Photo of Mohammad R. Jahan-Parvar

Mohammad R. Jahan-Parvar

Education

  • Ph.D., Economics, University of North Carolina at Chapel Hill, 2007
  • M.S., Statistics, University of North Carolina at Chapel Hill, 2003
Current Research Topics
  • Macro-Finance, Empirical Asset Pricing
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2017 - present
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2015 - 2017
  • Economist

    Board of Governors of the Federal Reserve System

    2013 - 2015
  • Financial Economist

    Office of the Comptroller of the Currency

    2012 - 2013
  • Associate Professor

    East Carolina University

    2012 - 2013
  • Assistant Professor

    East Carolina University

    2007 - 2012
  • Feunou, Bruno, Mohammad R. Jahan-Parvar, and Cédric Okou (forthcoming). "Downside Variance Risk Premium," Journal of Financial Econometrics.
  • Aramonte, Sirio, Mohammad R. Jahan-Parvar, Samuel Rosen, and John W. Schindler (2017). "Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads," International Finance Discussion Papers 1212. Board of Governors of the Federal Reserve System (U.S.).
  • Gallant, A. Ronald, Mohammad Jahan-Parvar, and Hening Liu (2015). "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105. Board of Governors of the Federal Reserve System (U.S.).
  • Feunou, Bruno, Mohammad R. Jahan-Parvar, and Cédric Okou (2015). "Downside Variance Risk Premium," Finance and Economics Discussion Series 2015-020. Board of Governors of the Federal Reserve System (U.S.).
  • Guerrieri, Luca, Matteo Iacoviello, Francisco Covas, John C. Driscoll, Michael T. Kiley, Mohammad R. Jahan-Parvar, Albert Queraltó, and Jae W. Sim (2015). "Macroeconomic Effects of Banking Sector Losses across Structural Models," Finance and Economics Discussion Series 2015-044. Board of Governors of the Federal Reserve System (U.S.).
  • Aramonte, Sirio, Mohammad Jahan-Parvar, and Justin K. Shugarman (2015). "Institutions and Return Predictability in Oil-Exporting Countries," Finance and Economics Discussion Series 2015-014. Board of Governors of the Federal Reserve System (U.S.).
  • Feunou, Bruno, Mohammad R. Jahan-Parvar, and Roméo Tédongap (2016). "Which Parametric Model for Conditional Skewness?" European Journal of Finance, vol. 22, no. 13, pp. 1237-1271.
  • Jahan-Parvar, Mohammad, and Hening Liu (2014). "Ambiguity Aversion and Asset Prices in Production Economies," Review of Financial Studies, vol. 27, no. 10, pp. 3060-3097.
  • Cheng, Ai-Ru, and Mohammad Jahan-Parvar (2014). "Risk-return Trade-Off in the Pacific Basin Equity Markets," Emerging Markets Review, 18, pp. 123-140.
  • Jahan-Parvar, Mohammad, Xuan Liu, and Philip Rothman (2013). "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit & Banking, vol. 45, no. 6, pp. 1117-1146.
  • Jahan-Parvar, Mohammad, and Hassan Mohammadi (2013). "Risk and Return in the Tehran Stock Exchange," Quarterly Review of Economics & Finance, vol. 53, no. 3, pp. 238-256.
  • Feunou, B., M. R. Jahan-Parvar, and R. Tédongap (2013). "Modeling Market Downside Volatility," Review of Finance, vol. 17, no. 1, pp. 443-481.
  • Fan, Qinbin, and Mohammad Jahan-Parvar (2012 ). "U.S. Industry-Level Returns and Oil Prices," International Review of Economics and Finance, vol. 22, no. 1, pp. 112-128.
  • Landry, Craig E., and Mohammad Jahan-Parvar (2011). "Flood Insurance Coverage in the Coastal Zone," Journal of Risk and Insurance, vol. 78, no. 2, pp. 361-388.
  • Cheng, Ai-Ru, Mohammad Jahan-Parvar, and Philip Rothman (2010). "An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa," Journal of Empirical Finance, vol. 17, no. 3, pp. 413-427.
  • Jahan-Parvar, Mohammad, and George A. Waters (2010). "Equity Price Bubbles in the Middle Eastern and North African Financial Markets," Emerging Markets Review, vol. 11, no. 1, pp. 39-48.
  • Jahan-Parvar, Mohammad, and Hassan Mohammadi (2009). "Oil Prices and Competitiveness: Time Series Evidence from Six Oil-Producing Countries," Journal of Economic Studies, vol. 36, no. 1, pp. 98-118.
  • Jahan-Parvar, Mohammad (2007). "Essays in Financial Economics," Ph.D. dissertation, University of North Carolina.
  • conference

