TheEconomists
202-452-2227
canlin.li@frb.gov
canlin.li@frb.gov
Education
- Ph.D., Economics, University of Pennsylvania, 2002
- M.A., Economics, Renmin University of China, 1995
- B.S., Engineering, Tianjin Polytechnic University, 1992
Current Research Topics
- Term Structure Models with Supply Factors,
- Macrofinance Term Structure Models, Variance Risk
Fields of Interest
Professional Experience
Economist
Board of Governors of the Federal Reserve System
- 2010 - present
Assistant Professor of Finance
University of California - Riverside
- 2002 - 2010
Research Associate
J.P.Morgan Securities Inc.
- 2001 - 2002
Summer Intern
J.P.Morgan Securities Inc.
- 2000
Publications
- Li, Canlin, and Min Wei (2012). "Term Structure Modelling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs," Finance and Economics Discussion Series 2012-37. Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X., Canlin Li, and Vivian Z. Yue (2008). "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," Journal of Econometrics, vol. 146, no. 2, pp. 351-363.
- Diebold, Francis X., and Canlin Li (2006). "Forecasting the Term Structure of Government Bond Yields," Journal of Econometrics, vol. 130, no. 2, pp. 337-364.
- Diebold, Francis X., Lei Ji, and Canlin Li (2006). "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration," in Klein, Lawrence,R. ed., Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K. and Northampton, Mass: Elgar, pp. 240-274.
- Campbell, Sean D., and Canlin Li (2004). "Alternative Estimates of the Presidential Premium," Finance and Economics Discussion Series 2004-69. Board of Governors of the Federal Reserve System (U.S.).
Other Activities
Last update:
July 2, 2012