Zhuoshi Liu
Personal Details
First Name: | Zhuoshi |
Middle Name: | |
Last Name: | Liu |
Suffix: | |
RePEc Short-ID: | pli410 |
[This author has chosen not to make the email address public] | |
Affiliation
International Monetary Institute
Renmin University of China
Beijing, Chinahttp://www.imi.org.cn/en/
:
RePEc:edi:imruccn (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Liu, Zhuoshi & Vangelista, Elisabetta & Kaminska, Iryna & Relleen, Jon, 2015. "The informational content of market-based measures of inflation expectations derived from govenment bonds and inflation swaps in the United Kingdom," Bank of England working papers 551, Bank of England.
- Chin, Michael & Liu, Zhuoshi, 2015. "A joint affine model of commodity futures and US Treasury yields," Bank of England working papers 526, Bank of England.
- Joyce, Michael & Liu, Zhuoshi & Tonks, Ian, 2014. "Institutional investor portfolio allocation, quantitative easing and the global financial crisis," Bank of England working papers 510, Bank of England.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012.
"Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework,"
Working Papers
wp831, Dipartimento Scienze Economiche, Universita' di Bologna.
- Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015. "Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
- Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012. "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper 39294, University Library of Munich, Germany.
- Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series 34_12, Rimini Centre for Economic Analysis.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
- Peter Spencer & Zhuoshi Liu, "undated".
"An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK,"
Discussion Papers
09/16, Department of Economics, University of York.
- Spencer, Peter & Liu, Zhuoshi, 2010. "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 667-680, March.
Articles
- Kaminska, Iryna & Liu, Zhuoshi & Relleen, Jon & Vangelista, Elisabetta, 2018. "What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 76-96.
- Michael A.S. Joyce & Zhuoshi Liu & Ian Tonks, 2017. "Institutional Investors and the QE Portfolio Balance Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(6), pages 1225-1246, September.
- Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015.
"Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework,"
Annals of Financial Economics (AFE),
World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
- Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012. "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper 39294, University Library of Munich, Germany.
- Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series 34_12, Rimini Centre for Economic Analysis.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework," Working Papers wp831, Dipartimento Scienze Economiche, Universita' di Bologna.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
- Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
- Spencer, Peter & Liu, Zhuoshi, 2010.
"An open-economy macro-finance model of international interdependence: The OECD, US and the UK,"
Journal of Banking & Finance,
Elsevier, vol. 34(3), pages 667-680, March.
- Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
- Zhuoshi Liu & Peter Spencer, 2009. "An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds," Manchester School, University of Manchester, vol. 77(s1), pages 108-125, September.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Liu, Zhuoshi & Vangelista, Elisabetta & Kaminska, Iryna & Relleen, Jon, 2015.
"The informational content of market-based measures of inflation expectations derived from govenment bonds and inflation swaps in the United Kingdom,"
Bank of England working papers
551, Bank of England.
Cited by:
- Camba-Méndez, Gonzalo & Werner, Thomas, 2017. "The inflation risk premium in the post-Lehman period," Working Paper Series 2033, European Central Bank.
- Chin, Michael & Liu, Zhuoshi, 2015.
"A joint affine model of commodity futures and US Treasury yields,"
Bank of England working papers
526, Bank of England.
Cited by:
- Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016.
"Risk premia and seasonality in commodity futures,"
Bank of England working papers
591, Bank of England.
- Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
- Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
- Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
- Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
- Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016.
"Risk premia and seasonality in commodity futures,"
Bank of England working papers
591, Bank of England.
- Joyce, Michael & Liu, Zhuoshi & Tonks, Ian, 2014.
"Institutional investor portfolio allocation, quantitative easing and the global financial crisis,"
Bank of England working papers
510, Bank of England.
Cited by:
- Kok, Christoffer & Pancaro, Cosimo & Berdin, Elia, 2017.
"A stochastic forward-looking model to assess the profitability and solvency of European insurers,"
Working Paper Series
2028, European Central Bank.
- Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016. "A stochastic forward-looking model to assess the profitability and solvency of European insurers," ICIR Working Paper Series 21/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016. "A stochastic forward-looking model to assess the profitability and solvency of European insurers," SAFE Working Paper Series 137, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
- Ono, Arito & Aoki, Kosuke & Nishioka, Shinichi & Shintani, Kohei & Yasui, Yosuke, 2018.
"Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data,"
HIT-REFINED Working Paper Series
43, Institute of Economic Research, Hitotsubashi University.
- Arito Ono & Kosuke Aoki & Shinichi Nishioka & Kohei Shintani & Yosuke Yasui, 2016. "Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data," Bank of Japan Working Paper Series 16-E-2, Bank of Japan.
- Tim A Kroencke & Maik Schmeling & Andreas Schrimpf, 2015. "Global Asset Allocation Shifts," BIS Working Papers 497, Bank for International Settlements.
- Itay Goldstein & Jonathan Witmer & Jing Yang, 2018. "Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing," Staff Working Papers 18-33, Bank of Canada.
- Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2017.
"The Hunt for Duration: Not Waving but Drowning?,"
IMF Economic Review,
Palgrave Macmillan;International Monetary Fund, vol. 65(1), pages 113-153, April.
- Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2015. "The hunt for duration: not waving but drowning?," BIS Working Papers 519, Bank for International Settlements.
- Romanos Priftis & Lukas Vogel, 2016. "The Portfolio Balance Mechanism and QE in the Euro Area," Manchester School, University of Manchester, vol. 84(S1), pages 84-105, September.
- LUPU, Radu & CALIN, Adrian Cantemir, 2014. "Co-Movements Of Regime Shifts In Gbp Currency Pairs Around Boe Quantitative Easing Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(3), pages 89-101.
- Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2017. "The portfolio of euro area fund investors and ECB monetary policy announcements," Working Paper Series 2116, European Central Bank.
- Abeer Reza & Eric Santor & Lena Suchanek, 2015. "Quantitative Easing as a Policy Tool Under the Effective Lower Bound," Discussion Papers 15-14, Bank of Canada.
- Shogbuyi, Abiodun & Steeley, James M., 2017. "The effect of quantitative easing on the variance and covariance of the UK and US equity markets," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 281-291.
- Kok, Christoffer & Pancaro, Cosimo & Berdin, Elia, 2017.
"A stochastic forward-looking model to assess the profitability and solvency of European insurers,"
Working Paper Series
2028, European Central Bank.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012.
"Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework,"
Working Papers
wp831, Dipartimento Scienze Economiche, Universita' di Bologna.
- Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015. "Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
- Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012. "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper 39294, University Library of Munich, Germany.
- Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series 34_12, Rimini Centre for Economic Analysis.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
Cited by:
- Ji Cao, 2017. "How does the underlying affect the risk-return profiles of structured products?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 27-47, February.
- Zoran Ivanovski & Zoran Narasanov & Nadica Ivanovska, 2015. "Volatility And Kurtosis At Emerging Markets: Comparative Analysis Of Macedonian Stock Exchange And Six Stock Markets From Central And Eastern Europe," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 9(1), pages 84-93.
- Radu Lupu, 2014. "Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 49-64, December.
- André Lucas & Xin Zhang, 2014.
"Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting,"
Tinbergen Institute Discussion Papers
14-092/IV/DSF77, Tinbergen Institute, revised 09 Sep 2015.
- Lucas, André & Zhang, Xin, 2015. "Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting," Working Paper Series 309, Sveriges Riksbank (Central Bank of Sweden).
- Lucas, André & Zhang, Xin, 2016. "Score-driven exponentially weighted moving averages and Value-at-Risk forecasting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 293-302.
- Ivanovski, Zoran & Stojanovski, Toni & Narasanov, Zoran, 2015. "Volatility And Kurtosis Of Daily Stock Returns At Mse," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 209-221.
- Peter Spencer & Zhuoshi Liu, "undated".
"An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK,"
Discussion Papers
09/16, Department of Economics, University of York.
- Spencer, Peter & Liu, Zhuoshi, 2010. "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 667-680, March.
Cited by:
- Finlay, Richard & Jääskelä, Jarkko P., 2014. "Credit supply shocks and the global financial crisis in three small open economies," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 270-276.
