Details about Mohammad Reza Jahan-Parvar

Access statistics for papers by Mohammad Reza Jahan-Parvar.

Last updated 2023-09-26. Update your information in the RePEc Author Service.

Short-id: pja212

Working Papers

2024

1. Foreign economic policy uncertainty and U.S. equity returns
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
2. Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2023

3. The Third SNB-FRB-BIS High-Level Conference on Global Risk, Uncertainty, and Volatility: Monetary Policy and Banking Regulation under Elevated Uncertainty
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2022

4. SONOMA: a Small Open ecoNOmy for MAcrofinance
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2021

5. Firm-specific risk-neutral distributions with options and CDS
   BIS Working Papers, Bank for International Settlements View citations (3)
   See also Journal Article Firm-Specific Risk-Neutral Distributions with Options and CDS, Management Science, INFORMS (2022) (2022)
6. Non-Financial Corporate Credit and Recessions
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
7. 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

8. 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.)
9. What is Certain about Uncertainty?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (18)
   See also Journal Article What Is Certain about Uncertainty?, Journal of Economic Literature, American Economic Association (2023) View citations (14) (2023)

2019

10. 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

11. 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 Does Smooth Ambiguity Matter for Asset Pricing?, The Review of Financial Studies, Society for Financial Studies (2019) View citations (14) (2019)
12. Why Has the Stock Market Risen So Much Since the US Presidential Election?
    Policy Briefs, Peterson Institute for International Economics View citations (6)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2018) View citations (6)

2017

13. 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)
14. Taxonomy of Global Risk, Uncertainty, and Volatility Measures
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (19)

2015

15. 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 (26)
    See also Journal Article Downside Variance Risk Premium, Journal of Financial Econometrics, Oxford University Press (2018) View citations (28) (2018)
16. 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 Institutions and return predictability in oil-exporting countries, The Quarterly Review of Economics and Finance, Elsevier (2019) View citations (1) (2019)
17. 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 Macroeconomic Effects of Banking-Sector Losses across Structural Models, International Journal of Central Banking, International Journal of Central Banking (2019) View citations (14) (2019)
18. Measuring Ambiguity Aversion
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (5)

2013

19. Which Parametric Model for Conditional Skewness?
    Staff Working Papers, Bank of Canada View citations (3)
    See also Journal Article Which parametric model for conditional skewness?, The European Journal of Finance, Taylor & Francis Journals (2016) View citations (20) (2016)

2009

20. 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 An empirical investigation of stock market behavior in the Middle East and North Africa, Journal of Empirical Finance, Elsevier (2010) View citations (34) (2010)
21. Equity Price Bubbles in the Middle Eastern and North African Financial Markets
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Equity price bubbles in the Middle Eastern and North African Financial markets, Emerging Markets Review, Elsevier (2010) View citations (13) (2010)
22. Equity Returns and Business Cycles in Small Open Economies
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Equity Returns and Business Cycles in Small Open Economies, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (3) (2013)
23. US Industry-Level Returns and Oil Prices
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article U.S. industry-level returns and oil prices, International Review of Economics & Finance, Elsevier (2012) View citations (31) (2012)

2008

24. Flood Insurance Coverage in the Coastal Zone
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Flood Insurance Coverage in the Coastal Zone, Journal of Risk & Insurance, The American Risk and Insurance Association (2011) View citations (42) (2011)
25. 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 Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach, Journal of Developing Areas, Tennessee State University, College of Business (2011) View citations (13) (2011)

Journal Articles

2023

1. What Is Certain about Uncertainty?
   Journal of Economic Literature, 2023, 61, (2), 624-54 View citations (14)
   See also Working Paper What is Certain about Uncertainty?, International Finance Discussion Papers (2020) View citations (18) (2020)

2022

2. Firm-Specific Risk-Neutral Distributions with Options and CDS
   Management Science, 2022, 68, (9), 7018-7033
   See also Working Paper Firm-specific risk-neutral distributions with options and CDS, BIS Working Papers (2021) View citations (3) (2021)

2021

3. The impact of financial sanctions: The case of Iran
   Journal of Policy Modeling, 2021, 43, (3), 601-621 View citations (10)

2019

4. Does Smooth Ambiguity Matter for Asset Pricing?
   The Review of Financial Studies, 2019, 32, (9), 3617-3666 View citations (14)
   See also Working Paper Does Smooth Ambiguity Matter for Asset Pricing?, International Finance Discussion Papers (2018) View citations (2) (2018)
5. 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 Institutions and return predictability in oil-exporting countries, Finance and Economics Discussion Series (2015) View citations (1) (2015)
6. Macroeconomic Effects of Banking-Sector Losses across Structural Models
   International Journal of Central Banking, 2019, 15, (3), 137-204 View citations (14)
   See also Working Paper Macroeconomic Effects of Banking Sector Losses across Structural Models, Finance and Economics Discussion Series (2015) View citations (10) (2015)

2018

7. 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 (4)
8. Downside Variance Risk Premium
   Journal of Financial Econometrics, 2018, 16, (3), 341-383 View citations (28)
   See also Working Paper Downside Variance Risk Premium, Finance and Economics Discussion Series (2015) View citations (11) (2015)

2016

9. Which parametric model for conditional skewness?
   The European Journal of Finance, 2016, 22, (13), 1237-1271 View citations (20)
   See also Working Paper Which Parametric Model for Conditional Skewness?, Staff Working Papers (2013) View citations (3) (2013)

2014

10. Ambiguity Aversion and Asset Prices in Production Economies
    The Review of Financial Studies, 2014, 27, (10), 3060-3097 View citations (38)
11. Risk–return trade-off in the pacific basin equity markets
    Emerging Markets Review, 2014, 18, (C), 123-140 View citations (6)

2013

12. Equity Returns and Business Cycles in Small Open Economies
    Journal of Money, Credit and Banking, 2013, 45, (6), 1117-1146 View citations (3)
    Also in Journal of Money, Credit and Banking, 2013, 45, (6), 1117-1146 (2013) View citations (10)
    See also Working Paper Equity Returns and Business Cycles in Small Open Economies, MPRA Paper (2009) View citations (2) (2009)
13. Modeling Market Downside Volatility
    Review of Finance, 2013, 17, (1), 443-481 View citations (52)
14. Risk and return in the Tehran stock exchange
    The Quarterly Review of Economics and Finance, 2013, 53, (3), 238-256 View citations (10)

2012

15. 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 (42)
16. U.S. industry-level returns and oil prices
    International Review of Economics & Finance, 2012, 22, (1), 112-128 View citations (31)
    See also Working Paper US Industry-Level Returns and Oil Prices, MPRA Paper (2009) View citations (1) (2009)

2011

17. Flood Insurance Coverage in the Coastal Zone
    Journal of Risk & Insurance, 2011, 78, (2), 361-388 View citations (42)
    See also Working Paper Flood Insurance Coverage in the Coastal Zone, MPRA Paper (2008) (2008)
18. 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 (13)
    See also Working Paper Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach, MPRA Paper (2008) View citations (17) (2008)

2010

19. 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 (34)
    See also Working Paper An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa, MPRA Paper (2009) View citations (9) (2009)
20. 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 Equity Price Bubbles in the Middle Eastern and North African Financial Markets, MPRA Paper (2009) (2009)

2009

21. Oil prices and competitiveness: time series evidence from six oil‐producing countries
    Journal of Economic Studies, 2009, 36, (1), 98-118 View citations (4)