My topics are international finance, empirical asset pricing, liquidity, systemic uncertainty measurement and its effects on financial markets.
“Analyzing the nonlinear pricing of liquidity risk according to the market state” (with Chuliá H. and Koser C.) Finance Research Letters, forthcoming
“Uncovering the time-varying causality between volatility and commonality in liquidity” (with Chuliá H. and Koser C.) International Review of Financial Analysis 69, forthcoming
“The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions” (with Holguín J.S.) Empirical Economics, forthcoming
“Giving and receiving: exploring the predictive causality between oil prices and exchange rates” (with Gomez-Gonzalez J.E. and Hirs-Garzon J.) International Finance, 2020, 23(1): 175-194
“Currency downside risk, liquidity, and financial stability” ” (with Chuliá, H. and J. Fernández) Journal of International Money and Finance, 2018, 89: 83-102 Slides FF-17
“Risk synchronization in international stock markets” (with Chuliá, H. and A. Pinchao) Global Economic Review, 2018, 47(2): 135-150
“Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” (with Chuliá, H. and M. Guillén) Journal of International Financial Markets, Institutions & Money, 2017, 50: 52-68 Slides IFABS-16.
“Spillovers from the United States to Latin American and G7 stock markets: A VAR-Quantile analysis” (with Chuliá H. and Guillén M.) Emerging Markets Review, 2017, 31:32-46 Slides EFMA-16
“Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach” (with Chuliá, H., Gupta, R. and M. Wohar) Journal of International Financial Markets, Institutions & Money, 48: 178-191