic panel stochastic frontier model with a feasible estimation strategy.

• "Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications." Journal of Money, Credit & Banking, 52 (2020): 933-950 (with Sui Luo) 

This paper finds that good (bad) stock volatility clearly signals acceleration (deceleration) in economic activity. 

• "Dynamic Responses of Real Output to Financial Spreads." International Review of Economics & Finance, 62 (2019): 153-159

This paper finds that a positive term spread shock permanently increases real output, and a positive credit spread shock does too if it reflects a credit supply shock.

• "Improved Recession Dating Using Stock Market Volatility." International Journal of Forecasting 36 (2020): 507-514

This paper offers improved forecasting of U.S. business cycle turning point dates both retrospectively and in real-time. This improvement is made possible by augmenting existing models with additional information on stock return volatility. 

• “An Efficient Exact Bayesian Method for State Space Models with Stochastic Volatility.” Studies In Nonlinear Dynamics & Econometrics, 25-2 (2021): 20180098. 

This paper proposes a very efficient method for a linear state space model whose disturbances follow a stochastic process.  

• ​"Are Recoveries All The Same: GDP And TFP​? " Oxford Bulletin of Economics and Statistics, 83-5(2021): 1111-1129 (With Sui Luo and Richard Startz)

This paper investigates the time-varying shape of U.S. recoveries. They are quite different! 

• "Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks." Journal of Economic Dynamics and Control, forthcoming.

This paper investigates how financial conditions and macroeconomic uncertainty jointly affect macroeconomic tail risks. 

Working paper

• Nonlinear Spillover Effects of US Financial Uncertainty 

This paper finds the nonlinear effects of US financial uncertainty on the entire distribution of world production growth.

• Recessions, Recoveries, and Leverage

This paper finds that leverage helps identify the shape of the US recession. The Great Recession is L-shaped!

• Uncertainty and Business Cycle Asymmetry

     This paper finds that asymmetry in the U.S. business cycles is closely associated with macroeconomic uncertainty. 

• Dynamic Relationships between Markov-switching Processes.

This paper investigates several dynamic relationships between two Markov-switching processes. 

• Permanent Loss During the Great Recession (With Sui Luo)

This paper finds that the Great Recession was associated with a substantial permanent output loss (4.5%). 

• Regression with Endogenously Markov Regime-Switching Regressors

This paper deals with a regression in which some regressors are regime-switching endogenously. A simple two-step approach is provided. 

Working in progress

• International capital flow and uncertainty regime. 

• Trend cycle decomposition and growth at risk.

• Time-varying value at risk using extreme value theory. 

• Time-varying predictability of term spreads on real output. 

• Volatility in mean and output gap.