Photo of Canlin Li

Canlin Li

Education

  • Ph.D., Economics, University of Pennsylvania, 2002
  • M.A., Economics, Renmin University of China, 1995
  • B.S., Engineering, Tianjin Polytechnic University, 1992
Current Research Topics
  • Monetary Policy Spillover, Term Structure Model,
  • Treasury and MBS Market Liquidity
  • Senior Economic Project Manager

    Board of Governors of the Federal Reserve System

    2018 - present
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2015 - 2017
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2013 - 2015
  • Economist

    Board of Governors of the Federal Reserve System

    2010 - 2013
  • Assistant Professor of Finance

    University of California - Riverside

    2002 - 2010
  • Research Associate

    J.P.Morgan Securities Inc.

    2001 - 2002
  • Summer Intern

    J.P.Morgan Securities Inc.

    2000
  • Curcuru, Stephanie E., Steven B. Kamin, Canlin Li, and Marius Rodriguez (2018). "International Spillovers of Monetary Policy: Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234. Board of Governors of the Federal Reserve System (U.S.).
  • Ihrig, Jane, Elizabeth Klee, Canlin Li, Min Wei, and Joe Kachovec (2018). "Expectations about the Federal Reserve's Balance Sheet and the Term Structure of Interest Rates," International Journal of Central Banking, vol. 14, no. 2, pp. 341-390.
  • Datta, Deepa, Juan M. Londono, Bo Sun, Daniel Beltran, Thiago Ferreira, Matteo Iacoviello, Mohammad R. Jahan-Parvar, Canlin Li, Marius Rodriguez, and John Rogers (2017). "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216. Board of Governors of the Federal Reserve System (U.S.).
  • Li, Canlin, Andrew Meldrum, and Marius Rodriguez (2017). "Robustness of Long-Maturity Term Premium Estimates," FEDS Notes 2017-04-03. Board of Governors of the Federal Reserve System (U.S.).
  • Campbell, Sean D., Canlin Li, and Jay Im (2014). "Measuring Agency MBS Market Liquidity with Transaction Data," FEDS Notes 2014-01-31. Board of Governors of the Federal Reserve System (U.S.).
  • Li, Canlin, and Min Wei (2014). "Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs," Finance and Economics Discussion Series 2014-07. Board of Governors of the Federal Reserve System (U.S.).
  • Fan, Longzhen, Canlin Li, and Guofu Zhou (2013). "The Supply and Demand Factor in the Bond Market: Implications for Bond Risk and Return," Journal of Fixed income, vol. 23, no. 2, pp. 62-81.
  • Li, Canlin, and Min Wei (2013). "Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Programs," International Journal of Central Banking, vol. 9, no. 1, pp. 3-39.
  • Cahill, Michael E., Stefania D'Amico, Canlin Li, and John S. Sears (2013). "Duration Risk Versus Local Supply Channel in Treasury Yields: Evidence from the Federal Reserve's Asset Purchase Announcements," Finance and Economics Discussion Series 2013-35. Board of Governors of the Federal Reserve System (U.S.).
  • Ihrig, Jane, Elizabeth Klee, Canlin Li, Brett Schulte, and Min Wei (2012). "Expectations about the Federal Reserve's Balance Sheet and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2012-57. Board of Governors of the Federal Reserve System (U.S.).
  • Diebold, Francis X., Canlin Li, and Vivian Z. Yue (2008). "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," Journal of Econometrics, vol. 146, no. 2, pp. 351-363.
  • Diebold, Francis X., and Canlin Li (2006). "Forecasting the Term Structure of Government Bond Yields," Journal of Econometrics, vol. 130, no. 2, pp. 337-364.
  • Diebold, Francis X., Lei Ji, and Canlin Li (2006). "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration," in Klein, Lawrence,R. ed., Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K. and Northampton, Mass: Elgar, pp. 240-274.
  • Campbell, Sean D., and Canlin Li (2004). "Alternative Estimates of the Presidential Premium," Finance and Economics Discussion Series 2004-69. Board of Governors of the Federal Reserve System (U.S.).
Last update: September 10, 2018