Linlin Niu

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

Professor

A 306, Economics Building

Xiamen, Fujian 361005

China

Xiamen University - School of Economics

China

  • Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

  • Xiamen University - School of Economics

SCHOLARLY PAPERS

19

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18

CROSSREF CITATIONS

19

Scholarly Papers (19)

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1.

Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications

Journal of Econometrics, Vol. 180, No. 1, 2014
Number of pages: 50 Posted: 20 Mar 2012 Last Revised: 22 Jan 2022
Ying Chen and Linlin Niu
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 337 (138,739)
Citation 5

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Yield curve, term structure of interest rates, local parametric models, forecasting

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 328 (142,712)
Citation 3

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

3.

The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models

Number of pages: 68 Posted: 05 Mar 2012 Last Revised: 11 Feb 2016
Linlin Niu and Gengming Zeng
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 258 (183,641)
Citation 4

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Yield curve, term structure of interest rates, factor models, state-space models

4.

Term Structure Forecasting: No-Arbitrage Restrictions versus Large Information Set

Paolo Baffi Centre Research Paper No. 2009-44, Carlo Favero, Linlin Niu, Luca Sala, “Term Structure Forecasting: No-arbitrage Restrictions versus Large Information set”,Journal of Forecasting, 31(2), pp. 124-156, March 2012.
Number of pages: 48 Posted: 04 May 2009 Last Revised: 22 Jan 2022
Carlo A. Favero, Linlin Niu and Luca Sala
Bocconi University - Department of Finance, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 191 (242,818)
Citation 12

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Yield curve, term structure of interest rates, forecasting

5.

De Facto Currency Baskets of China and East Asian Economies: The Rising Weights

Downloads 171 (267,367)
Citation 2

De Facto Currency Baskets of China and East Asian Economies: The Rising Weights

BOFIT Discussion Paper No. 2/2012
Number of pages: 28 Posted: 14 Feb 2012 Last Revised: 31 Jan 2014
Ying Fang, Shicheng Huang and Linlin Niu
Xiamen University, affiliation not provided to SSRN and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 96 (416,160)
Citation 2

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RMB currency basket, time-varying regressions, East Asia, China, US

De Facto Currency Baskets of China and East Asian Economies: The Rising Weights

Number of pages: 22 Posted: 06 Feb 2012
Ying Fang, Shicheng Huang and Linlin Niu
Xiamen University, affiliation not provided to SSRN and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 75 (484,809)
Citation 1

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RMB currency basket, time-varying regressions, East Asia

6.

Discrete-Time Arbitrage-Free Nelson-Siegel Term Structure Model and Application

Zhiwu Hong, Linlin Niu, Gengming Zeng, “U.S. and Chinese Yield Curve Responses to RMB Exchange Rate Policy Shocks: An Analysis with the Arbitrage-Free Nelson-Siegel Term Structure model”,China Finance Review International, 9(3): 360-385, 2019.
Number of pages: 45 Posted: 11 Feb 2016 Last Revised: 22 Jan 2022
Zhiwu Hong, Linlin Niu and Gengming Zeng
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 146 (304,941)
Citation 2

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Nelson-Siegel interest rate term structure model, yield curve, macro-finance, exchange rate risk

7.

An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility

Number of pages: 45 Posted: 17 Jun 2010 Last Revised: 25 Jun 2010
Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 141 (313,491)

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Term structure, Stochastic volatility, Wishart Autoregressive process

8.

A Macro Finance Term Structure Model with Stochastic Volatility

Number of pages: 43 Posted: 17 Jun 2010
Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 92 (424,428)

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Term structure, Stochastic volatility, Wishart Autoregressive process

9.

Co-Movements of Shanghai and New York Stock Prices by Time-Varying Regressions

BOFIT Discussion Paper No. 16/2011
Number of pages: 20 Posted: 22 Aug 2011
Gregory C. Chow, Liu Changjiang and Linlin Niu
Princeton University - Department of Economics, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 75 (486,500)
Citation 2

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China, globalization, rate of return, stock markets, time-varying parameter regression

10.

