Zhiruo (Rachel) Zhang

Zhiruo (Rachel) Zhang

Ph.D. Candidate in Economics and Econometrics at The University of Adelaide

CV

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Graduate Studies

The University of Adelaide
Ph.D. Candidate in Economics and Econometrics, 2022–present
Expected completion: June 2026

Prior Education

Monash University, Australia (July 2016 – July 2021)

Fields of Interest

Job Market Paper

“Adaptive Bayesian Shrinkage of High-Dimensional Panel VARs.” 2025
With Firmin Doko Tchatoka and Qazi Haque

This paper develops a Bayesian framework for estimating high-dimensional panel vector autoregressions (PVARs). We propose a novel approach that combines Bayesian shrinkage with adaptive variable selection to effectively tackle over-parameterization and sparsity common in high-dimensional panels. Using Laplace-based spike-and-slab priors on model coefficients, the framework flexibly captures both cross-sectional interdependencies and unit-specific heterogeneity, offering a powerful and robust tool for structured inference.

Monte Carlo simulations demonstrate that our method outperforms existing regularization techniques in terms of estimation accuracy and forecasting performance. Empirically, the framework uncovers asymmetric financial contagion within euro area sovereign bond markets and produces stable, reliable forecasts across a multi-country macroeconomic panel. These findings highlight the effectiveness of adaptive shrinkage in modeling heterogeneous and evolving linkages within complex panel data systems.

Working Papers

“Bayesian Network Estimation for High-Dimensional Panel VARs.” 2025
With Firmin Doko Tchatoka and Qazi Haque

This paper develops a Bayesian Graphical Network Lasso to estimate sparse precision matrices in high-dimensional PVAR models with exogenous variables (PVARX). By directly targeting the inverse error covariance matrix, the method identifies contemporaneous conditional dependencies across macroeconomic units in a structure-aware and order-invariant way. We incorporate both adaptive and non-adaptive shrinkage priors, offering flexibility in modeling heterogeneous sparsity patterns.

Monte Carlo simulations show strong performance in recovering the underlying graphical structure. In an empirical application, we analyze the global transmission of natural disaster shocks across high-income economies, uncovering a sparse but economically meaningful network of international macroeconomic spillovers.

Selected Work in Progress

“Beyond Group Shrinkage Toward Hierarchical Selection in Panel VAR.”
With Firmin Doko Tchatoka and Qazi Haque.

Teaching Experience

Tutor, The University of Adelaide

Other Teaching Assistant Roles

Professional Activities

Conference Presentations (including scheduled)

Seminar Presentations

Scholarships and Grants

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