GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

This paper assesses that participation of countries in IMF programs significantly diminishes their vulnerability to external shocks. Currently, one of the primary purposes of the IMF is to ensure global stability. As such, the Fund has the responsibility of advising member countries on the...

In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk neutral measure in a commodity crude oil market (data are referred to WTI index which tracks the crude oil barrel price on NYMEX market).While big part of research and...

The open-economy dimension is central to the discussion of the trade-offs that monetary policy faces in an increasingly integrated world. I investigate the monetary policy transmission mechanism in a two-country workhorse New Keynesian model where policy is set according to Taylor (1993) rules....

The open-economy dimension is central to the discussion of the trade-offs that monetary policy faces in an increasingly integrated world. I investigate the monetary policy transmission mechanism in a two-country workhorse New Keynesian model where policy is set according to Taylor (1993) rules....

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

In this paper, we propose a new approach to represent a country's outward orientation. Prior work mostly uses indicators of aggregate trade intensity, trade policy or trade restrictiveness. Our approach offers a broader perspective as it measures a country's level of integration not only by its...

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about...