Jun Ma

Northeastern University - Department of Economics

Professor

301 Lake Hall

360 Huntington Avenue

Boston, MA MA 02446

United States

  • Northeastern University - Department of Economics

SCHOLARLY PAPERS

23

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4,058

TOTAL CITATIONS
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Top 28,070

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26

Scholarly Papers (23)

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1.

The Predictive Power of Nelson-Siegel Factor Loadings for the Real Economy

Journal of Empirical Finance, Forthcoming
Number of pages: 66 Posted: 04 Aug 2016 Last Revised: 14 Oct 2021
Yang Han, Anqi Jiao and Jun Ma
University of International Business and Economics - School of Banking and Finance, Capital University of Economics and Business and Northeastern University - Department of Economics
Downloads 589 (99,202)

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Nelson-Siegel Yield Factor Model, Uncertainty and Risk, Macroeconomic Forecasting, Financial Markets, Forecasts Combination

2.

A Closed-Form Asymptotic Variance-Covariance Matrix for the Quasi-Maximum Likelihood Estimator of the Garch(1,1) Model

Number of pages: 12 Posted: 23 Mar 2006 Last Revised: 05 May 2008
Jun Ma
Northeastern University - Department of Economics
Downloads 424 (147,978)
Citation 1

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GARCH, Quasi-Maximum Likelihood Estimator, asymptotic variance-covariance matrix

3.

Spurious Inference in the Garch(1,1) Model When it is Weakly Identified

Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 1, 2007
Number of pages: 28 Posted: 07 Jun 2006
Jun Ma, Charles R. Nelson and Richard Startz
Northeastern University - Department of Economics, Dept of Economics and UCSB
Downloads 317 (204,054)

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weak identification, GARCH, conditional heteroskedasticity

4.

Is There a Structural Break in the Risk Free Interest Rate Dynamics?

Number of pages: 13 Posted: 23 Mar 2006 Last Revised: 14 Feb 2008
Jun Ma
Northeastern University - Department of Economics
Downloads 305 (212,810)
Citation 1

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endogenous structural breakpoint test, CKLS model, GMM, bootstrap

5.

Long-Run Risk and its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 37 Posted: 25 Apr 2011 Last Revised: 22 Aug 2012
Jun Ma
Northeastern University - Department of Economics
Downloads 270 (241,665)
Citation 3

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equity premium puzzle, long-run risk, Zero-Information-Limit Condition, weak identification, GARCH

6.

Understanding Housing Market Volatility

Number of pages: 40 Posted: 21 Aug 2012
Joseph Fairchild, Jun Ma and Shu Wu
affiliation not provided to SSRN, Northeastern University - Department of Economics and The University of Kansas - Department of Economics
Downloads 244 (270,735)
Citation 5

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housing market, dynamic factor model, price-rent ratio, risk premium, money illusion.

7.

Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks

Downloads 220 (295,812)

Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 45 Posted: 22 Sep 2022 Last Revised: 29 Apr 2024
Yu-Fan Huang, Wenting Liao, Sui Luo and Jun Ma
Capital University of Economics and Business, ISEM, Renmin University of China - School of Finance, Capital University of Economics and Business and Northeastern University - Department of Economics
Downloads 127 (478,447)

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Financial Conditions; Uncertainty; Macroeconomic Tail Risks.

Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks

Number of pages: 35 Posted: 21 Sep 2023
Yu-Fan Huang, Wenting Liao, Sui Luo and Jun Ma
Capital University of Economics and Business, ISEM, Renmin University of China - School of Finance, Capital University of Economics and Business and Northeastern University - Department of Economics
Downloads 93 (604,000)

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Financial Conditions, Uncertainty, Macroeconomic Tail Risks.

8.

Estimating the Interest Rate Trend in a Shadow Rate Term Structure Model

Number of pages: 75 Posted: 12 Aug 2021 Last Revised: 15 Aug 2023
Yang Han and Jun Ma
University of International Business and Economics - School of Banking and Finance and Northeastern University - Department of Economics
Downloads 214 (303,718)

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interest rate trend; no-arbitrage dynamic-term structural model; zero lower bound; term premium

9.

Portfolio Reallocation and Exchange Rate Dynamics

Number of pages: 59 Posted: 30 Apr 2010 Last Revised: 01 Jun 2010
Liang Ding and Jun Ma
Macalester College - Department of Economics and Northeastern University - Department of Economics
Downloads 209 (312,031)
Citation 2

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exchange rate dynamics, portfolio reallocation, order flow, carry trade, risk appetite, high return currency

10.

Identifying Exchange Rate Effects and Spillovers of U.S. Monetary Policy Shocks in the Presence of Time-Varying Instrument Relevance

Liao W, Ma J, Zhang C. Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance[J]. Journal of Applied Econometrics.
Number of pages: 35 Posted: 01 Jan 2020 Last Revised: 18 Aug 2023
Wenting Liao, Jun Ma and Chengsi Zhang
Renmin University of China - School of Finance, Northeastern University - Department of Economics and Renmin University of China - School of Finance
Downloads 200 (323,568)
Citation 5

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monetary policy spillover, exchange rate dynamics, time varying factor-augmented SVAR-IV, stochastic volatility

11.

