Jun Ma

Northeastern University - Department of Economics

Associate Professor

301 Lake Hall

360 Huntington Avenue

Boston, MA MA 02446

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 27,398

SSRN RANKINGS

Top 27,398

in Total Papers Downloads

2,618

SSRN CITATIONS
Rank 36,711

SSRN RANKINGS

Top 36,711

in Total Papers Citations

11

CROSSREF CITATIONS

10

Scholarly Papers (20)

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
Northeastern University - Department of Economics, Capital University of Economics and Business and Northeastern University - Department of Economics
Downloads 469 (86,680)

Abstract:

Loading...

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 329 (129,633)
Citation 1

Abstract:

Loading...

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

3.

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 274 (156,571)

Abstract:

Loading...

endogenous structural breakpoint test, CKLS model, GMM, bootstrap

4.

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
Northeastern University - Department of Economics, Dept of Economics and UCSB
Downloads 231 (185,121)

Abstract:

Loading...

weak identification, GARCH, conditional heteroskedasticity

5.

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 184 (227,906)
Citation 5

Abstract:

Loading...

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

6.

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 178 (234,513)
Citation 3

Abstract:

Loading...

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

7.

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 155 (263,371)
Citation 2

Abstract:

Loading...

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

8.

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 138 (288,754)

Abstract:

Loading...

Fiscal Policy, government spending, taxes, real output

9.

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 124 (313,012)
Citation 2

Abstract:

Loading...

Unobserved Components model, trend-cycle decomposition

10.

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 107 (346,981)
Citation 1

Abstract:

Loading...

stock price decomposition, state-space model, weak identification

11.

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 88 (393,138)
Citation 5

Abstract:

Loading...

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

12.

Sources of the Stock Price Fluctuations in Chinese Equity Market

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 21 Aug 2012
Zhejiang University, Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 81 (412,852)

Abstract:

Loading...

price decomposition, state-space model, Chinese equity market

13.

Natural Rate in a Shadow Rate Term Structure Model

Number of pages: 63 Posted: 12 Aug 2021 Last Revised: 17 Mar 2022
Yang Han and Jun Ma
Northeastern University - Department of Economics and Northeastern University - Department of Economics
Downloads 70 (447,716)

Abstract:

Loading...

natural rate of interest; arbitrage-free dynamic term structural model; zero lower bound; term premium

14.

Exchange Rate Dynamics and Global Monetary Policy Spillovers: Time-Varying Dynamic Causal Effects

Number of pages: 52 Posted: 01 Jan 2020 Last Revised: 09 Mar 2022
Renmin University of China - School of Finance, Northeastern University - Department of Economics and Renmin University of China - School of Finance
Downloads 69 (451,141)
Citation 1

Abstract:

Loading...

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

15.

Dynamic Comovement among Banks, Systemic Risk, and the Macroeconomy

Number of pages: 46 Posted: 16 Dec 2016 Last Revised: 16 Jun 2017
Federal Reserve Bank of Dallas, Texas Tech University and Northeastern University - Department of Economics
Downloads 65 (465,067)

Abstract:

Loading...

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

16.

What's Different About Bank Holding Companies?

IMF Working Paper No. 17/26
Number of pages: 59 Posted: 09 Aug 2017
International Monetary Fund (IMF), University of Notre Dame, Northeastern University - Department of Economics and University of Oxford
Downloads 48 (534,155)

Abstract:

Loading...

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

17.

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
Renmin University of China - School of Finance, Northeastern University - Department of Economics and Renmin University of China - School of Finance
Downloads 8 (811,116)

Abstract:

Loading...

Commodity, Uncertainty, Exchange Rate

18.

What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 2, pp. 311-330, 2020
Number of pages: 20 Posted: 02 Jun 2020
Northeastern University - Department of Economics, Loughborough University and University of Nebraska at Omaha
Downloads 0 (909,419)

Abstract:

Loading...

19.

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

Abstract:

Loading...

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

20.

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

Abstract:

Loading...

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