- Richard Finlay & David Olivan, 2012. "Extracting Information from Financial Market Instruments," RBA Bulletin, Reserve Bank of Australia, pages 45-54, March.
- Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009.
"EMU and European government bond market integration,"
Working Paper Series
1079, European Central Bank.
- Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010. "EMU and European government bond market integration," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2851-2860, December.
- Seth Armitage & Janusz Brzeszczynski, 2010. "Forecasting UK Inflation: An Empirical AnalysisÂ," CFI Discussion Papers 1002, Centre for Finance and Investment, Heriot Watt University.
- Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
- Mirko Abbritti & Salvatore Dell'Erba & Antonio Moreno & Sergio Sola, 2013.
"Global Factors in the Term Structure of Interest Rates,"
IMF Working Papers
13/223, International Monetary Fund.
- Mirko Abbritti & Salvatore Dell'Erba & ​Antonio Moreno & Sergio Sola, 2014. "Global Factors in the Term Structure of Interest Rates," Faculty Working Papers 01/14, School of Economics and Business Administration, University of Navarra.
- Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
- Fan, Longzhen & Johansson, Anders C., 2009.
"China'S Official Rates And Bond Yields,"
Working Paper Series
2009-3, Stockholm School of Economics, China Economic Research Center.
- Fan, Longzhen & Johansson, Anders C., 2010. "China's official rates and bond yields," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 996-1007, May.
- Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
- Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
Articles
- Michael A.S. Joyce & Zhuoshi Liu & Ian Tonks, 2017.
"Institutional Investors and the QE Portfolio Balance Channel,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 49(6), pages 1225-1246, September.
Cited by:
- Tischer, Johannes, 2018. "Quantitative easing, portfolio rebalancing and credit growth: Micro evidence from Germany," Discussion Papers 20/2018, Deutsche Bundesbank.
- Martijn Boermans & Viacheslav Keshkov, 2018. "The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration," DNB Working Papers 590, Netherlands Central Bank, Research Department.
- Imran Shah & Francesca Schmidt-Fischer & Issam Malki, 2018. "The portfolio balance channel: an analysis on the impact of quantitative easing on the US stock market," Department of Economics Working Papers 74/18, University of Bath, Department of Economics.
- Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015.
"Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework,"
Annals of Financial Economics (AFE),
World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
See citations under working paper version above.
- Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012. "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper 39294, University Library of Munich, Germany.
- Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series 34_12, Rimini Centre for Economic Analysis.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework," Working Papers wp831, Dipartimento Scienze Economiche, Universita' di Bologna.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
- Liu, Zhuoshi & Spencer, Peter, 2013.
"Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009,"
Journal of Banking & Finance,
Elsevier, vol. 37(2), pages 241-256.
Cited by:
- Crifo, Patricia & Diaye, Marc-Arthur & Oueghlissi, Rim, 2017. "The effect of countries’ ESG ratings on their sovereign borrowing costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 13-20.
- Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2015.
"Measuring the effect of government ESG performance on sovereign borrowing cost,"
Working Papers
hal-00951304, HAL.
- Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2014. "Measuring the effect of government ESG performance on sovereign borrowing cost," CIRANO Working Papers 2014s-37, CIRANO.
- Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2017. "Measuring the effect of government ESG performance on sovereign borrowing cost," Post-Print hal-01549820, HAL.
- Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
- Spencer, Peter & Liu, Zhuoshi, 2010.
"An open-economy macro-finance model of international interdependence: The OECD, US and the UK,"
Journal of Banking & Finance,
Elsevier, vol. 34(3), pages 667-680, March.
See citations under working paper version above.
- Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MAC: Macroeconomics (3) 2014-09-29 2015-03-13 2015-10-17
- NEP-BAN: Banking (1) 2012-06-25
- NEP-CBA: Central Banking (1) 2015-10-17
- NEP-ECM: Econometrics (1) 2012-06-25
- NEP-FMK: Financial Markets (1) 2015-03-13
- NEP-FOR: Forecasting (1) 2012-06-25
- NEP-GER: German Papers (1) 2014-09-29
- NEP-IFN: International Finance (1) 2014-09-29
- NEP-MON: Monetary Economics (1) 2015-10-17
- NEP-RMG: Risk Management (1) 2012-06-25
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