I'm interested in quantile regression, time series survey data analysis, financial econometrics on stock returns in high frequencies, empirical topics related with China, international finance and law.
Research Paper
Quantile Difference and Testing Predictability between Time Series, 2017
ABSTRACT: This paper proposes to test the hypothesis that one time series has directional predictability to another time series in a quantile regression model. The test is based on the asymptotic distribution of the difference between the quantile regression estimators. The derived result helps in distinguishing different treatment effect in quantiles. An economic application considers the relation between lawsuit rewards and litigation/settlement states by means of parametric quantile model, which presents a new framework to distinguish treatment effects in the entire rewards distribution.
Uniform Quantile Regression Bands with an Application to Investor Sentiments, 2017
ABSTRACT: This paper develops a uniform confidence band for the linear quantile regression (QR) estimator in a time series setting. The confidence band is useful for documenting differences in responses at different quantiles of the conditional distribution. The inference procedure is carried out through bootstrapping and allows for serially correlated error terms. An empirical application to the relationship between stock returns and investor sentiments suggests the method can be informative.
Regulating capital flows in emerging markets: The IMF and the global financial crisis, (With Kevin P. Gallagher), 2017
ABSTRACT: In the wake of the financial crisis the International Monetary Fund (IMF) began to publicly express support for what have traditionally been referred to as ‘capital controls’. This paper empirically examines the extent to which the change in IMF discourse on these matters has resulted in significant changes in actual IMF policy advice. By creating and analyzing a database of IMF Article IV reports, we examine whether the financial crisis had an independent impact on IMF support for capital controls. We find that the IMF’s level of support for capital controls has increased as a result of the crisis and as the vulnerabilities associated with capital flows accentuate.
Heterogeneity Effects of Development Funding on Microenterprises, 2015
ABSTRACT: This paper analyzes the heterogeneity of firm characteristics on returns to capital. It develops a theoretical model under a utility maximization framework with imperfect insurance and credit markets constraints. From the model, the returns to capital are derived as a function of the parameters, which affects the production function of the firm and the entrepreneur utility form. Quantile regression is applied to analyze the field experiment data from the Sri Lanka Micro Enterprises Project (2005-2010). Empirical evidence shows that returns vary across different quantiles of firm profits. Further, the ability/risk aversion of entrepreneurs affect the returns differently at different quantiles.
Housing Price Volatility and the Capital Account in China, (With Kevin P. Gallagher), 2015
ABSTRACT: This paper examines capital account liberalization and its effect on price volatility in the Chinese housing market. The chapter assesses the extent to which: a) short-term capital flows and foreign direct investment may have impacted prices and volatility in the Chinese housing market; and b) whether 2006 Capital Account Regulations (CARs) on foreign purchases of Chinese real estate were effective in reducing the level and volatility of prices in the housing market. The results show that hot money magnified the impacts of capital flows on housing prices during upward surges in housing prices. Quantile regression provides quantitative evidence that the more volatile the housing market was, the larger the impact short-term capital flows had on accentuating such volatility. Furthermore, the 2006 CAR continued to have a strong impact on reducing volatility in the Chinese housing market during the period under study.
PhD dissertation link
ABSTRACT: This paper proposes to test the hypothesis that one time series has directional predictability to another time series in a quantile regression model. The test is based on the asymptotic distribution of the difference between the quantile regression estimators. The derived result helps in distinguishing different treatment effect in quantiles. An economic application considers the relation between lawsuit rewards and litigation/settlement states by means of parametric quantile model, which presents a new framework to distinguish treatment effects in the entire rewards distribution.
Uniform Quantile Regression Bands with an Application to Investor Sentiments, 2017
ABSTRACT: This paper develops a uniform confidence band for the linear quantile regression (QR) estimator in a time series setting. The confidence band is useful for documenting differences in responses at different quantiles of the conditional distribution. The inference procedure is carried out through bootstrapping and allows for serially correlated error terms. An empirical application to the relationship between stock returns and investor sentiments suggests the method can be informative.
Regulating capital flows in emerging markets: The IMF and the global financial crisis, (With Kevin P. Gallagher), 2017
ABSTRACT: In the wake of the financial crisis the International Monetary Fund (IMF) began to publicly express support for what have traditionally been referred to as ‘capital controls’. This paper empirically examines the extent to which the change in IMF discourse on these matters has resulted in significant changes in actual IMF policy advice. By creating and analyzing a database of IMF Article IV reports, we examine whether the financial crisis had an independent impact on IMF support for capital controls. We find that the IMF’s level of support for capital controls has increased as a result of the crisis and as the vulnerabilities associated with capital flows accentuate.
Heterogeneity Effects of Development Funding on Microenterprises, 2015
ABSTRACT: This paper analyzes the heterogeneity of firm characteristics on returns to capital. It develops a theoretical model under a utility maximization framework with imperfect insurance and credit markets constraints. From the model, the returns to capital are derived as a function of the parameters, which affects the production function of the firm and the entrepreneur utility form. Quantile regression is applied to analyze the field experiment data from the Sri Lanka Micro Enterprises Project (2005-2010). Empirical evidence shows that returns vary across different quantiles of firm profits. Further, the ability/risk aversion of entrepreneurs affect the returns differently at different quantiles.
Housing Price Volatility and the Capital Account in China, (With Kevin P. Gallagher), 2015
ABSTRACT: This paper examines capital account liberalization and its effect on price volatility in the Chinese housing market. The chapter assesses the extent to which: a) short-term capital flows and foreign direct investment may have impacted prices and volatility in the Chinese housing market; and b) whether 2006 Capital Account Regulations (CARs) on foreign purchases of Chinese real estate were effective in reducing the level and volatility of prices in the housing market. The results show that hot money magnified the impacts of capital flows on housing prices during upward surges in housing prices. Quantile regression provides quantitative evidence that the more volatile the housing market was, the larger the impact short-term capital flows had on accentuating such volatility. Furthermore, the 2006 CAR continued to have a strong impact on reducing volatility in the Chinese housing market during the period under study.
PhD dissertation link