International Monetary Fund

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Refereed Articles

1. The Taylor rule and forecast intervals for exchange rates (with Jian Wang), Journal of Money, Credit, and Banking, 44(1), February 2012, 103-144

2. Semiparametric forecast intervals, Journal of Forecasting, 31(3), April 2012, 189-228

 3. The impact of the 2007 liquidity shock on bank jumbo mortgage lending (with Paul Calem and Francisco Covas), Journal of Money, Credit, and Banking, August 2013, 45(1), 59-91

4. Dynamic factor Value-at-Risk for large, heteroskedastic portfolios (with Sirio Aramonte and Marius Rodriguez), Journal of Banking & Finance, 37(11), August 2013, 4299-4309

5. A covariate residual-based cointegration test applied to the CDS-Bond basis (with Aaron Game), Journal of Time Series Econometrics, 5(2), November 2013, 163-192

6. Monetary Policy Surprises and Monetary Policy Uncertainty (with Michiel De Pooter, Giovanni Favara, and Michele Modugno) Journal of International Money and Finance, 112, 2021, 112323

7. Is capital flow management effective? Evidence based  on U.S. monetary policy shocks (with Jian Wang) Journal of International Money and Finance, 118, 2021, 102451

Other Publications

 1. Messages from the academic literature on risk measurement for the trading book (with S. Aramonte, P. Durand, S. Kobayashi, M. Kwast, J.A. Lopez, G. Mazzoni, P. Raupach, and M. Summer), Basel Committee on Banking Supervision Working Paper, No. 19

2. Dealer BalanceSheet Capacity and the Market Liquidity during the 2013 Selloff in Fixed Income Markets (with Tobias Adrian, Michael Fleming, Jonathan Goldberg, Morgan Lewis, and Fabio Natalucci), FEDS Notes, October 16, 2013.

3. Risk-based Regulatory Capital and the Basel Accords (with Michael Gordy and Eric Heitfield), in Berger, A. N., Molyneux, P. and J. O. S. Wilson (Eds.), The Oxford Handbook of Banking (2nd Edition), Oxford and New York: Oxford University Press, forthcoming.

4a. Trading Activities at Systemically Important Banks, Part 1: Recent Trends in Trading Performance (with Diana Iercosan, Ashish Kumbhat, and Michael Ng), FEDS Notes, July 10, 2017.

4b. Trading Activities at Systemically Important Banks, Part 2: What Happened During Recent Risk Events? (with Diana Iercosan, Ashish Kumbhat, and Michael Ng), FEDS Notes, July 10, 2017.

4c. Trading Activities at Systemically Important Banks, Part 3: What Drives Trading Performance? (with Diana Iercosan, Ashish Kumbhat, and Michael Ng), FEDS Notes, July 10, 2017.

Old Working Papers

1. International trade price stickiness and exchange rate pass-through in micro data: a case study on US-China trade (with Mina Kim, Deokwoo Nam, and Jian Wang), Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper, No. 135

2. Long horizon forecasts of asset prices when the discount factor is close to unity (with Charles Engel and Jian Wang), Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper, No. 36

 3. The transmission of financial shocks: the case of commercial paper dealers during the 2007-2009 crisis (with Ethan Cohen-Cole, Judit Montoriol-Garriga, and Gustavo Suarez)

4. The effects of supervision on bank performance: evidence from discontinuous examination frequencies (with Marcelo Rezende)