基本信息

---

英国曼彻斯特大学金融学博士

硕士生导师

邮箱：silvia@cueb.edu.cn

研究方向

---

资产定价, 金融工程，宏观计量，金融时间序列，风险预测。

教育背景

---

金融学博士，英国曼彻斯特大学，2015.9-2019.9

经济学硕士，英国曼彻斯特大学，2012.9-2014.9

金融经济学硕士，英国诺丁汉大学，2010.9-2011.9

工作经历

---

讲师，首都经济贸易大学国际经济管理学院，2019.9-至今

科研成果

---

【发表论文】(※代表第一作者,⁑代表通讯作者)

[1]“Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market”

Authorship: Wei Liu^{※ ⁑}and Ian Garrett

Economic Modelling 2023, 128:106483.

[2] “The role of monetary policy uncertainty in linking macroeconomic variables and stock volatility: Evidence from Japan.”

Authorship: Wei Liu (CUEB)^{※ ⁑}, Xiaoyu Li, Yiyuan Sun, Yuan Cao and Yao Wang.

Economic Modelling 2026, 159:107574.

[3] “Does EPU trigger regime shift? A Tree-based GARCH-MIDAS analysis of macro-volatility relationship.”

Authorship: Jingyi Meng^※ (Nankai University), Wei Liu^⁑(CUEB)

Applied Economics Letters forthcoming.

[4] “Forecasting Realized Volatility With Tree-Based HAR-Type Models Incorporating Macroeconomic Uncertainty.”

Authorship: Wei Liu^※ (CUEB), Wen Xu^⁑ (CUEB) and Ian Garrett (UoM)

Journal of Forecasting forthcoming.

【在审论文】(※代表第一作者,⁑代表通讯作者)

[1]“Option Valuation using Macroeconomic Uncertainty: A Realized Volatility Approach.”

Authorship: Shuwen Yang^※ (USTB), Wei Liu^⁑ (CUEB) and Ian Garrett (UoM)

R&R at Journal of Empirical Finance.

[2] “Corporate Debt Concentration and Total Factor Productivity. ”

Authorship: Wei Liu^※ (CUEB), Zilong Song^⁑（NUFE）

Submitted to International Review of Economics & Finance Under Review.

【工作论文】(※代表第一作者,⁑代表通讯作者)

[1] “Analysts’ Conditional Biases and the Cross Section of Corporate Bond Returns.”

Authorship: Shuwen Yang^※ (USTB), Wei Liu^⁑ (CUEB)

[2] “ The Role of Information Flow of Media Coverage on Dynamic Jumps in the U.S. Stock Market ”

Authorship: Wei Liu^※ (CUEB), Yiyuan Sun^⁑ (Jinan University)

【教学经历】

1.2021-2022 ，金融计量学(英语),国际经济管理学院

2.2020-2021，金融计量学(英语)，国际经济管理学院

3.019-2020，金融数据分析(英语)，国际经济管理学院

4. BMAN20110, Financial Market and Institutions, University of Manchester

Topics: Roles and the structure of the financial system; financial claims and intermediation; adverse selection and moral hazard in Financial Market; hedge fund and derivatives.

5. BMAN30242, Financial Engineering, University of Manchester

Topics: Bond Pricing; Interest rate derivatives; Option pricing; Interest rate derivatives; Credit risk measurement; Credit ratings and transition probability matrices.

6. ECON20292, Further Statistics, University of Manchester

Topics: Basic descriptive statistics; understand and manipulate probabilities from various statistical models; Confident interval and hypothesis test.

7. ECON20110, Econometrics, University of Manchester

Topics: Modelling non-linearities; Dummy variables; Understand the consequences of model misspecification; time-series analysis; maximum likelihood parameter estimation.

8. Young Undergraduate Oversea Immersion Program 2017, University of Manchester

Topics A: Foreign direct investment (FDI); Neo-Classical Approach (Production cost in the short-run/long-run); International Economic Institutions; Fiscal policy and Monetary policy.

Topics B: Financial Derivatives & Risk Management: Interest risk and Derivative contracts; Foreign exchange risk and Derivative contracts; European Option and American Option.

9. Young Undergraduate Oversea Immersion Program 2018, University of Manchester

Topics: International Financial Strategy & Corporate Finance

【科研项目】

[1] 国家自然科学基金面上项目（72373106）,带有交互效应的高维离散选择模型:理论研究及其应用, 2024,01-2027,12, 参与人。

[2] 国家社科基金一般项目(23BGL293), 商业医疗保险的功能定位与作用机制研究， 2023,01-2026,12, 参与人。

[3] 国家社会科学基金委员会，特别委托项目 (2020MYB019), 加快完善社会主义市场经济体制研究， 2020,01-2020,06，子课题参与人。

[4] 首都经济贸易大学新入职青年教师科研启动基金 (XRZ2020028),主持。

【学术会议】

[1] 2017 第3届宏观经济与金融国际会议 马其顿大学

[2] 2018 第11届国际管理风险大会 里昂商学院， 巴黎第九大学

[3] 2018 第25届金融市场预测会议 塞德商学院, 牛津大学

[4] 2018 英国皇家经济学会博士会议 威斯敏斯特大学

[5] 2019 亚洲经济计量年会(AMES) 厦门大学

荣誉与奖励

---

[1] 最佳文章摘要奖 曼彻斯特大学 2016

[2] 经济系学生奖学金 曼彻斯特大学 2013-2014

备注：

Capital University of Economics and Business (CUEB)

University of Manchester (UoM)

University of Science and Technology Beijing (USTB)

Nanjing University of Finance & Economics (NUFE)