Supervision, Regulation & Credit
Lina.Lu@bos.frb.org
Personal Website
Biography
Lina Lu is a senior financial economist at the Federal Reserve Bank of Boston. Her research interests are in the areas of econometrics, applied macroeconomics and financial econometrics. She joined the Boston Fed in 2017 after she received her Ph.D. in Economics from Columbia University. She also holds a M.A. in Mathematics of Finance from Columbia University, and a B.S. in Mathematics and Applied Mathematics from Zhejiang University.
Work Experience
Federal Reserve Bank of Boston - Senior Financial Economist, 2021 –
Federal Reserve Bank of Boston - Financial Economist, 2017 – 2021
Education
Ph.D., Economics, Columbia University, 2017
M.A., Economics, Columbia University, 2013
M.A., Mathematics of Finance, Columbia University, 2010
B.S., Mathematics and Applied Mathematics, Zhejiang University, 2008
Publications
Journal articles
“Are Retail Prime Money Market Fund Investors Increasingly More Sensitive to Stress Events?” with Kenechukwu Anadu, John Levin, Antoine Malfroy-Camine and Nico Oefele, Economics Letters, 255(112474), 2025.
“Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network”, with Tomohiro Ando, Jushan Bai and Cindy M. Vojtech, Journal of Econometrics, 244(2), 2024.
“Simultaneous Spatial Panel Data Models with Common Shocks”, 2022, forthcoming at Journal of Business and Economic Statistic.
“A Spatial Panel Quantile Model with Unobserved Heterogeneity”, with Tomohiro Ando and Kunpeng Li, 2021, forthcoming at Journal of Econometrics.
“Efficient Estimation of Heterogeneous Coefficients in Panel Data Models with Common Shocks” (with Guowei Cui and Kunpeng Li), Journal of Econometrics, 216(2), 327-353, 2020. [working paper version]
"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models", with Kunpeng Li and Qi Li, Journal of Econometrics, 206(2), 574-612, 2018. [working paper version]
"Estimation and Inference of FAVAR Models", with Jushan Bai and Kunpeng Li, Journal of Business and Economic Statistics, 34(4), 620-641, 2016.
Working papers
“Negative Treasury Haircuts” with Jonathan Wallen, Working Paper, May 2025.
“What Do Bank Trading Desks Do?” with Jonathan Wallen, Working Paper, November 2024.
“Internal and External Capital Markets of Large Banks”, with Marco Macchiavelli and Jonathan Wallen, updated November 2024.
“Non-Bank Financial Institutions and Banks' Fire-Sale Vulnerabilities”, with Nicola Cetorelli and Mattia Landoni, 2023.
“Swing Pricing Calibration”, with Kenechukwu E. Anadu and Victoria Liu, 2022.
“The Global Effects of U.S. Monetary Policy on Equity and Bond Markets: a Spatial Panel Data Model Approach”, with Shaowen Luo, 2020.
“Reach for Yield by U.S. Public Pension Funds”, with Matthew Pritsker, Andrei Zlate, Kenechukwu E. Anadu and James Bohn, 2019. Award: The Bureau Van Dijk Best Paper Award at the 3rd Sydney Banking and Financial Stability Conference.
"Simultaneous Spatial Panel Data Models with Common Shocks", last revised August 2017, available as FRB Boston Working Paper RPA17-03, Revise & Resubmit at Journal of Business and Economic Statistics.
“Factor Analysis and Principal Components: Evaluating Commonly Used Estimation Procedures”, with Jushan Bai and Kunpeng Li, 2016.