I am a 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.
“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.
“Quantile Co-movement in Stock Markets with Production Linkages of Firms: A Spatial Panel Quantile Model with Unobserved Heterogeneity”, with Tomohiro Ando, 2019.
“Reach for Yield by U.S. Public Pension Funds”, with Matthew Pritsker, Andrei Zlate, Ken Anadu and James Bohn, 2019.
“Efficient Estimation of Heterogeneous Coefficients in Panel Data Models with Common Shocks” (with Guowei Cui and Kunpeng Li), 2018, Journal of Econometrics, Revise & Resubmit second round.
“Factor Analysis and Principal Components: Evaluating Commonly Used Estimation Procedures”, with Jushan Bai and Kunpeng Li, 2016.
WORK IN PROGRESS
“The Global Effects of U.S. Monetary Policy on Equity and Bond Markets: a Simultaneous Spatial Panel Data Model Approach ”, with Shaowen Luo, 2019.
“Choosing Optimal Stress Scenarios”, with Claire Labonne and Matthew Pritsker, 2018.