Image of Board Seal

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 Policies, Term Structure Models,
  • Treasury and MBS Market Liquidity
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2015 - present
  • 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
  • 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: April 24, 2017