Time Series Econometrics
Empirical Asset Pricing
Phone: (615) 521-3618
I have strong interests in econometrics, in both its theory and applications. The topics I am investigating are: new methods in estimating continuous-time models, the empirical performance of bootstrap estimators of a dynamic factor model, and Bayesian estimation of dynamic stochastic general equilibrium models.
In addition, I am studying how information frictions explain stylized economic facts, especially in a dynamic stochastic general equilibrium (DSGE) setting. In the first chapter of my dissertation, the interactions between information frictions and financial frictions provide us insights about the disconnect between house prices and home rents, and the lead-lag relationship between residential investment and nonresidential investment. In the second chapter of my dissertation, I introduce information frictions into a standard international real business cycle model and demonstrate that this simple extension improves the model’s predictions in terms of international business cycles comovement and consumption risk sharing.