My work on financial markets adds to the resolution of questions related to risk spillovers across different markets and different asset classes, and also regarding the determinants of stock prices, including macroeconomic uncertainty and market liquidity.
I emphasize the importance of considering the propagation of shocks at different fragments and moments of the price and return distributions, on top of the well-studied variance and mean propagation.
“Scaling down downside risk with inter quantile semivariances”, comments are welcome!
“Together forever? Good and bad market volatility shocks and international consumption risk-sharing: A tale of a sign” (with Helena Chuliá) Slides IFABS 2018
“Uncovering the time-varying causality between volatility and commonality in liquidity” International Review of Financial Analysis 2020
“The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions” Empirical Economics 2020
“Currency downside risk, liquidity, and financial stability” Journal of International Money and Finance 2018 Slides FF-17
“Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” Journal of International Financial Markets, Institutions & Money 2018 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 Slides EFMA-16