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)