Refereed Journal Publications
Selected Working Papers
Inactive Working Papers
- The Impact of EMU on Bond Yield Convergence: Evidence from a Time-Varying Dynamic Factor Model, with Vipul Bhatt and N. Kundan Kishor, Journal of Economic Dynamics and Control, Vol. 82, September, 2017.
- Explaining Exchange Rate Anomalies in a Model with Taylor-rule Fundamentals and Consistent Expectations, with Kevin Lansing, Journal of International Money and Finance, Vol. 70, February, 2017.
- A Dynamic Nelson-Siegel Yield Curve Model with Markov Switching, with Jared Levant. Economic Modelling (special issue in honor of Walter Enders), forthcoming.
- Investigating United Kingdom's Monetary Policy with Macro Factor Augmented Dynamic Nelson-Siegel Models, with Jared Levant, Journal of Empirical Finance, Vol. 37, June, 2016.
- Understanding Housing Market Volatility, with Joseph Fairchild and Shu Wu, Journal of Money, Credit, and Banking, Vol.47, No.7, October, 2015.
- A Bayesian Analysis of Weak Identification in Stock Price Decomposition, with Nathan S. Balke and Mark E. Wohar, Macroeconomic Dynamics (special issue in honor of Charles R. Nelson), Vol. 19, Issue 4, June, 2015.
- Expected Returns and Expected Dividend Growth: Time to Rethink an Established Empirical Literature, with Mark E. Wohar, Applied Economics, Vol. 46, Issue 21, 2014.
- Determining What Drives Stock Returns? Proper Inference Is Crucial: Evidence from the UK, with Mark E. Wohar, International Review of Economics and Finance, Vol. 33, September, 2014.
- An Unobserved Components Model That Yields Business and Medium-Run Cycles, with Mark E. Wohar, Journal of Money, Credit, and Banking, Vol. 45, No.7, October, 2013.
- Portfolio Reallocation and Exchange Rate Dynamics, with Liang Ding, Journal of Banking and Finance, Vol. 37, No. 8, August, 2013.
- The Contribution of Economic Fundamentals to Movements in Exchange Rates, with Nathan S. Balke and Mark E. Wohar, Journal of International Economics, Vol.90, Issue 1, May, 2013. (Lead Article)
- Long-Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework, Journal of Money, Credit, and Banking, Vol.45, No.1, February, 2013. (online appendices)
This is a substantial revision of the earlier paper "The Long-Run Risk in Consumption and Equity Premium Puzzle: New Evidence Based on Improved Inference."
- Sources of the Stock Price Fluctuations in Chinese Equity Market, with Zhenhua Su and Mark E. Wohar, European Journal of Finance (special issue on Chinese equity market), Vol.20, 7-9, 2014. (online appendices)
- Sources of the Great Moderation: A Time Series Analysis of GDP Subsectors, with Walter Enders, Journal of Economic Dynamics and Control, Vol.35, No.1, January, 2011.
- Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified, with Charles R. Nelson, Richard Startz, Studies in Nonlinear Dynamics and Econometrics, Vol.11, No.1, March, 2007. (Lead Article)
- Is the Poor Quality of Chinese Civic Awareness Preventing Democracy in China? A Case Study of Zeguo Township, with Zhenhua Su, Junjie Le, and Yongjing Zhang, Asian Perspective, Vol.36, No.1, March, 2012.
- The Characteristics of 'Club Convergence' of China's Economic Growth and Its Causes, with Kunrong Shen, Economic Research Journal (经济研究), No.1, January, 2002.
- Recent Advances in Estimating Nonlinear Models with Applications in Economics and Finance, co-edited with Mark E. Wohar, 2013, Springer.
- The Superiority of the LM Test in a Class of Econometrics Models Where Standard Wald Test Performs Poorly, with Charles R. Nelson. in Siem Jan Koopman and Neil Shephard (Eds.) Unobserved Components and Time Series Econometrics, Oxford University Press, 2016.
- The Stock Return Predictability and Stock Price Decomposition in the Chinese Equity Market, with Zhenhua Su and Mark E. Wohar, in Douglas Cumming, Alessandra Guariglia, Wenxuan Hou, and Edward Lee (Ed.) Experiences and Challenges in the Development of the Chinese Capital Market, Palgrave, 2016.
- A Statistical Investigation of Stock Return Decomposition Based on the State Space Framework, with Mark E. Wohar, in Shu Wu and Yong Zeng (Ed.) State-Space Models and Applications in Economics and Finance, Springer, 2013.
- Stock Returns and Inflation: An Analysis Based on the State-Space Framework, with Jared Levant and Mark E. Wohar, in Jun Ma and Mark E. Wohar (Eds.) Recent Advances in Estimating Nonlinear Models with Applications in Economics and Finance, Springer, 2013.
- Review of Economic Time Series: Modeling and Seasonality, edited by William R. Bell, Scott H. Holan, and Tucker S. McElroy, Journal of the American Statistical Association, Vol. 109, Issue 505, 2014.
Selected Working Papers
- Nonlinear Taylor Rules Based on the Principal Components Analysis, with Eric Olson and Mark E. Wohar. R&R at Studies in Nonlinear Dynamics and Econometrics
- Global Factors and Equity Market Valuations: Do Country Characteristics Matter?, with Andrew Vivian and Mark E. Wohar. R&R at International Journal of Finance and Economics
- What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?, with Andrew Vivian and Mark E. Wohar. R&R at Oxford Bulletin of Economics and Statistics
- Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty, with Rangan Gupta, Marian Risse, and Mark Wohar. R&R at Journal of Macroeconomics.
- What's Different about Bank Holding Companies?, with Ralph Chami, Thomas Cosimano, and Celine Rochon. IMF Working Paper.
- Global Housing Markets and Monetary Policy Spillovers: Evidence from OECD Countries, with Shikong Luo. under review
- Dynamic Comovement Among Banks' Returns and Chargeoffs in the U.S., with Pavel Kapinos and N. Kundan Kishor. under review
- The Time Varying Lambda Factor in the Nelson-Siegel Model and Its Predictive Power for the Real Economic Activity, with Anqi Jiao. under review
- Examining the Sources of Excess Return Predictability, with Kevin Lansing and Stephen LeRoy.
- Real Exchange Rates and Economic Fundamentals: An Investigation based on a Markov-STAR Model, with Philip Bertram and Philipp Sibbertsen.
- A Closed-Form Asymptotic Variance-Covariance Matrix for the Quasi Maximum Likelihood Estimator of the GARCH(1,1) Model.
Inactive Working Papers