Mohammad R. Jahan-Parvar

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

http://sites.google.com/site/mrjahan/

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

21

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3,619

CITATIONS
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9

Scholarly Papers (21)

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1.

Downside Variance Risk Premium

Downloads 915 ( 23,882)

Downside Variance Risk Premium

Forthcoming in the Journal of Financial Econometrics.
Number of pages: 53 Posted: 07 Feb 2015 Last Revised: 23 May 2017
Bruno Feunou, Mohammad R. Jahan-Parvar and Cedric Okou
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 718 (33,069)

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Risk-neutral volatility, Realized volatility, Downside and upside variance risk premium, Skewness risk premium

Downside Variance Risk Premium

FEDS Working Paper No. 2015-020, http://dx.doi.org/10.17016/FEDS.2015.020
Number of pages: 66 Posted: 26 Apr 2015
Bruno Feunou, Mohammad R. Jahan-Parvar and Cedric Okou
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 197 (149,628)

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Downside variance risk premium,Realized volatility,Risk-neutral volatility,Skewness risk premium,upside variance risk premium

2.

Modeling Market Downside Volatility

Review of Finance (2013), 17(1), 443-481, doi: 10.1093/rof/rfr024
Number of pages: 52 Posted: 09 Mar 2010 Last Revised: 07 Jan 2013
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 357 (80,668)
Citation 4

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Binormal distribution, Downside risk, Intertemporal CAPM, GARCH, Relative downside volatility, Risk-return trade-off, Upside uncertainty.

3.

Measuring Ambiguity Aversion

Number of pages: 47 Posted: 10 Oct 2014 Last Revised: 19 Dec 2017
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Duke University - Fuqua School of Business, Economics Group, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 321 (85,511)

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Ambiguity aversion, Bayesian estimation, Equity premium puzzle, Markov switching

4.

Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets

Number of pages: 47 Posted: 16 Feb 2012 Last Revised: 12 Sep 2013
Mohammad R. Jahan-Parvar, Andrew Vivian and Mark E. Wohar
Board of Governors of the Federal Reserve System, Loughborough University and University of Nebraska at Omaha
Downloads 257 (115,544)

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Asset pricing, Commodity markets, Equity markets, Industry-level returns, Information and market efficiency, Predictability, Underreaction

5.

Ambiguity Aversion and Asset Prices in Production Economies

The Review of Financial Studies, Forthcoming
Number of pages: 47 Posted: 29 Feb 2012 Last Revised: 13 May 2014
Mohammad R. Jahan-Parvar and Hening Liu
Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 240 (123,873)
Citation 1

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Ambiguity aversion, Equity premium, Markov switching, Production economy, Smooth ambiguity

6.

Which Parametric Model for Conditional Skewness?

European Journal of Finance, Forthcoming
Number of pages: 41 Posted: 09 Mar 2007 Last Revised: 11 Dec 2013
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 233 (127,640)
Citation 1

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Conditional skewness, Downside risk, Mincer-Zarnowitz regression, Realized skewness

7.

Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads

Downloads 207 (143,052)

Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads

Number of pages: 67 Posted: 31 Jan 2017 Last Revised: 31 Oct 2018
Sirio Aramonte, Mohammad R. Jahan-Parvar, Samuel Rosen and John W. Schindler
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System, Temple University, Fox School of Business and Board of Governors of the Federal Reserve System
Downloads 173 (168,568)

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Risk neutral distributions, CDS spreads, Cross-section of expected returns

Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads

FRB International Finance Discussion Paper No. 1212
Number of pages: 62 Posted: 07 Sep 2017
Sirio Aramonte, Mohammad R. Jahan-Parvar, John W. Schindler and Samuel Rosen
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Temple University, Fox School of Business
Downloads 34 (447,384)

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Risk neutral distributions, CDS spreads, Cross-section of expected returns

8.

The Cost of a Revolution

Iran Nameh: A Quarterly Journal of Iranian Studies, Forthcoming
Number of pages: 31 Posted: 12 Sep 2012 Last Revised: 16 Nov 2015
Mohammad R. Jahan-Parvar
Board of Governors of the Federal Reserve System
Downloads 154 (186,163)

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Counterfactual analysis, Markov chain simulation, real per capita GDP, Iran, MENA region

9.

