Details about Ching-Wai (Jeremy) Chiu

Access statistics for papers by Ching-Wai (Jeremy) Chiu.

Last updated 2022-07-20. Update your information in the RePEc Author Service.

Short-id: pch1449

Working Papers

2018

1. A new approach for detecting shifts in forecast accuracy
   Bank of England working papers, Bank of England

2017

2. A financial stress index for the United Kingdom
   Bank of England working papers, Bank of England View citations (8)

2016

3. Does partisan conflict impact the cash holdings of firms? A sign restrictions approach
   Bank of England working papers, Bank of England View citations (2)
4. Financial market volatility, macroeconomic fundamentals and investor sentiment
   Bank of England working papers, Bank of England View citations (3)
5. Macroeconomic tail events with non-linear Bayesian VARs
   Bank of England working papers, Bank of England View citations (5)
6. Nonlinearities of mortgage spreads over the business cycles
   Bank of England working papers, Bank of England View citations (1)
7. VAR Models with Non-Gaussian Shocks
   CReMFi Discussion Papers, CReMFi, School of Economics and Finance, QMUL
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (2)
   Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (3)

2015

8. Forecasting with VAR Models: Fat Tails and Stochastic Volatility
   CReMFi Discussion Papers, CReMFi, School of Economics and Finance, QMUL View citations (11)
   Also in Bank of England working papers, Bank of England (2015) View citations (11)
   See also Journal Article Forecasting with VAR models: Fat tails and stochastic volatility, International Journal of Forecasting, Elsevier (2017) View citations (71) (2017)
9. The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation
   Bank of England working papers, Bank of England View citations (5)
   See also Journal Article The Rate Elasticity of Retail Deposits in the United Kingdom: A Macroeconomic Investigation, International Journal of Central Banking, International Journal of Central Banking (2018) View citations (6) (2018)

2014

10. Fat-tails in VAR Models
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (8)

2011

11. Estimating VAR's sampled at mixed or irregular spaced frequencies: a Bayesian approach
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (31)
    See also Journal Article Bayesian Mixed Frequency VARs, Journal of Financial Econometrics, Oxford University Press (2015) View citations (60) (2015)

Journal Articles

2018

1. How important are global geopolitical risks to emerging countries?
   International Economics, 2018, 156, (C), 305-325 View citations (84)
   Also in International Economics, 2018, (156), 305-325 (2018) View citations (82)
2. Partisan conflict, policy uncertainty and aggregate corporate cash holdings
   Journal of Macroeconomics, 2018, 58, (C), 78-90 View citations (14)
3. The Rate Elasticity of Retail Deposits in the United Kingdom: A Macroeconomic Investigation
   International Journal of Central Banking, 2018, 14, (2), 113-158 View citations (6)
   See also Working Paper The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation, Bank of England working papers (2015) View citations (5) (2015)

2017

4. Forecasting with VAR models: Fat tails and stochastic volatility
   International Journal of Forecasting, 2017, 33, (4), 1124-1143 View citations (71)
   See also Working Paper Forecasting with VAR Models: Fat Tails and Stochastic Volatility, CReMFi Discussion Papers (2015) View citations (11) (2015)

2016

5. Does US partisan conflict matter for the Euro area?
   Economics Letters, 2016, 138, (C), 64-67 View citations (37)

2015

6. Bayesian Mixed Frequency VARs
   Journal of Financial Econometrics, 2015, 13, (3), 698-721 View citations (60)
   See also Working Paper Estimating VAR's sampled at mixed or irregular spaced frequencies: a Bayesian approach, Research Working Paper (2011) View citations (31) (2011)

2014

7. A macroeconomic investigation of funding liquidity and monetary policy shocks in the United States
   Applied Economics Letters, 2014, 21, (8), 517-521 View citations (2)