Welcome to my webpage

I am an assistant professor at Dongbei University of Finance and Economics. I received my Ph.D. degree from Universidad Carlos III de Madrid in 2019, and my research interests are Econometric Theory, Time Series Modelling, and Finance. My current research studies threshold models with unit roots from two different perspectives, a univariate approach by the stochastic unit root models where the randomness of the unit root is driven by other economic variables. On the other hand, from a multivariate perspective by introducing threshold effects in the cointegration relation allowing for the presence of multiple equilibria.

Research

Threshold Stochastic Unit Root Models.

In this study, we introduce a new class of stochastic unit-root (STUR) processes, where a threshold variable drives the randomness of the autoregressive unit root, thereby allowing us to explain the existence of unit roots. This new model, namely the threshold autoregressive stochastic unit root (TARSUR) process, is strictly stationary, but if we do not consider the threshold effect, it can mislead to conclude that the process has a unit root. The TARSUR models are not only an alternative to fixed unit root models but present interpretation, estimation and testing advantages with respect to the existent STUR models. This study analyzes the properties of the TARSUR models and proposes two simple tests to identify this type of processes. The first test will allow us to detect the presence of unit roots, which can be fixed or stochastic, and the asymptotic distribution (AD) of this test presents a distribution discontinuity depending if the unit root is fixed or stochastic. The second test we propose is a simple t-statistic (or the supremum of a sequence of t-statistics) for testing the null hypothesis of a fixed unit root versus a stochastic unit root hypothesis. It is shown that its asymptotic distribution (AD) depends if the threshold value is identified under the null hypothesis or not. When the threshold parameter is known, the AD is a standard normal distribution, while in the case of an unknown threshold value, the AD is a functional of Brownian Bridge. A Monte Carlo simulation shows that the proposed tests behave very well in finite sample, and the Dickey-Fuller test cannot easily distinguish between exact unit roots and threshold stochastic unit roots. The study concludes with applications to U.S. stock prices, U.S. house prices, U.S. interest rates, and USD/Pound exchange rates.

Multiple Long Run Equilibria Through Cointegration Eyes.

Cointegration has succeeded in capturing the unique long-run linear equilibrium. Specific non-linearities have been incorporated into cointegrated models but always assuming the existence of a single equilibrium. In this study, we explore the possibility of different long-run equilibria depending on the state of the world (i.e., good and bad times, optimism and pessimism, frictional coordination) in a threshold framework. Starting from the present-value model (PVM) with different discount factors and depending on the state of the economy, we show that this type of PVM implies threshold cointegrated with different long-run equilibria. We present the estimation and inference theory. The study completes two applications where the variables are not linearly cointegrated but threshold cointegrated.

Quasi-Error Correction Model.

Cointegration captures single long-run equilibrium relationships between economic variables and the error correction model (ECM) is the mechanism in which the equilibrium is maintained. In this study, we introduce the quasi-error correction model (QECM), derived from the cointegration relation with threshold effects, where each regime represents a different equilibrium relation between the variables. In contrast to the linear ECM, the QECM has a regressor which captures the switching between equilibria. This regressor will pose a problem similar to the non-linear error correction models, where the model cannot be balanced using the traditional definitions of integration. We present the estimation and the inference theory and finish with an empirical application for U.S. interest rate of instruments with different maturities.

Teaching Experience

Universidad Carlos III de Madrid, 2014-2019

  • Teacher Assistant, Ph.D. level. Econometric III (2016-2019)

  • Teacher Assistant, Master level. Econometric II (2015-2019)

  • Teacher Assistant, Undergraduate level. Econometric Thechiques (2014-2019)

Miscellaneous

Get In Touch

  • Address

    Dongbei University of Finance and Economics
    217 Jianshan Street, Dalian, Liaoning 116025,
    People's Republic of China
  • Email

    jpeng@eco.uc3m.es