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Details about Jason Wu

E-mail:
Homepage:https://sites.google.com/site/jasonwuresearch
Workplace:Hong Kong Monetary Authority, (more information at EDIRC)

Access statistics for papers by Jason Wu.

Last updated 2019-09-01. Update your information in the RePEc Author Service.

Short-id: pwu64


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Working Papers

2020

  1. Monetary Policy Uncertainty and Monetary Policy Surprises
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)

2018

  1. Monetary Policy Surprises and Monetary Policy Uncertainty
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)

2017

  1. Trading Activities at Systemically Important Banks, Part 1: Recent Trends in Trading Performance
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
  2. Trading Activities at Systemically Important Banks, Part 2: What Happened during Recent Risk Events?
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  3. Trading Activities at Systemically Important Banks, Part 3: What Drives Trading Performance?
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

2013

  1. Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (15)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2013) Downloads View citations (8)
  2. International Trade Price Stickiness and Exchange Rate and Pass-Through in Micro Data: A Case Study on US-China Trade
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (8)
  3. International trade price stickiness and exchange rate pass-through in micro data: a case study on U.S.–China trade
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads View citations (11)

2011

  1. Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
  2. Dynamic factor value-at-risk for large, heteroskedastic portfolios
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)
    See also Journal Article Dynamic factor Value-at-Risk for large heteroskedastic portfolios, Journal of Banking & Finance, Elsevier (2013) Downloads View citations (17) (2013)

2009

  1. Can long-horizon forecasts beat the random walk under the Engel-West explanation?
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads View citations (5)
  2. The Taylor rule and forecast intervals for exchange rates
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2008) Downloads View citations (7)

    See also Journal Article The Taylor Rule and Forecast Intervals for Exchange Rates, Journal of Money, Credit and Banking, Blackwell Publishing (2012) Downloads View citations (38) (2012)

2008

  1. Can Long Horizon Data Beat Random Walk under Engel-West Explanation?
    2008 Meeting Papers, Society for Economic Dynamics View citations (2)

Journal Articles

2013

  1. A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis
    Journal of Time Series Econometrics, 2013, 5, (2), 163-192 Downloads View citations (2)
  2. Dynamic factor Value-at-Risk for large heteroskedastic portfolios
    Journal of Banking & Finance, 2013, 37, (11), 4299-4309 Downloads View citations (17)
    See also Working Paper Dynamic factor value-at-risk for large, heteroskedastic portfolios, Finance and Economics Discussion Series (2011) Downloads View citations (9) (2011)
  3. The Impact of the 2007 Liquidity Shock on Bank Jumbo Mortgage Lending
    Journal of Money, Credit and Banking, 2013, 45, 59-91 Downloads View citations (22)

2012

  1. Semiparametric forecast intervals
    Journal of Forecasting, 2012, 31, (3), 189-228 View citations (4)
  2. The Taylor Rule and Forecast Intervals for Exchange Rates
    Journal of Money, Credit and Banking, 2012, 44, (1), 103-144 Downloads View citations (38)
    See also Working Paper The Taylor rule and forecast intervals for exchange rates, International Finance Discussion Papers (2009) Downloads (2009)
 
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