- Title: Dr
- Position: Associate Professor - Department of Economics
- Qualifications: Ph.D. (ANU)
Areas of expertise
Time Series Analysis, Financial Econometrics, Bubbles and Crises
External Research Grants
- Discovery Project Research grant (2015-2017) from the Australian Research Council ($404,700) with Stan Hurn, Peter C.B. Phillips, and Mardi Dungey. Title of research: Change Detection in Causal Relationships and Measurement of Systemic Risk.
- Research grant (2011) from the National Computational Infrastructure. Title of research: Bootstrapping Markov-Switching Models.
- 2009 FIRN Exchange Program Scholarship to Singapore Management University. Project Title: Econometric Methods for Date-Stamping Financial Bubbles. Amount Awarded: $3,040
- 2009 Travel Scholarship from FIRN to attend the Workshop on Time Series Econometrics.
- 2009 Travel Scholarship from the Economic Design Network to attend their annual Winter School on Money and Pricing.
- 2008 & 2009 Travel Scholarship from Financial Integrity Research Network to attend their Master Class on Market Micro Structure, Asset Pricing, Banking and Financial Regulation, Behavioral Finance and Stochastic Volatility.
- 2015 Faculty Learning and Teaching Award, Faculty of Business and Economics, Macquarie University
- 2014 Early Career Research Excellence Award, Faculty of Business and Economics, Macquarie University
- 2011 Summer Camp Best Paper Award, the College of Business and Economics, the Australian National University.
- 2009 FIRN Best Paper Award
- 2005 Awarded Excellent Undergraduate Thesis of Hubei Province, China
Refereed Journal Articles
- Phillips, P., and Shi, S. (conditional acceptance 17-Nov-2016). Financial Bubble Implosion, Econometric Theory.
- Clements, A., Hurn, S., and Shi, S. (in press, accepted 15-Dec-2016). An Empirical Investigation of Herding in the U.S. Stock Market, Economic Modelling.
- Shi, S., Valadkhani, A., Smyth, R. and Vahid, F. (in press, accepted 11-May-2016). Dating the Timeline of House Price Bubbles in Australian Capital Cities, Economic Record.
- Arora, V. and Shi, S. (2016) Energy Consumption and Economic Growth in the United States, Applied Economics, 48: 3763 – 3773.
- Arora, V. and Shi, S. (2016). Nonlinearities and Tests of Asset Price Bubbles, Empirical Economics, 50 (4): 1421 – 1433.
- Shi, S., & Song, Y. (2016). Identifying Speculative Bubbles with an Infinite Hidden Markov Model, Journal of Financial Econometrics, 14(1): 159 – 184.
- Phillips, P., Shi, S., and Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. International Economic Review, 56 (4), 1043 – 1078.
- Phillips, P., Shi, S., & Yu, J. (2015). Testing for Multiple Bubbles: Limit Theory of Dating Algorithms, International Economic Review, 56 (4), 1079 – 1134.
- Phillips, P., Shi, S., & Yu, J. (2014). Specification Sensitivity in Right-tailed Unit Root Testing for Explosive Behaviour. Oxford Bulletin of Economics and Statistics, 76 (3), 315 – 333.
- Shi, S. (2013). Specification Sensitivities in the Markov-switching Unit Root Test for Bubbles. Empirical Economics, 45(2), 697-713.
- Arora, V., Gomis-Porqueras, P., & Shi, S. (2013). The Divergence between Core and Headline Inflation: Implications for Consumer's Inflation Expectations. Journal of Macroeconomics, 38 (Part B), 497-504.
- Shi, S. & Arora, V. (2012). An Application of Models of Speculative Behaviour to Oil Prices. Economics Letters, 115 (3), 469-472.
- Hurn, S., Phillips, P., and Shi, S. (2016). Change Detection and the Causal Impact of the Yield Curve, Revised and resubmit.
- Shi, S., Hurn, S., and Phillips, P. (2016). Detection of Causality Changes in Possibly Integrated Systems: Revisiting the Money-Income Relationship, Submitted.
- Shi, S. (2016). Speculative Bubbles or Market Fundamental? An Investigation of US Regional Housing Markets, Submitted.
- Milunovich, G., Shi, S., & Tan, D. (2016). Bubble Detections and Sector Trading in Real Time, Submitted.
- Joyeux, R., Shi, S, & Girardin, E. (2016). Did Bubbles Migrate from the Stock to the Housing Market in China between 2005 and 2010, Revised and resubmit.