Meet the Researchers
Mohammad R. Jahan-Parvar
[email protected]
Education
- Ph.D., Economics, University of North Carolina at Chapel Hill, 2007
- M.S., Statistics, University of North Carolina at Chapel Hill, 2003
- International Macro-Finance, Forecasting
- Empirical Asset Pricing, Financial Markets
Principal Economist
Board of Governors of the Federal Reserve System
2017 - presentSenior Economist
Board of Governors of the Federal Reserve System
2015 - 2017Economist
Board of Governors of the Federal Reserve System
2013 - 2015Financial Economist
Office of the Comptroller of the Currency
2012 - 2013Associate Professor
East Carolina University
2012 - 2013Assistant Professor
East Carolina University
2007 - 2012
- The Third SNB-FRB-BIS High-Level Conference on Global Risk, Uncertainty, and Volatility: Monetary Policy and Banking Regulation under Elevated Uncertainty
Mohammad R. Jahan-Parvar, Juan M. Londono, Beth Anne Wilson, and Ilknur Zer
FEDS Notes (2023)
https://doi.org/10.17016/2380-7172.3431 - When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence from Equity and Foreign Exchange Markets
Mohammad R Jahan-Parvar and Filip Zikes
Review of Financial Studies (2023)
https://doi.org/10.1093/rfs/hhad028 - What Is Certain about Uncertainty?
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan M. Londono, Bo Sun, Deepa Datta, Thiago Ferreira, Olesya Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez, Ilknur Zer, and John Rogers
Journal of Economic Literature (2023)
https://doi.org/10.1257/jel.20211645
See also » FRB Working Paper (2020) - Firm-Specific Risk-Neutral Distributions with Options and CDS
Sirio Aramonte, Mohammad Jahan-Parvar, Samuel Rosen, and John W. Schindler
Management Science (2022)
https://doi.org/10.1287/mnsc.2021.4170
See also » FRB Working Paper (2017) - SONOMA: a Small Open ecoNOmy for MAcrofinance
Mariano Massimiliano Croce, Mohammad R. Jahan-Parvar, and Samuel Rosen
International Finance Discussion Papers (2022)
https://doi.org/10.17016/IFDP.2022.1349 - The Impact of Financial Sanctions: The Case of Iran
Saeed Ghasseminejad and Mohammad R. Jahan-Parvar
Journal of Policy Modeling (2021)
https://doi.org/10.1016/j.jpolmod.2021.03.001
See also » FRB Working Paper (2020) - Non-Financial Corporate Credit and Recessions
Stephanie E. Curcuru and Mohammad R. Jahan-Parvar
FEDS Notes (2021)
https://doi.org/10.17016/2380-7172.2877 - Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs
Daniel O. Beltran, Mohammad R. Jahan-Parvar, and Fiona A. Paine
International Finance Discussion Papers (2021)
https://doi.org/10.17016/IFDP.2021.1307 - Institutions and Return Predictability in Oil-Exporting Countries
Sirio Aramonte, Mohammad R. Jahan-Parvar, and Justin K. Shugarman
Quarterly Review of Economics and Finance (2019)
https://doi.org/10.1016/j.qref.2018.09.002
See also » FRB Working Paper (2015) - Does Smooth Ambiguity Matter for Asset Pricing?
