Research
Dr. Mira Farka
Academic Research
Publications
-
“The Fed and the Stock Market: An Identification Based on Intraday Futures Data,” (with Stefania D’Amico), Journal of Business and Economics Statistics , 2011, 29, 1, 126-137.
-
“Monetary Policy and the Term Structure: Addressing Simultaneity within a Structural VAR model,” (with Amadeu DaSilva) Journal of Empirical Finance, 2011, 18, 5, 935-952.
Habit Formation in an Overlapping Generations Model with Borrowing Constraints,” (with Amadeu DaSilva and Christos Giannikos), European Financial Management , 2011, 17, 4, 705-725.
“The Asymmetric Impact of FOMC Statements on Asset Prices,” Contemporary Economic Policy, 2011, 29, 4, 469-493.
“Financial Development, Crisis and Growth,” (with Emmanuel Lartey) Applied Economic Letters , 2011, 18, 8, 711-714.
“The Effect of Monetary Policy Shocks on Stock Prices Accounting for Endogeneity and Omitted Variable Biases,” Review of Financial Economics, 2009, 18, 1, 47-55.
-
"The Effect of Policy Statements on Asset Prices," (with Adrian Fleissig) International Review of Applied Economics , forthcoming.
-
"The Impact of FOMC Statements on the Volatility of Asset Prices," (with Adrian Fleissig), Applied Economics , forthcoming.
Submitted Papers/Working Papers/Work in Progress
-
“Portfolio Allocation and Asset Returns in an OLG Economy with Increasing Risk Aversion,” (with Amadeu DaSilva), (under review)
-
“The Role of Monetary Policy in the Relationship between Inflation and Stock Returns,” (under review)
-
“Financial Fragility, Fed Intervention and the Creation of Asset Price Bubbles,” (with Amadeu DaSilva)
"Asset Prices and Monetary Policy Across Business Cycles"
"Investor Risk Premia and Monetary Policy"
"Epstein-Zin Preferences in an OLG Model: Implications for Asset Pricing” (with Amadeu DaSilva)
"Measuring the Effects of Monetary Policy on “Financial Markets: A Principle Component-Augmented VAR” (with Stefania D’Amico)