Supervision, Regulation & Credit
lily.liu@bos.frb.org
Biography
Lily Y. Liu is a senior financial economist at the Federal Reserve Bank of Boston. Her research interests include credit markets, forecasting, empirical asset pricing and financial econometrics. Liu joined the Boston Fed in 2015 after she received her Ph.D. in Economics from Duke University. She also holds a B.A. in Mathematics and Economics from the University of Pennsylvania, and a M.Sc. in Statistics from the University of Toronto.
Work Experience
Federal Reserve Bank of Boston
Financial Economist, 2015 -
Education
Ph.D., Economics, Duke University, 2015
M.A., Economics, Duke University, 2010
M.Sc., Statistics, University of Toronto, 2009
B.A., Economics and Mathematics, University of Pennsylvania, 2008
Publications
Refereed articles
“Estimating Loss Given Default from CDS under Weak Identification.” Journal of Financial Econometrics, 2020, https://doi.org/10.1093/jjfinec/nbaa012
"Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes", with Andrew Patton and Kevin Sheppard, 2015. Journal of Econometrics, 187(1), 293-311.
Working papers and other unpublished papers
"Credit Scores Since the COVID-19 Outbreak", with Michal Kowalik and Xiyu Wang, Federal Reserve Bank of Boston SRA 21-04, 2021
"Estimating Loss Given Default from CDS under Weak Identification", Federal Reserve Bank of Boston RPA 17-1, May 2017.