Financial Markets

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Financial Markets

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.

I am currently working on a novel way to break down stock market risk using a new statistical tool that I propose to the field, labeled as Inter Quantile Semivariances-IQS. IQS generalize the concept of semivariances and I show that employing them to mitigate the downside risk of a given financial portfolio leads to superior economic performance, both in terms of risk and return. IQS also allow for better forecast and pricing.

Working Papers

“Scaling down downside risk with inter quantile semivariances”, comments are welcome!

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

“Together forever? Good and bad market volatility shocks and international consumption risk-sharing: A tale of a sign” (with Helena Chuliá) comments are welcome! Slides IFABS 2018

“Time-Varying momentum and economic uncertainty regimes”. Draft available upon request. Slides UB-workshop

“The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions”, (with Juan S. Holguín). Draft available upon request. R&R

fig1-001Publications (selected)

“Currency downside risk, liquidity, and financial stability” (with Helena Chuliá and Julián Fernández). Journal of International Money and Finance. 89:83-102,2018 Slides FF-17

“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

“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