Details about Canlin Li

Access statistics for papers by Canlin Li.

Last updated 2021-05-24. Update your information in the RePEc Author Service.

Short-id: pli1425

Working Papers

2018

1. International Spillovers of Monetary Policy: Conventional Policy vs. Quantitative Easing
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (27)
2. Using the Entire Yield Curve in Forecasting Output and Inflation
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article Using the Entire Yield Curve in Forecasting Output and Inflation, Econometrics, MDPI (2018) View citations (11) (2018)

2017

3. Robustness of Long-Maturity Term Premium Estimates
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
4. Taxonomy of Global Risk, Uncertainty, and Volatility Measures
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (19)

2014

5. Measuring Agency MBS Market Liquidity with Transaction Data
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2013

6. Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (16)

2008

7. Representative yield curve shocks and stress testing
   Post-Print, HAL View citations (2)

2004

8. Alternative estimates of the presidential premium
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)

Journal Articles

2018

1. Expectations about the Federal Reserve’s Balance Sheet and the Term Structure of Interest Rates
   International Journal of Central Banking, 2018, 14, (2), 341-391 View citations (24)
2. Using the Entire Yield Curve in Forecasting Output and Inflation
   Econometrics, 2018, 6, (3), 1-27 View citations (11)
   See also Working Paper Using the Entire Yield Curve in Forecasting Output and Inflation, Working Papers (2018) (2018)

2013

3. Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Progarms
   International Journal of Central Banking, 2013, 9, (1), 3-39 View citations (116)

2008

4. Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
   Journal of Econometrics, 2008, 146, (2), 351-363 View citations (161)

2006

5. Forecasting the term structure of government bond yields
   Journal of Econometrics, 2006, 130, (2), 337-364 View citations (818)

Chapters

2006

1. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration
   Chapter 9 in Long-run Growth and Short-run Stabilization, 2006 View citations (4)