厦门大学王亚南经济研究院金融学老师介绍：任宇

副教授

加拿大女皇大学经济学博士

电话：0592-2186025

电子邮件：reny@xmu.edu.cn

办公室：经济楼A302

个人主页：http://econren.weebly.com/

►个人简介

Research interests

Asset Pricing, Financial Econometrics, Financial Economics, Applied Econometrics

Education

Ph.D. in Economics, Queen's University, Canada 2008;

M.A. in Economics, University of Guelph, Canada 2003;

B.A. in Economics & B.Sc. in Mathematics, Wuhan University, P.R.China, 2001

Employment

2011- Associate Professor, WISE, Xiamen University

2008-2011 Assistant Professor, WISE, Xiamen University

►研究成果

Publications

1. Pricing Kernel Estimation: A Local Estimating Equation Approach (with Z. Cai and L. Sun) Econometric Theory (forthcoming)

2. Human Capital, Durable Goods and Asset Returns (with Y. Yuan and Y. Zhang) Journal of Banking and Finance (forthcoming)

3. Specification Tests of Habit Formation (with P. Liu) Applied Economics Letters 2013, 20.

4. Why the Housing Sector Leads the Whole Economy: the Importance of Collateral Constraints and News Shocks (with Y. Yuan) Journal of Real Estate Finance and Economics (forthcoming)

5. House Price Bubbles in China (with C. Xiong and Y. Yuan) China Economic Review 2012, 23, 786-800.

6. Improvement in Finite-Sample Properties of GMM-Based Wald Tests (with Q. Chen) Computational Statistics 2013, 28, 735-749.

7. Nonparametric Estimation and Testing of Stochastic Discount Factor (with Y. Fang and Y. Yuan). Finance Research Letters 2011, 8, 196-205.

8. Exploring the relationship between vehicle safety and fuel efficiency in automotive design (with C. Chen). Transportation Research Part D, 2010, 15, 112-116.

9. Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test (with K. Shimotsu). Journal of Empirical Finance, 2009, 16, 483-506.

10. Predictive methods for using capacity data to estimate market shares and the extent of risk pooling by airline alliance partners under parallel codesharing (with C. Chen). Transportation Journal, 2007, 46, 21-36.

►研究项目

Working Papers

1. A Direct Bootstrap Test on the Conditional CAPM (with Z. Cai and X. Li) in submission

2. Nonparametric Estimation of State-Price Densities in Interest Rate Options in submission

3. A New Estimation on Time-varying Betas in Conditional CAPM (with Z. Cai) in submission

4. What Determines the House Supply in China (wtih R. Wu and Y. Yuan) in submission

5. Cointegration of Durable Consumption in Asset Returns (with G. Chen and Z. Hong) in submission

6. The Welfare Effects of Social Insurance in a Production Economy with Limited Enforcement (with Y. Yuan) (2007)

7. Time-Varying Betas in CAPM (with Y. Fang and Z. He) (2010)

8. Consumption-Based CAPM with Expense Shocks (wtih Q. Wang and Y. Yuan) (2013)

Does Cointegration Really Account for Variation in Mean Returns? (with G. Chen and Z. Hong) (2013)

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