U.S. Industry-Level Returns and Oil Prices

International Review of Economics & Finance, Vol. 22, No. 1, 2012
Number of pages: 35 Posted: 16 Sep 2011 Last Revised: 21 Jun 2012
Qinbin Fan and Mohammad R. Jahan-Parvar
University of Iowa and Board of Governors of the Federal Reserve System
Downloads 140 (201,234)
Citation 1

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Industry-Level Returns, Market Efficiency, Oil Prices, Return Predictability, Underreaction

10.

Taxonomy of Global Risk, Uncertainty, and Volatility Measures

FRB International Finance Discussion Paper No. 1216
Number of pages: 49 Posted: 26 Nov 2017
Deepa Datta, Juan M. Londono, Bo Sun, Daniel O. Beltran, Thiago R.T. Ferreira, Matteo M. Iacoviello, Mohammad R. Jahan-Parvar, Canlin Li, Marius Rodriguez and John H. Rogers
Board of Governors of the Federal Reserve System, Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board, Board of Governors of the Federal Reserve System, Federal Reserve Board - Trade and Financial Studies, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 128 (216,172)

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Risk, Uncertainty, Volatility, Monetary policy, Geopolitical risk, Equities, Interest rates, Exchange rates, Commodities, Inflation, Variance risk premium

11.

Does Smooth Ambiguity Matter for Asset Pricing?

The Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 21 Dec 2017 Last Revised: 05 Oct 2018
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Duke University - Fuqua School of Business, Economics Group, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 102 (254,828)

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Ambiguity, Bayesian Estimation, Equity Premium, Markov-Switching, Long-Run Risk

12.

Institutions and Return Predictability in Oil-Exporting Countries

FEDS Working Paper No. 2015-014, http://dx.doi.org/10.17016/FEDS.2015.014
Number of pages: 31 Posted: 07 Apr 2015
Sirio Aramonte, Mohammad R. Jahan-Parvar and Justin Shugarman
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System (FRB)
Downloads 94 (268,914)

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Country studies, Quality of institutions, Return predictability

13.

Risk and Return in the Tehran Stock Exchange

The Quarterly Review of Economics and Finance, Volume 53, Issue 3, August 2013, Pages 238-256, ISSN 1062-9769
Number of pages: 44 Posted: 16 Sep 2011 Last Revised: 15 Aug 2013
Mohammad R. Jahan-Parvar and Hassan Mohammadi
Board of Governors of the Federal Reserve System and Illinois State University
Downloads 90 (276,398)

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Asymmetry, Conditional correlation, Conditional skewness, Efficiency, Emerging and frontier markets, Granger causality, ICAPM, Markov switching, Volatility

14.

Equity Returns and Business Cycles in Small Open Economies

Journal of Money, Credit, and Banking, 45(6), 1117-1146. DOI: 10.1111/jmcb.12046
Number of pages: 40 Posted: 16 Sep 2011 Last Revised: 20 Aug 2013
Mohammad R. Jahan-Parvar, Xuan Liu and Philip Rothman
Board of Governors of the Federal Reserve System, East Carolina University - Department of Economics and East Carolina University - Department of Economics
Downloads 75 (308,499)

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Asset Pricing, Equity Returns, Dynamic Stochastic General Equilibrium Model, Real Business Cycle, Small Open Economy

15.

Risk-Return Trade-Off in the Pacific Basin Equity Markets

Emerging Markets Review, Forthcoming
Number of pages: 17 Posted: 28 Dec 2011 Last Revised: 25 Jan 2014
Ai-ru Meg Cheng and Mohammad R. Jahan-Parvar
University of California, Santa Cruz - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 74 (310,837)

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Binormal distribution, Conditional variance, Conditional skewness, GARCH, Intertemporal CAPM, Mixed data sampling, Pacific basin equity markets, Risk-return trade-off

16.

