Canlin Li

Board of Governors of the Federal Reserve System

Senior Economic Project Manager

20th and C Streets, NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

9

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CITATIONS
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84

Scholarly Papers (9)

Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

Number of pages: 37 Posted: 12 Mar 2012 Last Revised: 27 Mar 2013
Longzhen Fan, Canlin Li and Guofu Zhou
Department of Finance, School of Management, Fudan University, Board of Governors of the Federal Reserve System and Washington University in St. Louis - John M. Olin Business School
Downloads 212 (142,467)

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Preferred-habitat hypothesis, Market segmentation, Ocial interest rates, Bond demand, Affine term structure model

Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 37 Posted: 02 Oct 2012 Last Revised: 26 Mar 2013
Longzhen Fan, Canlin Li and Guofu Zhou
Department of Finance, School of Management, Fudan University, Board of Governors of the Federal Reserve System and Washington University in St. Louis - John M. Olin Business School
Downloads 54 (378,839)

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the preferred-habitat hypothesis, market segmentation, official interest rates, bond demand, affine term structure model

2.

A Generalized Arbitrage-Free Nelson-Siegel Term Structure Model with Macroeconomic Fundamentals

Number of pages: 31 Posted: 21 Mar 2011
Canlin Li, Linlin Niu and Gengming Zeng
Board of Governors of the Federal Reserve System, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 231 (131,422)
Citation 2

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Yield curve, term structure models, macroeconomic fundamentals, factor models

3.

Taxonomy of Global Risk, Uncertainty, and Volatility Measures

FRB International Finance Discussion Paper No. 1216
Number of pages: 49 Posted: 26 Nov 2017
Board of Governors of the Federal Reserve System, Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board, Board of Governors of the Federal Reserve System, Federal Reserve Board - Trade and Financial Studies, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 134 (212,805)

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Risk, Uncertainty, Volatility, Monetary policy, Geopolitical risk, Equities, Interest rates, Exchange rates, Commodities, Inflation, Variance risk premium

4.

What Drive Market Interest Rates in China?

Number of pages: 30 Posted: 12 Feb 2013
Longzhen Fan and Canlin Li
Department of Finance, School of Management, Fudan University and Board of Governors of the Federal Reserve System
Downloads 105 (254,796)

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macro finance, interest rates, monetary policy, demand effect

5.

Expectations About the Federal Reserve's Balance Sheet and the Term Structure of Interest Rates

FEDS Working Paper No. 2012-57
Number of pages: 63 Posted: 26 Dec 2012
Federal Reserve Board - International Financial Transactions, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 49 (389,218)
Citation 9

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Balance sheet projections, term structure of interest rates, supply effects, treasury yields, Large

6.

International Spillovers of Monetary Policy: Conventional Policy vs. Quantitative Easing

FRB International Finance Discussion Paper No. 1234
Number of pages: 49 Posted: 23 Aug 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 45 (403,203)

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Monetary policy, International spillovers, Term premium

7.

Term Structure Modelling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs

FEDS Working Paper No. 2012-37
Number of pages: 34 Posted: 19 Dec 2012
Canlin Li and Min Wei
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 37 (433,927)
Citation 10

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Yield curve, preferred habitat, supply effects, factor models, state-space models, large-scale asset purchases (LSAP)

8.

Duration Risk Versus Local Supply Channel in Treasury Yields: Evidence from the Federal Reserve's Asset Purchase Announcements

FEDS Working Paper No. 2013-35
Number of pages: 38 Posted: 31 May 2017
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 28 (474,261)
Citation 3

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9.

Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs

FEDS Working Paper No. 2014-7
Number of pages: 34 Posted: 31 May 2017
Canlin Li and Min Wei
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 12 (565,995)
Citation 1

Abstract:

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No-arbitrage term structure models, Yield curve, Preferred habitat, Supply effects, Factor models, Large-scale asset purchases (LSAP), Agency mortgage-backed securities (MBS)