My research area covers empirical finance and asset pricing, empirical macroeconomics and business cycle, monetary policy and international finance. Under the supervision of Stuart Hyde and Sungjun Cho, I write three papers as my PhD thesis:
In the first paper entitled “Slow Recovery of Output after the 2007−09 Financial Crisis”, by using Okun’s law and a dynamic factor model to estimate the counterfactual, we identify a structural break during the 2007−09 financial crisis as the determinant of the slow recovery in the U.S. and the U.K. We also demonstrate that the cross-country spillovers from the U.S. explain the phenomenon in the U.K.
My second paper is “Friedman's Plucking Model and Okun's Law.” We propose a model for trend-cycle decomposition to derive the output gap in the U.S. and the U.K. We conclude in favour of Friedman's plucking model in which output fluctuates asymmetrically below a potential ceiling but not around a potential output. The estimated output gap is beneficial for a new estimation of Taylor rule to set the monetary policy interest rate.
“Paniculative plunges and efficient market hypothesis” is my third paper. I develop a model to capture the stylized facts of the stock market and explain that the panic during crashes leads to the plunges and deviation of the price from its efficient values. We conclude in favour of efficient market hypothesis during normal time and against efficient market hypothesis during the crises which means time dependency of the efficient market hypothesis.
In the proposal of the fourth paper, The credit channel and UK unconventional monetary policy, I explain that the effective lower bound prompted the central banks to employ unconventional monetary policy to boost real activity. However, based on the results of my first and second paper, output in the U.S. and the U.K. recovered slowly. This motivates me to investigate the effectiveness of unconventional monetary policy, mainly through the credit channel, in facilitating the output recovery.
I'm expert in Time Series Econometrics. Specially, I use Dynamic Factor Model and Factor Augmented Vector Autoregressive (FAVAR). Also, I utilise Kalman Filter, Hamilton filter and approximate maximum likelihood for estimation of the Time-varying parameter models and State-space models with Markov-switching.