Details about Mohammad Reza Jahan-Parvar

Access statistics for papers by Mohammad Reza Jahan-Parvar.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pja212

Working Papers

2022

1. SONOMA: a Small Open ecoNOmy for MAcrofinance
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)

2021

2. Firm-specific risk-neutral distributions with options and CDS
   BIS Working Papers, Bank for International Settlements View citations (3)
3. Non-Financial Corporate Credit and Recessions
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
4. Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2020

5. The Impact of Financial Sanctions: The Case of Iran 2011-2016
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
6. What is Certain about Uncertainty?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (17)

2019

7. When do low-frequency measures really measure transaction costs?
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2018

8. Does Smooth Ambiguity Matter for Asset Pricing?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
   See also Journal Article in Review of Financial Studies (2019)
9. Why Has the Stock Market Risen So Much Since the US Presidential Election?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
   Also in Policy Briefs, Peterson Institute for International Economics (2018) View citations (6)

2017

10. Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
11. Taxonomy of Global Risk, Uncertainty, and Volatility Measures
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (15)

2015

12. Downside Variance Risk Premium
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
    Also in Staff Working Papers, Bank of Canada (2015) View citations (25)
    See also Journal Article in The Journal of Financial Econometrics (2018)
13. Institutions and return predictability in oil-exporting countries
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article in The Quarterly Review of Economics and Finance (2019)
14. Macroeconomic Effects of Banking Sector Losses across Structural Models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (10)
    Also in BIS Working Papers, Bank for International Settlements (2015) View citations (18)
    See also Journal Article in International Journal of Central Banking (2019)
15. Measuring Ambiguity Aversion
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2013

16. Which Parametric Model for Conditional Skewness?
    Staff Working Papers, Bank of Canada View citations (3)
    See also Journal Article in The European Journal of Finance (2016)

2009

17. An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
    MPRA Paper, University Library of Munich, Germany View citations (9)
    See also Journal Article in Journal of Empirical Finance (2010)
18. Equity Price Bubbles in the Middle Eastern and North African Financial Markets
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Emerging Markets Review (2010)
19. Equity Returns and Business Cycles in Small Open Economies
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (2013)
20. US Industry-Level Returns and Oil Prices
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article in International Review of Economics & Finance (2012)

2008

21. Flood Insurance Coverage in the Coastal Zone
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Journal of Risk & Insurance (2011)
22. Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach
    MPRA Paper, University Library of Munich, Germany View citations (17)
    See also Journal Article in Journal of Developing Areas (2011)

Journal Articles

2021

1. The impact of financial sanctions: The case of Iran
   Journal of Policy Modeling, 2021, 43, (3), 601-621 View citations (5)

2019

2. Does Smooth Ambiguity Matter for Asset Pricing?
   Review of Financial Studies, 2019, 32, (9), 3617-3666 View citations (8)
   See also Working Paper (2018)
3. Institutions and return predictability in oil-exporting countries
   The Quarterly Review of Economics and Finance, 2019, 71, (C), 14-26 View citations (1)
   See also Working Paper (2015)
4. Macroeconomic Effects of Banking-Sector Losses across Structural Models
   International Journal of Central Banking, 2019, 15, (3), 137-204 View citations (12)
   See also Working Paper (2015)

2018

5. A year of rising dangerously? The U.S. stock market performance in the aftermath of the presidential election
   Journal of Policy Modeling, 2018, 40, (3), 489-502 View citations (3)
6. Downside Variance Risk Premium
   The Journal of Financial Econometrics, 2018, 16, (3), 341-383 View citations (22)
   See also Working Paper (2015)

2016

7. Which parametric model for conditional skewness?
   The European Journal of Finance, 2016, 22, (13), 1237-1271 View citations (11)
   See also Working Paper (2013)

2014

8. Ambiguity Aversion and Asset Prices in Production Economies
   Review of Financial Studies, 2014, 27, (10), 3060-3097 View citations (28)
9. Risk–return trade-off in the pacific basin equity markets
   Emerging Markets Review, 2014, 18, (C), 123-140 View citations (6)

2013

10. Equity Returns and Business Cycles in Small Open Economies
    Journal of Money, Credit and Banking, 2013, 45, (6), 1117-1146 View citations (8)
    Also in Journal of Money, Credit and Banking, 2013, 45, (6), 1117-1146 (2013) View citations (1)
    See also Working Paper (2009)
11. Modeling Market Downside Volatility
    Review of Finance, 2013, 17, (1), 443-481 View citations (48)
12. Risk and return in the Tehran stock exchange
    The Quarterly Review of Economics and Finance, 2013, 53, (3), 238-256 View citations (10)

2012

13. Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models
    Journal of Economics and Finance, 2012, 36, (3), 766-779 View citations (35)
14. U.S. industry-level returns and oil prices
    International Review of Economics & Finance, 2012, 22, (1), 112-128 View citations (30)
    See also Working Paper (2009)

2011

15. Flood Insurance Coverage in the Coastal Zone
    Journal of Risk & Insurance, 2011, 78, (2), 361-388 View citations (38)
    See also Working Paper (2008)
16. Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach
    Journal of Developing Areas, 2011, 45, (1), 313-322 View citations (10)
    See also Working Paper (2008)

2010

17. An empirical investigation of stock market behavior in the Middle East and North Africa
    Journal of Empirical Finance, 2010, 17, (3), 413-427 View citations (32)
    See also Working Paper (2009)
18. Equity price bubbles in the Middle Eastern and North African Financial markets
    Emerging Markets Review, 2010, 11, (1), 39-48 View citations (13)
    See also Working Paper (2009)