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Shuping Shi

  • Title: Dr
  • Position: Associate Professor - Department of Economics
  • Qualifications: Ph.D. (ANU)

Contact Details

Profile

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.

Awards

  • 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

Publications

Refereed Journal Articles

  1. Phillips, P., and Shi, S. (conditional acceptance 17-Nov-2016). Financial Bubble Implosion, Econometric Theory.
  2. 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.
  3. 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.
  4. Arora, V. and Shi, S. (2016) Energy Consumption and Economic Growth in the United States, Applied Economics, 48: 3763 – 3773.
  5. Arora, V. and Shi, S. (2016). Nonlinearities and Tests of Asset Price Bubbles, Empirical Economics, 50 (4): 1421 – 1433.
  6. Shi, S., & Song, Y. (2016). Identifying Speculative Bubbles with an Infinite Hidden Markov Model, Journal of Financial Econometrics, 14(1): 159 – 184.
  7. 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.
  8. Phillips, P., Shi, S., & Yu, J. (2015). Testing for Multiple Bubbles: Limit Theory of Dating Algorithms, International Economic Review, 56 (4), 1079 – 1134.
  9. 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.
  10. Shi, S. (2013). Specification Sensitivities in the Markov-switching Unit Root Test for Bubbles. Empirical Economics, 45(2), 697-713.
  11. 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.
  12. Shi, S. & Arora, V. (2012). An Application of Models of Speculative Behaviour to Oil Prices. Economics Letters, 115 (3), 469-472.

Working papers

  1. Hurn, S., Phillips, P., and Shi, S. (2016). Change Detection and the Causal Impact of the Yield Curve, Revised and resubmit.
  2. Shi, S., Hurn, S., and Phillips, P. (2016). Detection of Causality Changes in Possibly Integrated Systems: Revisiting the Money-Income Relationship, Submitted.
  3. Shi, S. (2016). Speculative Bubbles or Market Fundamental? An Investigation of US Regional Housing Markets, Submitted.
  4. Milunovich, G., Shi, S., & Tan, D. (2016). Bubble Detections and Sector Trading in Real Time, Submitted.
  5. 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.