Ching-Wai (Jeremy) Chiu

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

12

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752

SSRN CITATIONS
Rank 38,936

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Top 38,936

in Total Papers Citations

3

CROSSREF CITATIONS

12

Scholarly Papers (12)

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Bank of England Working Paper No. 608
Number of pages: 40 Posted: 23 Aug 2016
Ching-Wai (Jeremy) Chiu, Richard D. F. Harris, Evarist Stoja and Michael Chin
Bank of England, University of Bristol, University of Bristol and Bank of England
Downloads 196 (160,527)
Citation 2

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Stock and bond market volatility, two-factor volatility model, macroeconomic

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Journal of Banking and Finance, Vol. 92, No. 1, 2018
Posted: 30 Apr 2019
Ching-Wai (Jeremy) Chiu, Richard D. F. Harris, Evarist Stoja and Michael Chin
Bank of England, University of Bristol, University of Bristol and Bank of England

Abstract:

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stock and bond market volatility, two-factor volatility model, macroeconomic fundamentals, structural vector autoregression, Bayesian estimation

2.

Corporate Decision-Making in the Presence of Political Uncertainty: The Case of Corporate Cash Holdings

The Financial Review, Forthcoming
Number of pages: 42 Posted: 23 Mar 2018 Last Revised: 26 Aug 2019
William Hankins, Anna-Leigh Stone, Chak Hung Jack Cheng and Ching-Wai (Jeremy) Chiu
Jacksonville State University, Alabama, Samford University, University of South Carolina Upstate and Bank of England
Downloads 99 (276,758)

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Cash Holdings, Economic Policy Uncertainty, SVAR, U.S. Partisan Conflict

3.

Forecasting with VAR Models: Fat Tails and Stochastic Volatility

Bank of England Working Paper No. 528
Number of pages: 31 Posted: 31 May 2015
Ching-Wai (Jeremy) Chiu, Haroon Mumtaz and Gabor Pinter
Bank of England, Queen Mary, University of London and Bank of England
Downloads 86 (302,716)
Citation 6

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Bayesian VAR, fat-tails, stochastic volatility, Great Recession

4.

Macroeconomic Tail Events with Non-Linear Bayesian VARs

Bank of England Working Paper No. 611
Number of pages: 40 Posted: 23 Aug 2016
Ching-Wai (Jeremy) Chiu and Sinem Hacioglu Hoke
Bank of England and Bank of England
Downloads 83 (309,435)

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Macroeconomic tail events, nonlinear VARs, generalised impulse response functions, density forecasts

Does Partisan Conflict Impact the Cash Holdings of Firms? A Sign Restrictions Approach

Number of pages: 53 Posted: 19 Oct 2016 Last Revised: 20 Oct 2016
William Hankins, Chak Hung Jack Cheng, Ching-Wai (Jeremy) Chiu and Anna-Leigh Stone
Jacksonville State University, Alabama, University of South Carolina Upstate, Bank of England and Samford University
Downloads 38 (458,288)
Citation 1

Abstract:

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Partisan Conflict, Cash Holdings, Economic Policy Uncertainty, VAR, Sign Restriction

Does Partisan Conflict Impact the Cash Holdings of Firms? A Sign Restrictions Approach

Bank of England Working Paper No. 638
Number of pages: 37 Posted: 30 Dec 2016
William Hankins, Chak Hung Jack Cheng, Ching-Wai (Jeremy) Chiu and Anna-Leigh Stone
Jacksonville State University, Alabama, University of South Carolina Upstate, Bank of England and Samford University
Downloads 19 (566,407)

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Partisan conflict, cash holdings, economic policy uncertainty, VAR, sign restrictions

6.

A Financial Stress Index for the United Kingdom

Bank of England Working Paper No. 697
Number of pages: 49 Posted: 12 Dec 2017
Somnath Chatterjee, Ching-Wai (Jeremy) Chiu, Sinem Hacioglu Hoke and Thibaut Duprey
Bank of England, Bank of England, Bank of England and Bank of Canada
Downloads 48 (409,213)

Abstract:

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Financial stress index, AUROC, GARCH, threshold VAR

7.

Partisan Conflict, Policy Uncertainty and Aggregate Corporate Cash Holdings

Journal of Macroeconomics, Forthcoming
Number of pages: 31 Posted: 26 Mar 2018 Last Revised: 26 Aug 2018
Chak Hung Jack Cheng, Ching-Wai (Jeremy) Chiu, William Hankins and Anna-Leigh Stone
University of South Carolina Upstate, Bank of England, Jacksonville State University, Alabama and Samford University
Downloads 44 (424,064)

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Partisan Conflict, Cash Holdings, Economic Policy Uncertainty, VAR, Sign Restrictions, Local Projections

8.

Nonlinearities of Mortgage Spreads Over the Business Cycles

Bank of England Working Paper No. 634
Number of pages: 34 Posted: 14 Dec 2016
Chak Hung Jack Cheng and Ching-Wai (Jeremy) Chiu
University of South Carolina Upstate and Bank of England
Downloads 35 (460,976)

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mortgage spread shocks, smooth transition vector autoregressions, nonlinearities, financial frictions

9.

Tail Risk Interdependence

Bank of England Working Paper No. 815, August 2019
Number of pages: 28 Posted: 06 Aug 2019
Arnold Polanski, Evarist Stoja and Ching-Wai (Jeremy) Chiu
University of East Anglia, University of Bristol and Bank of England
Downloads 33 (470,020)

Abstract:

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co-exceedance, systemic distress, risk contribution, extreme risk interdependence

10.

The Rate Elasticity of Retail Deposits in the United Kingdom: A Macroeconomic Investigation

Bank of England Working Paper No. 540
Number of pages: 48 Posted: 09 Aug 2015
Ching-Wai (Jeremy) Chiu and John Hill
Bank of England and Bank of England
Downloads 31 (479,512)
Citation 1

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Retail deposits behaviour, Bayesian panel-VAR, sign restrictions

11.

Does US Partisan Conflict Matter for the Euro Area?

Economics Letters, Forthcoming
Number of pages: 6 Posted: 23 Dec 2015
Chak Hung Jack Cheng, William Hankins and Ching-Wai (Jeremy) Chiu
University of South Carolina Upstate, Jacksonville State University, Alabama and Bank of England
Downloads 27 (500,017)

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Partisan conflict, Economic policy uncertainty, U.S.-Euro area spillovers, Bayesian VAR

12.

A New Approach for Detecting Shifts in Forecast Accuracy

Bank of England Working Paper No. 721
Number of pages: 28 Posted: 18 Apr 2018
Bank of England, Bank of England, King's College, London and Cardiff University
Downloads 13 (584,269)

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Forecast breaks, statistical decision making, central banking