Working Papers

  1. Chen, Chaoyi, Mehmet Pinar, and Thanasis Stengos. 2026. “Kink Threshold Regression with Two Threshold Variables”. Online Appendix.

  2. Chen, Chaoyi, Elena Pesavento, and Balázs Vonnák. 2026. “Estimator Averaging of Local Projection and VAR Impulse Response”. Under revision at Journal of Applied Econometrics

  3. Chen, Chaoyi, Yiguo Sun, and Jianhan Zhang. 2026. “Nonparametric Estimation and Testing of Heterogeneous Nonlinear Temperature–Yield Relationships”.

Refereed Publications

Econometric Methods

  1. Zhang, Jianhan, Chaoyi Chen, Yiguo Sun, and Thanasis Stengos. 2025. Endogenous Kink Threshold Regression. Journal of Business and Economic Statistics, 43(3), 556–567. Working paper version. Separate Online Appendix.

  2. Chen, Chaoyi, and Thanasis Stengos. 2024. Threshold Nonlinearities and the Democracy-Growth Nexus. The Econometrics Journal, 27:3, 412–441. Separate Online Appendix. Replication Code. Early working paper version.

  3. Chen, Chaoyi, Thanasis Stengos, and Jianhan Zhang. 2024. Public Debt and Economic Growth: A Panel Kink Regression Latent Group Structures Approach. Econometrics, 12, 7. Published version (open access).

  4. Chen, Chaoyi, Thanasis Stengos, and Yiguo Sun. 2023. Endogeneity in Semiparametric Threshold Regression Model With Two Threshold Variables. Econometric Reviews, 42:9-10, 758-779. Separate Online Appendix. Replication Code. Early working paper version.

  5. Chen, Chaoyi, and Thanasis Stengos. 2022. Estimation and Inference for the Threshold Model with Hybrid Stochastic Local Unit Root Regressors. Journal of Risk and Financial Management, 15, 242. (Special Issue: A Commemorative Issue in Honor of Professor Michael McAleer, 1951–2021) Published version (open access).

  6. Chen, Chaoyi, and Yiguo Sun. 2018. Monte Carlo Comparison for Nonparametric Threshold Estimators. Journal of Risk and Financial Management, 11, 49.  (Special Issue: Nonparametric Econometric Methods and Application) Published version (open access).

Applied Econometrics

  1. Chen, Chaoyi, Mehmet Pinar. 2026. “Can Uncertainty Be Green? Renewable Energy, Trade Openness, and Institutional Quality Shape Environmental Sustainability Across Uncertainty Regimes”. Sustainable Development. Forthcoming. Published version (open access). Replication Code. [Environment / Energy]

  2. Fatouros, Nikos, Chaoyi Chen. 2026. “Natural Disasters, Consumption and Climate Change Nexus: The Role of Green Technologies”. Studies in Nonlinear Dynamics & Econometrics. Forthcoming. Working paper version. Replication Code. [Macro / Climate]

  3. Chen, Chaoyi, Pókász Zoltán. 2026. “Economic Growth and Financial Depth: Role of Institutional Quality”. Empirical Economics, 70, 7. Working paper version. [Growth / Finance]

  4. Chen, Chaoyi, Yiguo Sun, and Yao Rao. 2026. Threshold MIDAS Modeling of Canadian Inflation Rate. Journal of Forecasting, 45:2, 749–769. Published version (open access). [Macro / Forecasting]

  5. Chen, Chaoyi, Mehmet Pinar, and Rocío Román-Collado. 2024. Green Innovation and Energy Efficiency: Moderating Effect of Institutional Quality Based on the Threshold Model. Environmental and Resource Economics, 87, 3063–3094. Published version (open access). [Environment / Energy]

  6. Chen, Chaoyi, Mehmet Pinar, and Thanasis Stengos. 2023. Bribery, Regulation and Firm Performance: Evidence From a Threshold Model. Empirical Economics, 66, 405-430. Published version (open access). [Firms / Development]

  7. Chen, Chaoyi, Nikolay Gospodinov, Alex Maynard, and Elena Pesavento. 2022. Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections. Journal of Empirical Finance, 68, 190-215. Working paper version. Additional Online Appendix. [Finance / Forecasting]

  8. Chen, Chaoyi, Mehmet Pinar, and Thanasis Stengos. 2022. Renewable Energy, Economic Growth and CO2 Emissions: New Evidence with the Panel Threshold Model. Renewable Energy, 194, 117-128. [Environment / Energy]

  9. Chen, Chaoyi, Mehmet Pinar, and Thanasis Stengos. 2021. Determinants of Renewable Energy Consumption: Importance of Democratic Institutions. Renewable Energy, 179, 75-83. [Environment / Energy]

  10. Chen, Chaoyi, Mehmet Pinar, and Thanasis Stengos. 2020. Renewable Energy Consumption and Economic Growth Nexus: Evidence from a Threshold Model. Energy Policy, 139, 111295. [Environment / Energy]

  11. Chen, Chaoyi, Michael Polemis, and Thanasis Stengos. 2020. Re-examining the Asymmetric Gasoline Pricing Mechanism in EU: a Note on a Panel Threshold Analysis. Applied Economics Letters, 27:10, 778-783. [Energy / Industrial Organization]

  12. Chen, Chaoyi, Michael Polemis, and Thanasis Stengos. 2019. Can Exchange Rate Pass-Through Explain the Asymmetric Gasoline Puzzle? Evidence from a Pooled Panel Threshold Analysis of the EU. Energy Economics, 81, 1-12. [Energy / International Macro]

  13. Chen, Chaoyi, Michael Polemis, and Thanasis Stengos. 2018. On the Examination of Non-linear Relationship between Market Structure and Performance in the US Manufacturing Industry. Economics Letters, 164, 1-4. [Industrial Organization]

BOOK CHAPTERS

  1. Chen, Chaoyi, Oliver Nagy, and Gabor Neszveda. 2025. "COVID-19 Pandemic and Stock Volatility Forecasts: A Comprehensive Evaluation and Comparisons”, Editor(s): Nicholas Apergis, Encyclopedia of Monetary Policy, Financial Markets and Banking (First Edition), Academic Press, 4, 62-78, ISBN 9780443137778. Working paper version.

Policy papers & other publications

  1. Chen, Chaoyi, Tamas Barkó, and Oliver Nagy. 2025. "Inflation and Uncertainty: Evidence from GARCH-MIDAS-in-Mean Modelling", Financial and Economic Review (Hitelintézeti Szemle), 24(3), 52–72, MNB. Published version (open access). Hungarian Version. Reprinted in Chinese special issue

  2. Hu, Bin, Chaoyi Chen, and Yueran Zhang. 2024. “China-Hungary Green Bond Cooperation: A Review and Promising Prospects" Financial and Economic Review (Hitelintézeti Szemle), 23(4), 204–218, MNB. Published version (open access). Hungarian Version. Reprinted in Chinese special issue

Work IN PROGRESS

  1. Chen, Chaoyi, Yao Rao, and Yiguo Sun. “Do Uncertainty Measures Improve Volatility Forecasts? A Threshold GARCH-MIDAS Approach”.

  2. Chen, Chaoyi and Mehmet Pinar. “Beyond Debt-to-GDP: Sovereign Stress Regimes and the Debt–Growth Relationship”.