Does Fiscal Policy Affect Private Sector Output? A VAR Analysis

Number of pages: 44 Posted: 04 Oct 2009 Last Revised: 28 Jan 2010
Jun Ma and James Peery Cover
Northeastern University - Department of Economics and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 165 (386,832)

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Fiscal Policy, government spending, taxes, real output

12.

An Unobserved Components Model That Yields Business and Medium-Run Cycles

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 28 Posted: 24 Apr 2011 Last Revised: 25 Feb 2014
Jun Ma and Mark E. Wohar
Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 164 (386,832)
Citation 2

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Unobserved Components model, trend-cycle decomposition

13.

Expected Returns and Expected Dividend Growth: Time to Rethink an Established Empirical Literature

Number of pages: 48 Posted: 08 Mar 2011 Last Revised: 18 Mar 2014
Jun Ma and Mark E. Wohar
Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 150 (417,084)
Citation 1

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stock price decomposition, state-space model, weak identification

14.

Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components

Number of pages: 35 Posted: 23 Sep 2008
Jun Ma and Charles R. Nelson
Northeastern University - Department of Economics and Dept of Economics
Downloads 119 (501,276)
Citation 5

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ARMA, Unobserved Components, State Space, GARCH, Zero-Information-Limit-Condition

15.

Dynamic Comovement among Banks, Systemic Risk, and the Macroeconomy

Number of pages: 46 Posted: 16 Dec 2016 Last Revised: 16 Jun 2017
Pavel S. Kapinos, N. Kundan Kishor and Jun Ma
Federal Reserve Bank of Dallas, Texas Tech University and Northeastern University - Department of Economics
Downloads 112 (524,836)

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business cycles, systemic risk, banks, dynamic factor model, return on assets, chargeoffs

16.

Sources of the Stock Price Fluctuations in Chinese Equity Market

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 21 Aug 2012
Zhenhua Su, Jun Ma and Mark E. Wohar
Zhejiang University, Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 110 (535,389)

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price decomposition, state-space model, Chinese equity market

17.

What's Different About Bank Holding Companies?

IMF Working Paper No. 17/26
Number of pages: 59 Posted: 09 Aug 2017
Ralph Chami, Thomas F. Cosimano, Jun Ma and Celine Rochon
International Monetary Fund (IMF), University of Notre Dame, Northeastern University - Department of Economics and University of Oxford
Downloads 90 (609,871)

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Banking, Banking, Banks, Financial stability, Loans, Monetary policy, Financial markets, Bank Holding Company, Term Structure, Basel III, Bank Capital, Macro Prudential, Ring-Fencing, Financial Markets and the Macroeconomy, General, General

18.

Commodity Returns Co-movement and Its Relationship With Uncertainty Shock and the U.S. Dollar Exchange Rate

Number of pages: 41 Posted: 09 Aug 2022
Wenting Liao, Jun Ma and Chengsi Zhang
Renmin University of China - School of Finance, Northeastern University - Department of Economics and Renmin University of China - School of Finance
Downloads 76 (673,997)
Citation 1

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Commodity, Uncertainty, Exchange Rate

19.

Real Estate Depreciation and Cash Policy for Innovative Firms

Number of pages: 41 Posted: 31 Jan 2024
Zhao Rong, Fei Leng, Jun Ma and Jinlan Ni
Wenlan School of Business, Zhongnan University of Economics and Law, University of Washington Tacoma, Northeastern University - Department of Economics and University of Nebraska at Omaha - College of Business Administration
Downloads 40 (920,408)

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Cash Holdings, Real estate depreciation, Innovative firms, Financial constraints

20.

Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States

Number of pages: 15 Posted: 02 Nov 2022
Oguzhan Cepni, Rangan Gupta, Wenting Liao and Jun Ma
Copenhagen Business School, University of Pretoria, Renmin University of China - School of Finance and Northeastern University - Department of Economics
Downloads 40 (920,408)

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State-Level Economic Conditions, Climate Risks, Dynamic Factor Model with Stochastic Volatility, Panel Predictive Regression, Forecasting

21.

Global Housing Markets and Monetary Policy Spillovers: Evidence from OECD Countries

Posted: 21 Dec 2016
Scott Luo and Jun Ma
University of Oklahoma - Michael F. Price College of Business and Northeastern University - Department of Economics

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global housing markets, housing risk premium, global financial cycle, risk-taking channel, monetary policy spillover, dynamic factor model, Campbell-Shiller decomposition

22.

Sources of the Great Moderation: A Time-Series Analysis of GDP Subsectors

Journal of Economic Dynamics and Control, Vol. 35, No. 1, 2011
Posted: 21 Aug 2012
Walter Enders and Jun Ma
University of Alabama - Department of Economics, Finance and Legal Studies and Northeastern University - Department of Economics

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volatility reduction, endogenous break, Markov regime-switching, monetary policy

23.

Growth Cycles and Business Cycles of the Chinese Economy through the Lens of the Unobserved Components Model

China Economic Review, volume 63, 2020[10.1016/j.chieco.2019.101317]
Number of pages: 43
Yang Han, Zehao Liu and Jun Ma
University of International Business and Economics - School of Banking and Finance, Renmin University of China - School of Finance and Northeastern University - Department of Economics
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