Wenting Liao - Research

Publications

“Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model”, with Afees A. Salisu, Rangan Gupta, and Oguzhan Cepni, Journal of Forecasting, accepted.

"Does US Financial Uncertainty Spill Over through the (Asymmetric) International Credit Channel? The Role of Market Expectations", with Yu-Fan Huang, and Taining Wang, Journal of International Money and Finance, October 2024.

“Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks”, with Yu-Fan Huang, Sui Luo, and Jun Ma, Journal of Economic Dynamics and Control, June 2024.

"Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate", with Jun Ma and Chengsi Zhang, Journal of International Money and Finance, May 2024.

"Extreme Weather Shocks and State-Level Inflation of the United States", with Xin Sheng, Rangan Gupta, and Sayar Karmakar, Economics Letters, April 2024

"Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States", with Oguzhan Cepni, Rangan Gupta, and Jun Ma, International Review of Finance, August 2023.

"Identifying Exchange Rate Effects and Spillovers of U.S. Monetary Policy Shocks in the Presence of Time-Varying Instrument Relevance", with Jun Ma and Chengsi Zhang, Journal of Applied Econometrics, July 2023.

"Commodity Financialization and Funding Liquidity in China", with Xiangfu Jia and Chengsi Zhang, The North American Journal of Economics and Finance, April 2022.

Working Papers

"Macroeconomic Uncertainty and Corporate Leasing ", with Yifan Jiang, Gang Xiao, and Chengsi Zhang.

"The Macroeconomic Effects of International Food Price Shocks on China", with Yifei Lyu and Chengsi Zhang.

“Spillover Effects of the U.S. Monetary Policy on Emerging Market Economies”, with Jun Ma and Chengsi Zhang.

Work in Progress

"Does the Yield Spread Still Forecast the GDP Growth? New Evidence Based on a New Approach", with Jun Ma and Chang-Jin Kim.

Abstract: In this paper, we propose a novel approach that is based on a type of constrained vector ARMA model that can deal with both the persistence of the yield spread variable and its potential structural breaks. More importantly, we show that our proposed framework permits a more general type of nonlinear Granger causality relationship that encompasses the linear Granger causality as a special case. Due to the attractive feature of the proposed two-step estimation procedure, our approach can conveniently account for potential structural breaks in the yield spread when testing the more general Granger causality relationship between the yield spread and the real GDP growth.

“The Control Function Approach in Predictive Regressions”, with Jun Ma and Chang-Jin Kim.

Abstract: In this paper, we apply the control function method to the predictive regressions. We use a two-step estimation procedure to deal with the biased coefficients issue and the generated regressor issue. Through the simulation, we show that our approach is almost identical to the bias correction procedure in Amihud and Hurvich (2004), when the error terms are i.i.d. When the disturbances are heteroscedastic, our method works better both in the size and the power of the test. We will apply our method to the prediction of stock returns with financial ratios.

Publications in Chinese

Financialization, Leverage Ratio, and Systematic Risk, with Xiangfu Jia and Chengsi Zhang. Finance and Trade Economics （财贸经济）, Vol. 43, No. 6, 2022.