Monetary Policy Department
SE-103 37 Stockholm, Sweden
Phone + 46 8 787 05 73
Econometrics, financial economics, credit risk
Xin Zhang obtained his Ph.D. in Finance from VU University Amsterdam and Tinbergen Institute. He also holds an M.Phil. in Econometrics and Finance from University of Amsterdam and Tinbergen Institute. He joined the research division at Sveriges Riksbank in 2012. His research areas include time series econometrics, financial economics, credit risk and quantitative finance.
Personal webpage: sites.google.com/site/zhangxinphd/
Ph.D. in Finance, VU University Amsterdam and Tinbergen Institute
M.Phil. in Econometrics and Finance, University of Amsterdam
Bachelor in Economics, Statistics, Peking University
Publications in Refereed Journals
"Narrative Fragmentation and the Business Cycle", Economics Letters, Vol 201, 2021, (with C. Bertsch and I. Hull).
"Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending", International Journal of Central Banking (forthcoming), (with C. Bertsch and I. Hull).
"The interaction between macroprudential and monetary policies: The cases of Norway and Sweden", Review of International Economics, Vol 29 (1), 2021, 87-116, (with J. Cao, V. Dinger, A. Grodecka-Messi, and R. Juelsrud).
"Risk endogeneity at the lender-/investor-of-last-resort", Journal of Monetary Economics, Vol 116, 2020, 283-297, (with D. Caballero, A. Lucas, and B. Schwaab).
"Bank misconduct and online lending", Journal of Banking and Finance, Vol 116, 2020, (with C. Bertsch, I. Hull, and Y. Qi).
"Spread the word: international spillovers from central bank communication", Journal of International Money and Finance, Vol 103, 2020, (with H. Armelius, C. Bertsch, and I. Hull).
"Modeling Financial Sector Joint Tail Risk in the Euro Area", Journal of Applied Econometrics, Vol 32, (1), 2017, Pages 171–191, (with A. Lucas and B. Schwaab).
"Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting", International Journal of Forecasting, vol 32, 2016, pages 293 – 302, (with A. Lucas).
"Conditional Euro Area Sovereign Default Risk", Journal of Business and Economic Statistics, 32(2), 2014, 271-284, (with A. Lucas and B. Schwaab).
"Home equity extraction activities in Sweden", Sveriges Riksbank Staff Memo, 2020, with Jieying Li and Peter van Santen.
"A New Early Warning Indicator of Financial Fragility in Sweden", Economic Commentaries, No. 1. 2017, Sveriges Riksbank, Sweden, (with P. Giordani and E. Spector).
"Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending", Sveriges Riksbank Working Paper Series No. 319, April 2016 (revised May 2017), (with C. Bertsch and I. Hull).
"House Prices, Home Equity, and Personal Debt Composition", Sveriges Riksbank Working Paper Series No. 343, October 2017, (with J. Li).
"The Role of Trust in Online Lending", Sveriges Riksbank Working Paper Series No. 346, November 2017 (with C. Bertsch, I. Hull and Y. Qi).
"Tail Risk in Government Bond Markets and ECB Unconventional Policies", (with A. Lucas and B. Schwaab).
"Systemic Risk and Asset Prices", (with R Tédongap).
"Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails", (with D. Creal, S. J. Koopman and A. Lucas).
Annals of Applied Statistics, Computational Statistics & Data Analysis, Empirical Economics, International Journal of Theoretical and Applied Finance, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Econometrics, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of International Money and Finance, Journal of Money, Credit and Banking, Scandinavian Journal of Economics.