Macroeconomic Effects of Banking Sector Losses Across Structural Models

Downloads 68 (325,766)

Macroeconomic Effects of Banking Sector Losses Across Structural Models

BIS Working Paper No. 507
Number of pages: 53 Posted: 03 Aug 2015
Luca Guerrieri, Matteo M. Iacoviello, Francisco Covas, John C. Driscoll, Mohammad R. Jahan-Parvar, Michael T. Kiley, Albert Queralto and Jae Sim
Federal Reserve Board - Trade and Financial Studies, Federal Reserve Board - Trade and Financial Studies, Board of Governors of the Federal Reserve System, Federal Reserve Board, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Board - Trade and Financial Studies Section and Board of Governors of the Federal Reserve System
Downloads 47 (394,981)

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Banks, DSGE Models, Capital Requirements, Bank Losses

Macroeconomic Effects of Banking Sector Losses Across Structural Models

FEDS Working Paper No. 2015-044, http://dx.doi.org/10.17016/FEDS.2015.044
Number of pages: 52 Posted: 10 Jul 2015
Luca Guerrieri, Matteo M. Iacoviello, Francisco Covas, John C. Driscoll, Michael T. Kiley, Mohammad R. Jahan-Parvar, Albert Queralto and Jae Sim
Federal Reserve Board - Trade and Financial Studies, Federal Reserve Board - Trade and Financial Studies, Board of Governors of the Federal Reserve System, Federal Reserve Board, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Board - Trade and Financial Studies Section and Board of Governors of the Federal Reserve System
Downloads 21 (518,492)

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Bank losses, Banks, Capital requirements, DSGE models

17.

Does Smooth Ambiguity Matter for Asset Pricing?

FRB International Finance Discussion Paper No. 1221
Number of pages: 83 Posted: 22 Jan 2018
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Pennsylvania State University, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 60 (347,231)

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Ambiguity, Bayesian estimation, equity premium, Markov-switching, long-run risk

18.

Flood Insurance Coverage in the Coastal Zone

Downloads 34 (437,050)
Citation 2

Flood Insurance Coverage in the Coastal Zone

East Carolina University Economics Department Working Paper No. ecu0804
Number of pages: 40 Posted: 27 Apr 2011
Craig E. Landry and Mohammad R. Jahan-Parvar
University of Georgia - Department of Agricultural & Applied Economics and Board of Governors of the Federal Reserve System
Downloads 32 (456,600)
Citation 2

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Insurance coverage, flood, hazard, coastal, erosion, Tobit model

Flood Insurance Coverage in the Coastal Zone

Journal of Risk and Insurance, Vol. 78, Issue 2, pp. 361-388, 2011
Number of pages: 28 Posted: 20 May 2011
Craig E. Landry and Mohammad R. Jahan-Parvar
University of Georgia - Department of Agricultural & Applied Economics and Board of Governors of the Federal Reserve System
Downloads 2 (647,375)
Citation 2
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19.

Measuring Ambiguity Aversion

FEDS Working Paper No. 2015-105
Number of pages: 48 Posted: 25 Nov 2015
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Duke University, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 32 (445,552)

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Ambiguity aversion, Bayesian estimation, Equity premium puzzle, Markov switching

20.

SONOMA: A Small Open ecoNOmy for MAcrofinance

Kenan Institute of Private Enterprise Research Paper No. 19-2
Number of pages: 49 Posted: 29 Nov 2018 Last Revised: 16 Jan 2019
Mariano (Max) Massimiliano Croce, Mohammad R. Jahan-Parvar and Samuel Rosen
Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Temple University, Fox School of Business
Downloads 24 (485,194)

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Small Open Economy, Credit Shocks, Asset Pricing

21.

Designing Gaps as Early Warning Indicators: Accuracy, Predictive Power, and Robustness

Number of pages: 23 Posted: 06 Feb 2019
Daniel O. Beltran, Mohammad R. Jahan-Parvar and Fiona A. Paine
Federal Reserve Board, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 14 (541,473)

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Credit, Credit Gap, Optimization, Predictive Power, Robustness, Trend-Cycle Decomposition