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I am a Senior Lecturer in Economics at the University of Technology Sydney (UTS). Since 2019, I have been a Research Associate at the Centre for Applied Macroeconomic Analysis at the Australian National University, and since 2022, a core member of the UTS Centre for Climate Risk and Resilience. I became a Foundation Member of the Australian and New Zealand Association of Econometricians in 2024. Before joining UTS, I worked as a Research Economist at the Dutch Central Bank in 2017–2018. I hold a PhD in Econometrics from VU University Amsterdam and the Tinbergen Institute.

Download my CV. 

Research interests: Time series econometrics

  • Nonlinear non-Gaussian state space models (esitmation and forecasting methodologies)
  • Empirical macroeconomics (output gap; inflation dynamics; economic volatility)
  • Climate change (economic costs of climate change; econometrics of energy balance)

Publications

  1. M. Li (2025). A particle-Kalman double filtering method for state space models with superposed latent states. Journal of Financial Econometrics, accepted.
  2. J. Sung, X. Shi, T. Sven, and M. Li (2025). Chinese natural gas phase-out pathways: A novel hybrid scenario-based projection approach to achieve net zero. Energy, 328, p.136387.
  3. M. Li and D. Cummins (2025). Constrain equilibrium climate sensitivity via composite likelihood. Advances in Econometrics, accepted. Online appendix
  4. B. Fu, M. Li, and Q. Haque (2025). Exchange rates, interest parity, and time-varying regressions. Journal of Applied Econometrics 40(3), 310-324. Online appendix
  5. G. Kapoor, N. Wichitaksorn, M. Li and W. Zhang (2025). Forecasting half-hourly electricity prices using a mixed-frequency structural VAR framework. Econometrics 13(1): 2.
  6. M. Li and I. Mendieta-Munoz (2024). Dynamic hysteresis effects. Journal of Economic Dynamics and Control, 163, p.104870. Online appendix
  7. M. Li and M. Scharth (2022). Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. Journal of Business & Economic Statistics 40(1), 285-301. Online appendix
  8. M. Li and S.J. Koopman (2021). Unobserved components with stochastic volatility in U.S. inflation: Estimation and signal extraction. Journal of Applied Econometrics 36(5), 614-627. Online appendix
  9. M. Li and I. Mendieta-Munoz (2021). Bayesian analysis of unobserved components and identification via heteroskedasticity. Studies in Nonlinear Dynamics & Econometrics 26(3), 337-359. Online appendix 
  10. M. Li and I. Mendieta-Munoz (2020). Are long-run output growth rates falling? Metroeconomica 71(1), 204-234. 
  11. M. Li, R. Lit, S.J. Koopman and D. Petrova (2020). Long-term forecasting of El Nino events using dynamic factor simulations. Journal of Econometrics 214(1), 46-66.
  12. P. Gorgi, S.J.Koopman and M. Li (2019). Forecasting economic time series using score-driven models with mixed-data sampling. International Journal of Forecasting 35(4), 1735-1747.

Working papers

  • M. Li and I. Mendieta-Munoz. Unpacking trend inflation: Evidence from a factor correlated unobserved components model of sticky and flexible prices. Under revision.
  • T. Huynh and M. Li. No all temperature shocks are alike: Disentangling climate and weather shocks and their effects on inflation in Australia. Under revision.
  • W. Sijp and M. Li. The effect of nearby listings on house sale price in Sydney: A Bayesian graph Laplacian approach. Under revision.
  • J. Sung, X. Shi, M. Li, and S. Teske. Short- and long-term effects of key drivers in China’s natural gas market. Centre for Climate Risk and Resilience Working Paper: 2024-02.
  • A. Chernulich, M. Li and E. McGinn. Does the Fed say it all? Textual analysis of public communications and private discussions. UTS Business School EDG Working Paper: 2024-01.
  • M. Li and I. Hindrayanto. Looking for the stars: Estimating the natural rate of interest. UTS Business School EDG Working Paper: 2018-51. 

Work in progress

  • A Bayesian graph Laplacian approach with stochastic weights for ultra-dimensional panels with irregular sparsity
  • A Beveridge curve with machine-learned climate coincident indices
  • BE3: a Bayesian reduced-complexity state space model for economy, emission, and energy
  • Dynamically scaled autoregressive models: Estimation and forecasting
  • Business cycle and growth implications of climatic heat stress
  • The short- and long-term effect of global oil shocks on atmospheric CO2 concentration

Grants and awards

  1. 2024 Top Teaching List: Economics (Second Half), UTS Business School, University of Technology Sydney
  2. 2023 UTS Collaboration Scheme ($45,646 AUD)
    Project title: Maximizing energy recovery from wastewater through removing a key barrier for autotrophic nitrogen removal
  3. 2022 UTS Business School Research Grant ($9,951 AUD)
    Project title: Economic implications of climatic heat wave
  4. 2019 Best Paper Award of the INFER Annual Conference ($2,000 USD)
    Paper title: Are long-run output growth rates falling
  5. 2017 Award of the 10th Annual SoFiE Conference ($500 USD)
  6. 2016 Award of 2016 Chicago JSM Conference ($800 USD)

Media engagement

  1. Phillips, H., “Politicking bad for sovereignty of RBA, says economist”. Central News (25 Sep, 2024)

Education:

  • 2013-2018 Ph.D. in Econometrics, VU University Amsterdam and Tinbergen Institute, the Netherlands; Ph.D. committee: Prof. S.J. Koopman; Prof. A. Lucas; Prof. D.J.C. van Dijk; Prof. S.J.G. van Wijnbergen; Prof. C.G.H. Diks; Prof. A. Harvey; Dr. P. Gorgi; Dr. H. Karabiyik
    • Title: Essays on time series models with unobserved components and their applications in applied macroeconomics
  • 2016 Visiting Ph.D., Discipline of Business Analytics, The University of Sydney, Australia
  • 2013-2015 M.Phil. in Economics (cum laude), University of Amsterdam and Tinbergen Institute, the Netherlands
    • Title: Accelerated importance sampling for martingale unobserved components model (supervised by Prof. S.J. Koopman)
  • 2010-2013 B.Sc. in Econometrics and Operations Research (cum laude), Tilburg University, the Netherlands
    • Title: Wisdom of the common: Estimating bid-ask spreads of options via their good-deal bounds (supervised by Prof. Joost Driessen)

Contact

Address:
Economics Discipline Group
University of Technology Sydney
Room CB08.09.016, Building 8, Dr Chau Chak Wing Building
14 – 28 Ultimo Road, Ultimo,  NSW 2007
Sydney, Australia

Email:
Mengheng.Li[at]uts.edu.au

Work phone:
+61(02) 9514 4375