    2017

    Financial Management Association

    Firm-specific risk-neutral distributions: The role of CDS spreads

  • seminar

    2017

    West Virginia University

    Firm-specific risk-neutral distributions: The role of CDS spreads

  • conference

    2017

    Summer Meeting of the Econometric Society

    Firm-specific risk-neutral distributions: The role of CDS spreads

  • conference

    2017

    SNDE Annual Conference

    Firm-specific risk-neutral distributions: The role of CDS spreads

  • seminar

    2017

    University of North Carolina

    Firm-specific risk-neutral distributions: The role of CDS spreads

  • conference

    2016

    Computational and Financial Econometrics Conference

    Firm-specific risk-neutral distributions: The role of CDS spreads

  • conference

    2016

    Joint Statistical Meetings

    Firm-specific risk-neutral distributions: The role of CDS spreads

  • conference

    2016

    SFS Cavalcade

    Measuring Ambiguity Aversion

  • conference

    2016

    Econometric Socirty Winter Meeting

    Measuring Ambiguity Aversion

  • conference

    2015

    Econometric Socirty World Congress

    Measuring Ambiguity Aversion

  • seminar

    2015

    Indiana University

    Measuring Ambiguity Aversion

  • conference

    2015

    SoFiE Annual Conference

    Measuring Ambiguity Aversion

  • seminar

    2014

    Carey Business School, Johns Hopkins University

    Downside Variance Premium

  • conference

    2014

    Midwest Econometric Group

    Measuring Ambiguity Aversion

  • seminar

    2014

    Georgetown University

    Measuring Ambiguity Aversion

  • seminar

    2014

    George Washington University

    Measuring Ambiguity Aversion

  • conference

    2014

    Society for Nonlinear Dynamics and Econometrics

    Downside Variance Premium

  • conference

    2013

    Computational and Financial Econometrics Conference

    Downside Variance Premium

  • seminar

    2013

    Manchester Business School

    Downside Variance Premium

  • conference

    2013

    Midwest Econometric Group Annual Meeting

    Downside Variance Premium

  • conference

    2013

    Financial Management Association Annual Meeting

    Ambiguity Aversion and Asset Prices in Production Economies

  • conference

    2013

    Summer Meeting of the Econometric Society

    Ambiguity Aversion and Asset Prices in Production Economies

  • seminar

    2013

    Rice University

    Ambiguity Aversion and Asset Prices in Production Economies

  • seminar

    2011

    Kenan-Flagler Business School, UNC

    Ambiguity Aversion and Asset Prices in Production Economies

  • conference

    2011

    Joint Statistical Meetings

    Which parametric model for conditional skewness?

  • conference

    2011

    Midwest Econometric Group

    Which parametric model for conditional skewness?

  • conference

    2011

    Midwest Econometric Group

    Underreaction in equity returns: Evidence from commodity markets.

  • conference

    2010

    Trinagle Econometric Conference

    Modeling Market Downside Volatility

  • conference

    2010

    Financial Management Association

    Modeling Market Downside Volatility

  • conference

    2010

    Midwest Econometric Group

    Modeling Market Downside Volatility

Referee
  • Journal of Applied Econometrics,
  • Journal of Banking and Finance,
  • Journal of Business and Economic Statistics,
  • Journal of Empirical Finance,
  • Journal of Risk and Insurance,
  • 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
Last update: October 10, 2017