Welcome!

Summary:

I study how asset classes are connected in the global financial markets and how macroeconomic outcomes and policy decisions affect these connections. In recent times, I have been examining the links between the real economy and all aspects of the financial sector to gain insights into the two-way interactions between asset prices and macroeconomic outcomes.

My broad interests are in macroeconomics and financial markets. I also do some econometrics. My work lies at the intersection of applied theory and empirics in my areas of interest.

Current Affiliations:

Faculty, Financial Economics at Johns Hopkins University

Fixed Income Strategist at the World Bank Group (IFC Treasury LAM)  

Senior Fellow & Research Director at BAUM TenPers Institute

Education:

Ph.D. in  Economics, University of Kent

M.Sc. in Economics QEM, Paris 1 Sorbonne, Bielefeld, and Venice

Dip in Mathematical Sciences - AIMS, Stellenbosch University

B.Sc. (with Honors) in Pure Math & Statistics, University of Lagos

Contact information:

2121 Pennsylvania Avenue, Washington, DC 20433                   

Email: oibhagu1@jhu.edu

Latest working papers:

1.  Correlated Asset Returns Under Distinct Inflation Regimes (with with D. Ahelegbey, F. Gerth and M. Shu)  Journal of Portfolio Management (Revise and Resubmit)

2.  A Model of Currency Linkages During Crises (with J. Evans, C Huang, F. Gerth and T. Fadina) Journal of International Financial Markets, Institutions and Money (Accepted after Revise and Resubmit)

3. The Dollar’s Double Life for Cross-Currency Basis Swaps: A Closer Look at G10 Panels (with D. Ahelegbey, F. Gerth and M. Shu)  Quantitative Finance (Revise and Resubmit)

4.  When Crypto Becomes Equity: A Risk-Adjusted Parity Optimized Model for the Post-2020 Comovement Shift (with J. Evans, C Huang, and C. Iwuagwu)

5. A Network Anatomy of Cross-Currency Basis Swap Spreads: Evidence from 25 Currencies (with D. Ahelegbey, F. Gerth)   European Journal of Finance (Revise and Resubmit)

6. Regulation-Induced Balance-Sheet Constraints, Option-Market States, and the Cross-Currency Basis Financial Markets, Institutions and Instruments (Revise and Resubmit)

7.  CIP Deviations as a Pricing–Kernel Shifter, (with A. Ahmed)

8. The US Velocity Buffer: How High Money Velocity Dampens the Effect of Credit Stress on Equity Markets, (with D. Ahelegbey and P. Amani )

9.  Inflation Regime Channel of Stock–Bond Relationship: Cross-Country Evidence  (with A. Ahmed and M. Shu)