Lina Lu
I am a Senior Financial Economist at the Federal Reserve Bank of Boston, in the Department of Supervision, Regulation and Credit.
My main research interests: Econometrics, Financial Economics and Applied Macroeconomics.
Prior to joining the Boston Fed, I completed my PhD in Economics at Columbia University in the summer of 2017.
RESEARCH
PUBLICATIONS
“Simultaneous Spatial Panel Data Models with Common Shocks”, Journal of Business and Economic Statistics, 41(2), 608-623, 2023.
“A Spatial Panel Quantile Model with Unobserved Heterogeneity”, with Tomohiro Ando and Kunpeng Li, Journal of Econometrics, 232(1), 191-213, 2023. [working paper version]
“Efficient Estimation of Heterogeneous Coefficients in Panel Data Models with Common Shocks” (with Guowei Cui and Kunpeng Li), Journal of Econometrics, 216(2), 327-353, 2020.
“Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models”, with Kunpeng Li and Qi Li, Journal of Econometrics, 206(2), 574-612, 2018. [working paper version]
“Estimation and Inference of FAVAR Models”, with Jushan Bai and Kunpeng Li, Journal of Business and Economic Statistics, 34(4), 620-641, 2016.
WORKING PAPERS
“Non-Bank Financial Institutions and Banks' Fire-Sale Vulnerabilities”, with Nicola Cetorelli and Mattia Landoni, 2023.
“Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network”, with Tomohiro Ando, Jushan Bai and Cindy M. Vojtech, 2022.
“Swing Pricing Calibration”, with Kenechukwu E. Anadu and Victoria Liu, 2022.
“The Global Effects of U.S. Monetary Policy on Equity and Bond Markets: a Spatial Panel Data Model Approach ”, with Shaowen Luo, 2020.
“Reach for Yield by U.S. Public Pension Funds”, with Matthew Pritsker, Andrei Zlate, Kenechukwu E. Anadu and James Bohn, 2019. Award: The Bureau Van Dijk Best Paper Award at the 3rd Sydney Banking and Financial Stability Conference.
“Factor Analysis and Principal Components: Evaluating Commonly Used Estimation Procedures”, with Jushan Bai and Kunpeng Li, 2016.
WORK IN PROGRESS
“Choosing Optimal Stress Scenarios”, with Claire Labonne and Matthew Pritsker.