http://www.bis.org/cbhub/list/author/author_701/index.rss Research hub papers by author Fuchun Li en http://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-13.pdf Bank of Canada Working papers by Ian Christensen, Fuchun Li A Semiparametric Early Warning Model of Financial Stress Events 2013-05-15T17:32:59Z The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with nonparametric specification of the link functions and linear index function. The empirical results show that the semiparametric early warning model captures some well-known financial stress events. For Canada, Germany, the United Kingdom and the United States, the semiparametric model can provide much better out-of-sample predicted probabilities than the logit model for the time period from 2007Q2 to 2010Q2, while for France, the logit model provides better performance for non-financial stress events than the semiparametric model. A Semiparametric Early Warning Model of Financial Stress Events 2013-05-15T17:32:59Z Abstract http://www.bankofcanada.ca/2013/05/research/working-paper-2013-13/ Full text http://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-13.pdf Fuchun Li Ian Christensen Ian Christensen, Fuchun Li 2013-05 Bank of Canada Working papers http://www.bankofcanada.ca/wp-content/uploads/2011/09/wp2011-19.pdf Bank of Canada Working papers by Toni Gravelle, Fuchun Li Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach 2011-10-01T06:19:59Z Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach 2011-10-01T06:19:59Z Abstract http://www.bankofcanada.ca/2011/09/publications/research/working-paper-2011-19/ Full text http://www.bankofcanada.ca/wp-content/uploads/2011/09/wp2011-19.pdf Fuchun Li Toni Gravelle Toni Gravelle, Fuchun Li 2011-09 Bank of Canada Working papers http://www.bankofcanada.ca/en/res/wp/2010/wp10-21.pdf Bank of Canada Working papers by Fuchun Li Identifying Asymmetric Comovements of International Stock Market Returns 2010-08-06T06:23:00Z You may download the paper in the following format(s): Identifying Asymmetric Comovements of International Stock Market Returns 2010-08-06T06:23:00Z Abstract http://www.bankofcanada.ca/en/res/wp/2010/wp10-21.html Full text http://www.bankofcanada.ca/en/res/wp/2010/wp10-21.pdf Fuchun Li Fuchun Li 2010-08 Bank of Canada Working papers C49 F21 G15 G19 http://www.bankofcanada.ca/en/res/wp/2010/wp10-12.pdf Bank of Canada Working papers by Fuchun Li and Pierre St-Amant Financial Stress, Monetary Policy, and Economic Activity 2010-05-21T17:42:59Z You may download the paper in the following format(s): Financial Stress, Monetary Policy, and Economic Activity 2010-05-21T17:42:59Z Abstract http://www.bankofcanada.ca/en/res/wp/2010/wp10-12.html Full text http://www.bankofcanada.ca/en/res/wp/2010/wp10-12.pdf Fuchun Li Pierre St-Amant Fuchun Li and Pierre St-Amant 2010-05 Bank of Canada Working papers C01 E50 G01 http://www.bankofcanada.ca/en/res/wp/2009/wp09-34.pdf Bank of Canada Working papers by Fuchun Li and Greg Tkacz A Consistent Test for Multivariate Conditional Distributions 2009-12-18T07:12:59Z You may download the paper in the following format(s): A Consistent Test for Multivariate Conditional Distributions 2009-12-18T07:12:59Z Abstract http://www.bankofcanada.ca/en/res/wp/2009/wp09-34.html Full text http://www.bankofcanada.ca/en/res/wp/2009/wp09-34.pdf Greg Tkacz Fuchun Li Fuchun Li and Greg Tkacz 2009-12 Bank of Canada Working papers C12 C22 http://www.bankofcanada.ca/en/res/wp/2009/wp09-14.pdf Bank of Canada Working papers by Fuchun Li Testing for Financial Contagion with Applications to the Canadian Banking System 2009-05-15T07:12:00Z The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data. Simulation studies show that the test has reasonable size and good power to detect financial contagion, and that Forbes and Rigobon's test (2002) is conservative, suggesting that their test tends not to find evidence of contagion when it does exist. The author's new test is applied to investigate contagion from a variety of recent financial crises to the Canadian banking system. Three empirical results are obtained. First, compared to recent financial crises, including the 1987 U.S. stock market crash, 1994 Mexican peso crisis, and 1997 East Asian crisis, the ongoing 2007 subprime crisis has been having more persistent and stronger contagion impacts on the Canadian banking system. Second, the October 1997 East Asian crisis induced contagion in Asian countries, and it quickly spread to Latin American and G-7 countries. The contagion from the East Asian crisis to the Canadian banking system was not as strong or as persistent as that of the ongoing subprime crisis. However, it had a stronger impact on emerging markets. Third, there is no evidence of contagion from the 1994 Mexican peso crisis to the Canadian banking system. Contagion from that crisis occurred in Argentina, Brazil, and Chile, but the contagion effects of that crisis were limited to the Latin American region. Testing for Financial Contagion with Applications to the Canadian Banking System 2009-05-15T07:12:00Z Abstract http://www.bankofcanada.ca/en/res/wp/2009/wp09-14.html Full text http://www.bankofcanada.ca/en/res/wp/2009/wp09-14.pdf Fuchun Li Fuchun Li 2009-05 Bank of Canada Working papers C12 G01 G15 http://www.bankofcanada.ca/en/res/wp/2006/wp06-42.pdf Bank of Canada Working papers by Céline Gauthier and Fu Chun Li Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model 2006-11-25T07:08:59Z Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model 2006-11-25T07:08:59Z Abstract http://www.bankofcanada.ca/en/res/wp/2006/wp06-42.html Full text http://www.bankofcanada.ca/en/res/wp/2006/wp06-42.pdf Céline Gauthier Fuchun Li Céline Gauthier and Fu Chun Li 2006-11 Bank of Canada Working papers C5 E4 http://www.bankofcanada.ca/en/res/wp/2005/wp05-35.pdf Bank of Canada Working papers by Fuchun Li Testing the Parametric Specification of the Diffusion Function in a Diffusion Process 2005-11-17T18:31:59Z Testing the Parametric Specification of the Diffusion Function in a Diffusion Process 2005-11-17T18:31:59Z Abstract http://www.bankofcanada.ca/en/res/wp/2005/wp05-35.html Full text http://www.bankofcanada.ca/en/res/wp/2005/wp05-35.pdf Fuchun Li Fuchun Li 2005-11 Bank of Canada Working papers C12 C14 http://www.bankofcanada.ca/en/publications/working.papers/2001/wp01-12.pdf Bank of Canada Working papers by Li, Fuchun and Greg Tkacz Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods 2003-02-05T13:53:00Z Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods 2003-02-05T13:53:00Z Abstract http://www.bankofcanada.ca/en/res/wp01-12.htm Full text http://www.bankofcanada.ca/en/publications/working.papers/2001/wp01-12.pdf Greg Tkacz Fuchun Li Li, Fuchun and Greg Tkacz 2001-07 Bank of Canada Working papers http://www.bankofcanada.ca/en/publications/working.papers/2001/wp01-21.pdf Bank of Canada Working papers by Li, Fuchun and Greg Tkacz A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data 2003-02-05T13:53:00Z A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data 2003-02-05T13:53:00Z Abstract http://www.bankofcanada.ca/en/res/wp01-21.htm Full text http://www.bankofcanada.ca/en/publications/working.papers/2001/wp01-21.pdf Greg Tkacz Fuchun Li Li, Fuchun and Greg Tkacz 2001-12 Bank of Canada Working papers