Details about Xin Zhang

Access statistics for papers by Xin Zhang.

Last updated 2023-06-08. Update your information in the RePEc Author Service.

Short-id: pzh373

Working Papers

2024

1. Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy
   Working Paper Series, Federal Reserve Bank of San Francisco
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2024)

2023

2. Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia
   Working Paper Series, Federal Reserve Bank of San Francisco

2019

3. Risk endogeneity at the lender/investor-of-last-resort
   BIS Working Papers, Bank for International Settlements View citations (1)
4. Spread the Word: International Spillovers from Central Bank Communication
   BIS Working Papers, Bank for International Settlements View citations (8)
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2018) View citations (4)

2018

5. House Prices, Home Equity, and Personal Debt Composition
   2018 Meeting Papers, Society for Economic Dynamics View citations (1)
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2017) View citations (2)

2017

6. Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending
   2017 Meeting Papers, Society for Economic Dynamics View citations (2)

2016

7. Fed Liftoff and Subprime Loan Interest Rates: Evidence from the Peer-to-Peer Lending Market
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (4)

2015

8. Modeling financial sector joint tail risk in the euro area
   Working Paper Series, European Central Bank View citations (5)
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015)
   See also Journal Article Modeling Financial Sector Joint Tail Risk in the Euro Area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (16) (2017)
9. Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (9)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (3)
   See also Journal Article Score-driven exponentially weighted moving averages and Value-at-Risk forecasting, International Journal of Forecasting, Elsevier (2016) View citations (22) (2016)

2014

10. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)

2013

11. Conditional and joint credit risk
    Working Paper Series, European Central Bank View citations (2)
12. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (13)
    See also Journal Article Conditional Euro Area Sovereign Default Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (103) (2014)

2012

13. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (25)

2011

14. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)

Journal Articles

2017

1. Modeling Financial Sector Joint Tail Risk in the Euro Area
   Journal of Applied Econometrics, 2017, 32, (1), 171-191 View citations (16)
   See also Working Paper Modeling financial sector joint tail risk in the euro area, Working Paper Series (2015) View citations (5) (2015)

2016

2. Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
   International Journal of Forecasting, 2016, 32, (2), 293-302 View citations (22)
   See also Working Paper Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting, Working Paper Series (2015) View citations (9) (2015)

2014

3. Conditional Euro Area Sovereign Default Risk
   Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 View citations (103)
   See also Working Paper Conditional euro area sovereign default risk, Working Paper Series (2013) View citations (13) (2013)