Search Results - "CHIU, CHING‐WAI (JEREMY)"

How important are global geopolitical risks to emerging countries? by Cheng, Chak Hung Jack, Chiu, Ching-Wai (Jeremy)

“…This paper shows that shocks to global geopolitical risk carry considerable business cycle implications for emerging economies. We estimate structural VAR…”
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Financial market Volatility, macroeconomic fundamentals and investor Sentiment by (Jeremy) Chiu, Ching-wai, Harris, Richard D.F., Stoja, Evarist, Chin, Michael

“…•We investigate the relationship between financial volatility and the real economy.•Adverse shocks to aggregate demand and supply increase persistent…”
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Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom by Chatterjee, Somnath, Chiu, Ching‐Wai (Jeremy), Duprey, Thibaut, Hacıoğlu‐Hoke, Sinem

“…We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on…”
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A new approach for detecting shifts in forecast accuracy by Chiu, Ching-Wai (Jeremy), Hayes, Simon, Kapetanios, George, Theodoridis, Konstantinos

“…Forecasts play a critical role at inflation-targeting central banks, such as the Bank of England. Breaks in the forecast performance of a model can potentially…”
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Forecasting with VAR models: Fat tails and stochastic volatility by Chiu, Ching-Wai (Jeremy), Mumtaz, Haroon, Pintér, Gábor

“…We provide evidence that modelling both fat tails and stochastic volatility are important in improving in-sample fit and out-of-sample forecasting performance…”
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Nonlinear Effects of Mortgage Spreads Over the Business Cycle by CHENG, CHAK HUNG JACK, CHIU, CHING‐WAI (JEREMY)

“…This paper provides robust evidence for the nonlinear effects of mortgage spread shocks during recessions and expansions in the United States. Estimating a…”
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Tail risk interdependence by Polanski, Arnold, Stoja, Evarist, Chiu, Ching‐Wai (Jeremy)

“…We present a framework focused on the interdependence of high‐dimensional tail events. This framework allows us to analyse and quantify tail interdependence at…”
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Bayesian Mixed Frequency VARs by Eraker, Bjørn, Chiu, Ching Wai (Jeremy), Foerster, Andrew T., Kim, Tae Bong, Seoane, Hernán D.

“…Economic data are collected at various frequencies but econometric estimation typically uses the coarsest frequency. This article develops a Gibbs sampler for…”
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Corporate decision making in the presence of political uncertainty: The case of corporate cash holdings by Hankins, William B., Stone, Anna‐Leigh, Cheng, Chak Hung Jack, Chiu, Ching‐Wai (Jeremy)

“…Using a quarterly panel of U.S. corporations over the period 1985–2014, we show that corporate managers respond to political uncertainty and economic policy…”
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A macroeconomic investigation of funding liquidity and monetary policy shocks in the United States by Chiu, Ching-Wai (Jeremy)

“…This article provides empirical evidence that aggregate funding liquidity shocks and monetary policy shocks contribute to the business cycles in the United…”
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Does US partisan conflict matter for the Euro area? by Cheng, Chak Hung Jack, Hankins, William B., Chiu, Ching-Wai (Jeremy)

“…This paper highlights the international transmission of political uncertainty originated from a US partisan conflict shock, a newly identified shock that…”
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Partisan conflict, policy uncertainty and aggregate corporate cash holdings by Cheng, Chak Hung Jack, Chiu, Ching-Wai (Jeremy), Hankins, William B., Stone, Anna-Leigh

“…This paper distinguishes political uncertainty from policy uncertainty shocks and uncovers new empirical facts about how each impacts the aggregate cash…”
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