Financial Markets

Fig_WP

Working Papers

“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). Revised and resubmitted to Empirical Economics.

“Currency downside risk, liquidity, and financial stability” (with Helena Chuliá and Julián Fernández). Submitted. Slides FF-17

 

fig1-001Publications

“Risk Synchronization in International Stock Markets” (with Chuliá, H. and Pinchao, A.) Global Economic Review. Accepted.

“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.