A. Ronald Gallant, Mohammad R. Jahan-Parvar, and Hening Liu
Review of Financial Studies (2019)
https://doi.org/10.1093/rfs/hhy118
See also » FRB Working Paper (2018) - Macroeconomic Effects of Banking Sector Losses across Structural Models
Luca Guerrieri, Matteo Iacoviello, Francisco Covas, John C. Driscoll, Mohammad Jahan-Parvar, Michael Kiley, Albert Queralto, and Jae Sim
International Journal of Central Banking (2019)
See also » FRB Working Paper (2015) - A Year of Rising Dangerously? The U.S. Stock Market Performance in the Aftermath of the Presidential Election
Olivier Blanchard, Christopher G. Collins, Mohammad R. Jahan-Parvar, Thomas Pellet, and Beth Anne Wilson
Journal of Policy Modeling (2018)
https://doi.org/10.1016/j.jpolmod.2018.03.004 - Downside Variance Risk Premium
Bruno Feunou, Mohammad R. Jahan-Parvar, and Cédric Okou
Journal of Financial Econometrics (2018)
https://doi.org/10.1093/jjfinec/nbx020
See also » FRB Working Paper (2015) - Taxonomy of Global Risk, Uncertainty, and Volatility Measures
Deepa Datta, Juan M. Londono, Bo Sun, Daniel Beltran, Thiago Ferreira, Matteo Iacoviello, Mohammad R. Jahan-Parvar, Canlin Li, Marius Rodriguez, and John Rogers
International Finance Discussion Papers (2017)
https://doi.org/10.17016/IFDP.2017.1216 - Which Parametric Model for Conditional Skewness?
Bruno Feunou, Mohammad R. Jahan-Parvar, and Roméo Tédongap
European Journal of Finance (2016)
https://doi.org/10.1080/1351847X.2013.877515 - Ambiguity Aversion and Asset Prices in Production Economies
Mohammad Jahan-Parvar and Hening Liu
Review of Financial Studies (2014)
https://doi.org/10.1093/rfs/hhu037 - Risk-return Trade-Off in the Pacific Basin Equity Markets
Ai-Ru Cheng and Mohammad Jahan-Parvar
Emerging Markets Review (2014)
https://doi.org/10.1016/j.ememar.2014.01.004 - Equity Returns and Business Cycles in Small Open Economies
Mohammad Jahan-Parvar, Xuan Liu, and Philip Rothman
Journal of Money, Credit and Banking (2013)
https://doi.org/10.1111/jmcb.12046 - Risk and Return in the Tehran Stock Exchange
Mohammad Jahan-Parvar and Hassan Mohammadi
Quarterly Review of Economics and Finance (2013)
https://doi.org/10.1016/j.qref.2013.05.005 - Modeling Market Downside Volatility
Bruno Feunou, Mohammad R. Jahan-Parvar, and Roméo Tédongap
Review of Finance (2013)
https://doi.org/10.1093/rof/rfr024 - U.S. Industry-Level Returns and Oil Prices
Qinbin Fan and Mohammad Jahan-Parvar
International Review of Economics & Finance (2012)
https://doi.org/10.1016/j.iref.2011.09.004 - Flood Insurance Coverage in the Coastal Zone
Craig E. Landry and Mohammad Jahan-Parvar
Journal of Risk and Insurance (2011)
https://doi.org/10.1111/j.1539-6975.2010.01380.x - Equity Price Bubbles in the Middle Eastern and North African Financial Markets
Mohammad Jahan-Parvar and George A. Waters
Emerging Markets Review (2010)
https://doi.org/10.1016/j.ememar.2009.11.001 - An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
Ai-Ru Cheng, Mohammad Jahan-Parvar, and Philip Rothman
Journal of Empirical Finance (2010)
https://doi.org/10.1016/j.jempfin.2009.11.002
conference
2020CFE 2020
Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs
conference
2020Econometric Society World Congress
SONOMA: a Small Open ecoNOmy for MAcrofinance
conference
2020Midwest Finance
SONOMA: a Small Open ecoNOmy for MAcrofinance
seminar
2020Virginia Tech
SONOMA: a Small Open ecoNOmy for MAcrofinance
seminar
2020Georgetown University
Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs
conference
2019Computational and Financial Econometrics Conference
When do low-frequency measures really measure transaction costs?
seminar
2019Carey Business School, Johns Hopkins University
When do low-frequency measures really measure transaction costs?
conference
2019Northern Finance Association
SONOMA: a Small Open ecoNOmy for MAcrofinance
conference
2019ITAM Finance Conference
SONOMA: a Small Open ecoNOmy for MAcrofinance
seminar
2019UNC Chapel Hill
When do low-frequency measures really measure transaction costs?
discussion
2018European Central Bank
Discussion of "Global Financial Cycles and Risk Premiums"
conference
2018European Finance Association
Does Smooth Ambiguity Matter for Asset Pricing?
