Financial Markets

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Working Papers

“Uncovering the time-varying causality between volatility and commonality in liquidity” (with Christoph Koser and Helena Chuliá).

“Together forever? Good and bad market volatility shocks and international consumption risk-sharing: A tale of a sign” (with Helena Chuliá) comments and very welcome!

“Momentum uncertainties”. Submitted. I have presented former versions of this paper at EFMA 2017, Finance Forum 2017, AFFI 2017, the PiF seminar at HSG -Oct. 24 -2017, and the PhD Workshop at UB School of Economics-Nov. 29-2017. Slides UB-workshop

“The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions”, (with Juan S. Holguín). R&R to Empirical Economics.

“Currency downside risk, liquidity, and financial stability” (with Helena Chuliá and Julián Fernández). Invited to R&R to the Journal of International Money and Finance. Slides FF-17

 

fig1-001Publications

“Risk Synchronization in International Stock Markets” (with Chuliá, H. and Pinchao, A.) Global Economic Review. 47:135-150,2018

“Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?”  (with Chuliá H. and Guillén M.) Journal of International Financial Markets, Institutions & Money. 50: 52-68, 2017. 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, 31: 32-46, 2017. 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 Wohar M.)  Journal of International Financial Markets, Institutions & Money48178-191, 2017.

“Measuring Uncertainty in the Stock Market” (with Chuliá H. and Guillén M.) International Review of Economics and Finance4818-33, 2017. Download daily uncertainty index. Slides EFMA-15

“A Comparative Analysis of Stock Market Cycles” (with Mosquera S.) Macroeconomics and Finance in Emerging Market Economies, 9: 241-261, 2016.