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
  • Gallant, A. Ronald, Mohammad R. Jahan-Parvar, and Hening Liu (forthcoming). "Does Smooth Ambiguity Matter for Asset Pricing?" The Review of Financial Studies.
  • Guerrieri, Luca, Matteo Iacoviello, Francisco Covas, John C. Driscoll, Mohammad Jahan-Parvar, Michael Kiley, Albert Queralto, and Jae Sim (forthcoming) "Macroeconomic Effects of Banking Sector Losses across Structural Models," International Journal of Central Banking.
  • Aramonte, Sirio, Mohammad R. Jahan-Parvar, and Justin K. Shugarman (forthcoming). "Institutions and Return Predictability in Oil-Exporting Countries," The Quarterly Review of Economics and Finance.
  • Feunou, Bruno, Mohammad R. Jahan-Parvar, and Cédric Okou (2018). "Downside Variance Risk Premium," Journal of Financial Econometrics, vol. 16, no. 3. pp. 341-383.
  • Blanchard, Olivier, Christopher G. Collins, Mohammad R. Jahan-Parvar, Thomas Pellet, and Beth Anne Wilson (2018). "A Year of Rising Dangerously? The U.S. Stock Market Performance in the Aftermath of the Presidential Election," Journal of Policy Modeling, vol. 40, no. 3, pp. 489-502.
  • Datta, Deepa, Juan M. Londono, Bo Sun, Daniel Beltran, Thiago Ferreira, Matteo Iacoviello, Mohammad R. Jahan-Parvar, Canlin Li, Marius Rodriguez, and John Rogers (2017). "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216. Board of Governors of the Federal Reserve System (U.S.).
  • 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.).
  • 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, Bruno, Mohammad R. Jahan-Parvar, and Roméo 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.
  • conference

    2018

    European Finance Association

    Does Smooth Ambiguity Matter for Asset Pricing?

  • conference

    2018

    Western Finance Association

    Does Smooth Ambiguity Matter for Asset Pricing?

  • seminar

    2018

    Cal Poly

    Does Smooth Ambiguity Matter for Asset Pricing?

  • 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

Conference Organization
  • November 2018 | Washington, DC

    Southern Economic Association

    Session Organizer and Chair

Referee
  • 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 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 29, 2018