Affine Arbitrage-Free Yield Net Models with Application to the Euro Debt Crisis

WISE Working Paper, Journal of Econometrics, September 2022, 230(1): 201-220.
Number of pages: 48 Posted: 04 Feb 2019 Last Revised: 24 Aug 2022
Zhiwu Hong, Linlin Niu and Chen Zhang
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and SMU, School of Economics
Downloads 62 (529,727)

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Term structure models, European debt crisis, liquidity risk, sovereign credit risk, Nelson-Siegel factors

11.

An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China

BOFIT Discussion Paper No. 12/2015
Number of pages: 47 Posted: 15 Apr 2015 Last Revised: 17 Apr 2015
Linlin Niu, Xiu Xu and Ying Chen
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Humboldt University of Berlin - Institute for Statistics and Econometrics and National University of Singapore (NUS)
Downloads 60 (538,118)
Citation 2

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Chinese economy, local parametric models, forecasting

12.

Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations

Number of pages: 34 Posted: 02 Mar 2021
Mingyang Li, Linlin Niu and Andrew Pua
Sun Yat-sen University (SYSU) - International School of Business and Finance (ISBE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Wang Yanan Institute for Studies in Economics
Downloads 49 (589,642)

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Stock price determination, Adaptive expectation, Time-varying discount rate, Incidental parameter bias

13.

A Semiparametric Model for Bond Pricing with Life Cycle Fundamental

Number of pages: 42 Posted: 02 Mar 2021
Zongwu Cai, Jiazi Chen and Linlin Niu
University of Kansas - School of Business - Economics Area, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 44 (615,940)

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Demographic distribution, Life cycle, Term structure models, Semiparametric model, Functional data analysis

14.

Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve

Mucai Lin, Linlin Niu, “Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve”, Journal of International Money and Finance, March 2021, 111, 102294 (lead article). Doi.: https://doi.org/10.1016/j.jimonfin.2020.102294
Number of pages: 44 Posted: 04 Jun 2019 Last Revised: 22 Jan 2022
Mucai Lin and Linlin Niu
affiliation not provided to SSRN and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 41 (632,798)
Citation 1

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QE announcements, Spillover, Signaling Effects, Portfolio Balancing Effects, Yield Curve

15.

Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure

Number of pages: 36 Posted: 30 Jun 2022
Jiazi Chen, Zhiwu Hong and Linlin Niu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 40 (638,436)

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Demographic distribution; Yield curve forecasting; Functional data analysis; Life cycle; Nelson-Siegel model; Semiparametric modeling

16.

Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition

Number of pages: 27 Posted: 09 Sep 2022
Chen Zhang, Ying Fang and Linlin Niu
SMU, School of Economics, affiliation not provided to SSRN and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 17 (801,052)

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Renminbi, exchange rate regime, dollar peg, currency basket

17.

Faster Fiscal Stimulus and a Higher Government Spending Multiplier in China: Mixed-Frequency Identification With SVAR

Mingyang Li, Linlin Niu, “Faster Fiscal Stimulus and a Higher Government Spending Multiplier in China: Mixed-frequency Identification with SVAR”, Economics Letters, December 2021, 209, 110135. Doi.: https://doi.org/10.1016/j.econlet.2021.110135
Number of pages: 8 Posted: 19 Oct 2021 Last Revised: 22 Jan 2022
Mingyang Li and Linlin Niu
Sun Yat-sen University (SYSU) - International School of Business and Finance (ISBE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 16 (809,808)

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government spending multiplier, inside lag, mixed-frequency identification, SVAR model

18.

How Do Baby Boomers Affect Interest Rates? A Functional Analysis of the Impact of Age Distribution on Macroeconomic Trends

Number of pages: 13 Posted: 29 Nov 2022
Jiazi Chen and Linlin Niu
Xiamen University and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 11 (854,858)

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Interest rate, demographic trend, age distribution, baby boomers, non-parametric method.

19.

Term Structure Forecasting: No-Arbitrage Restrictions vs. Large Information Set

CEPR Discussion Paper No. DP6206
Number of pages: 35 Posted: 21 May 2008
Carlo A. Favero, Linlin Niu and Luca Sala
Bocconi University - Department of Finance, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 2 (934,995)
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Abstract:

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Factor models, forecasting, large data set, term structure of interest rates, yield curve