conference
2018Western Finance Association
Does Smooth Ambiguity Matter for Asset Pricing?
seminar
2018Cal Poly
Does Smooth Ambiguity Matter for Asset Pricing?
conference
2017Financial Management Association
Firm-specific risk-neutral distributions: The role of CDS spreads
seminar
2017West Virginia University
Firm-specific risk-neutral distributions: The role of CDS spreads
conference
2017Summer Meeting of the Econometric Society
Firm-specific risk-neutral distributions: The role of CDS spreads
conference
2017SNDE Annual Conference
Firm-specific risk-neutral distributions: The role of CDS spreads
seminar
2017University of North Carolina
Firm-specific risk-neutral distributions: The role of CDS spreads
conference
2016Computational and Financial Econometrics Conference
Firm-specific risk-neutral distributions: The role of CDS spreads
conference
2016Joint Statistical Meetings
Firm-specific risk-neutral distributions: The role of CDS spreads
conference
2016SFS Cavalcade
Measuring Ambiguity Aversion
conference
2016Econometric Socirty Winter Meeting
Measuring Ambiguity Aversion
conference
2015Econometric Socirty World Congress
Measuring Ambiguity Aversion
seminar
2015Indiana University
Measuring Ambiguity Aversion
conference
2015SoFiE Annual Conference
Measuring Ambiguity Aversion
seminar
2014Carey Business School, Johns Hopkins University
Downside Variance Premium
conference
2014Midwest Econometric Group
Measuring Ambiguity Aversion
seminar
2014Georgetown University
Measuring Ambiguity Aversion
seminar
2014George Washington University
Measuring Ambiguity Aversion
conference
2014Society for Nonlinear Dynamics and Econometrics
Downside Variance Premium
conference
2013Computational and Financial Econometrics Conference
Downside Variance Premium
seminar
2013Manchester Business School
Downside Variance Premium
conference
2013Midwest Econometric Group Annual Meeting
Downside Variance Premium
conference
2013Financial Management Association Annual Meeting
Ambiguity Aversion and Asset Prices in Production Economies
conference
2013Summer Meeting of the Econometric Society
Ambiguity Aversion and Asset Prices in Production Economies
seminar
2013Rice University
Ambiguity Aversion and Asset Prices in Production Economies
seminar
2011Kenan-Flagler Business School, UNC
Ambiguity Aversion and Asset Prices in Production Economies
conference
2011Joint Statistical Meetings
Which parametric model for conditional skewness?
conference
2011Midwest Econometric Group
Which parametric model for conditional skewness?
conference
2011Midwest Econometric Group
Underreaction in equity returns: Evidence from commodity markets.
conference
2010Trinagle Econometric Conference
Modeling Market Downside Volatility
conference
2010Financial Management Association
Modeling Market Downside Volatility
conference
2010Midwest Econometric Group
Modeling Market Downside Volatility
Conference Organization
December 2019 | London, UK
Computational and Financial Econometrics
Session Organizer and Chair
November 2018 | Washington, DC
Southern Economic Association
Session Organizer and Chair
Referee
- The Review of Financial Studies,
- Swiss National Science Foundation,
- Journal of Applied Econometrics,
- Journal of Banking and Finance,
- Journal of Business and Economic Statistics,
- Journal of Empirical Finance,
- Journal of International Money and Finance,
- Journal of Futures Markets,
- Journal of Risk and Insurance,
- Review of Economics and Statistics,
- International Journal of Forecasting,
- Financial Management,
- Macroeconomic Dynamics,
- Economic Inquiry,
- Management Science,
- European Journal of Operational Research
- Quarterly Review of Economics and Finance,
- Studies in Nonlinear Dynamics and Econometrics,
- World Development
Professional Affiliation
- Member, American Economic Association, 2003-Present
- Member, American Finance Association, 2003-Present
- Member, American Statistical Association, 2003-Present
- Member, the Econometric Society, 2003-Present
- Member, Financial Management Association, 2007-Prresent