Xiangjin Shen

Senior Economist

Xiangjin Shen is a Senior Economist in the Financial Stability Department. Her policy work focus on the financial stability and macro-economic stress testing issues. Her current research interests include econometrics, monetary transmission mechanism, bank funding transfer pricing, stability of clearing agencies and tail risk. Before joining the Bank, Xiangjin worked as a Senior Manager in the Global Risk Management department at the Bank of Nova Scotia. Xiangjin received her PHD in Economics from the Rutgers University.

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Xiangjin Shen

Senior Economist
Financial Stability
Financial Institutions

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

Modelling the Macrofinancial Effects of a House Price Correction in Canada

We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.
November 14, 2018

Financial System Resilience and House Price Corrections

We use models to better understand and assess how risks could affect the financial system. In our hypothetical scenario, a house price correction and elevated financial stress weigh on the economy. An increased number of households and businesses have difficulty repaying loans. Nonetheless, the large banks remain resilient.

Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement

Staff Working Paper 2018-21 Elena Goldman, Xiangjin Shen
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.

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Other

Refereed journals

  • "Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models"
    (with Hiroki Tsurumi), Communications in Statistics - Theory and Methods, 2013, 42(9):1599-1617.
  • "Does Aggregate School-Wide Achievement Mediate 5th Grade Outcome for Former Early Childhood Education Participants?"
    (with Stephanie Curenton and Nianbo Dong), Developmental Psychology, 2015, 51(7):921-934.

Education

  • Ph.D. Economics, Rutgers University, USA
  • MSc. Statistics, University of New Mexico, USA

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