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Marius del Giudice Rodriguez

Personal Details

First Name:Marius
Middle Name:del Giudice
Last Name:Rodriguez
Suffix:
RePEc Short-ID:pro710
http://www.frbsf.org/economics/economists/staff.php?mrodriguez
Terminal Degree:2006 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy)

Affiliation

Economic Research
Federal Reserve Bank of San Francisco

San Francisco, California (United States)
http://www.frbsf.org/economics/

(415) 974-3190
(415) 974-2168
P.O. Box 7702, San Francisco, CA 94120-7702
RePEc:edi:erfsfus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020. "What is Certain about Uncertainty?," International Finance Discussion Papers 1294, Board of Governors of the Federal Reserve System (U.S.).
  2. Stephanie E. Curcuru & Steven B. Kamin & Canlin Li & Marius del Giudice Rodriguez, 2018. "International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234, Board of Governors of the Federal Reserve System (U.S.).
  3. Canlin Li & Andrew C. Meldrum & Marius del Giudice Rodriguez, 2017. "Robustness of Long-Maturity Term Premium Estimates," FEDS Notes 2017-04-03, Board of Governors of the Federal Reserve System (U.S.).
  4. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).
  5. Marius del Giudice Rodriguez & Emre Yoldas, 2016. "Drivers of Inflation Compensation : Evidence from Inflation Swaps in Advanced Economies," IFDP Notes 2016-12-30-2, Board of Governors of the Federal Reserve System (U.S.).
  6. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
  7. Marius del Giudice Rodriguez & Thomas Wu, 2013. "The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability," Working Paper Series 2013-20, Federal Reserve Bank of San Francisco, revised 01 May 2013.
  8. Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
  9. Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.

Articles

  1. Hamed Faquiryan & Marius del Giudice Rodriguez, 2014. "Bank counterparties and collateral usage," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
  2. Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(3), pages 305-334, Summer.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Stephanie E. Curcuru & Steven B. Kamin & Canlin Li & Marius del Giudice Rodriguez, 2018. "International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Mehrotra, Aaron & Moessner, Richhild & Shu, Chang, 2019. "Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities," BOFIT Discussion Papers 20/2019, Bank of Finland, Institute for Economies in Transition.
    2. Jonathan Kearns & Andreas Schrimpf & Dora Xia, 2018. "Explaining Monetary Spillovers: The Matrix Reloaded," BIS Working Papers 757, Bank for International Settlements.
    3. Lael Brainard, 2018. "What Do We Mean by Neutral and What Role Does It Play in Monetary Policy?: a speech at the Detroit Economic Club, Detroit, Michigan," Speech 1011, Board of Governors of the Federal Reserve System (U.S.).
    4. Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.

  2. Canlin Li & Andrew C. Meldrum & Marius del Giudice Rodriguez, 2017. "Robustness of Long-Maturity Term Premium Estimates," FEDS Notes 2017-04-03, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.

  3. Daniel O. Beltran & Deepa Dhume Datta & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Juan M. Londono & Marius del Giudice Rodriguez & John H. Rogers & Bo Sun, 2017. "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. David Altig & Jose Maria Barrero & Nicholas Bloom & Steven J. Davis & Brent H. Meyer & Nicholas Parker, 2019. "Surveying Business Uncertainty," NBER Working Papers 25956, National Bureau of Economic Research, Inc.
    2. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    3. Julius Loermann, 2018. "The Impact of CHF/EUR Exchange Rate Uncertainty on Swiss Exports to the Eurozone: Evidence from a Threshold VAR," FIW Working Paper series 189, FIW, revised Feb 2019.

  4. Marius del Giudice Rodriguez & Emre Yoldas, 2016. "Drivers of Inflation Compensation : Evidence from Inflation Swaps in Advanced Economies," IFDP Notes 2016-12-30-2, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018. "Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets," Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
    2. Marc de la Barrera & Juraj Falath & Dorian Henricot & Jean-Alexandre Vaglio, 2017. "The Impact of Forward Guidance on Inflation Expectations: Evidence from the ECB," Working Papers 1010, Barcelona Graduate School of Economics.

  5. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
    2. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    3. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    4. Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
    5. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
    6. Nicholas Bloom & Ian Wright & Jose Maria Barrero, 2016. "Short- and Long-run Uncertainty," 2016 Meeting Papers 1576, Society for Economic Dynamics.
    7. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    8. Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
    9. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Businesss School.
    10. Irina Zviadadze, 2017. "Term Structure of Risk on Macrofinance Models," 2017 Meeting Papers 965, Society for Economic Dynamics.
    11. Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York, revised 01 Jan 2016.
    12. Al-Thaqeb, Saud Asaad & Algharabali, Barrak Ghanim, 2019. "Economic policy uncertainty: A literature review," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    13. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    14. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    15. Eraker, Bjørn & Wu, Yue, 2017. "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, vol. 125(1), pages 72-98.
    16. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
    17. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," Papers 2006.15312, arXiv.org, revised Jul 2020.
    18. Nawalkha, Sanjay K & Zhuo, Xiaoyang, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," OSF Preprints hsxtu, Center for Open Science.
    19. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    20. Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
    21. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    22. Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020. "What is Certain about Uncertainty?," International Finance Discussion Papers 1294, Board of Governors of the Federal Reserve System (U.S.).
    23. Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz, 2014. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," Staff Reports 703, Federal Reserve Bank of New York, revised 01 Jan 2017.
    24. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    25. Peter Van Tassel, 2018. "Relative pricing and risk premia in equity volatility markets," Staff Reports 867, Federal Reserve Bank of New York.
    26. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
    27. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
    28. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    29. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
    30. Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017. "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers 1641, Society for Economic Dynamics.
    31. Hollstein, Fabian & Wese Simen, Chardin, 2020. "Variance risk: A bird’s eye view," Journal of Econometrics, Elsevier, vol. 215(2), pages 517-535.
    32. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
    33. Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 133(1), pages 71-127.
    34. Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
    35. Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017. "Bond Variance Risk Premiums," Review of Finance, European Finance Association, vol. 21(3), pages 987-1022.
    36. George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018. "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers 24575, National Bureau of Economic Research, Inc.
    37. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    38. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu, 2020. "The Term Structures of Loss and Gain Uncertainty," Staff Working Papers 20-19, Bank of Canada.

  6. Marius del Giudice Rodriguez & Thomas Wu, 2013. "The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability," Working Paper Series 2013-20, Federal Reserve Bank of San Francisco, revised 01 May 2013.

    Cited by:

    1. Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2015. "Comparative assessment of macroprudential policies," BIS Working Papers 502, Bank for International Settlements.
    2. Tobal Martín, 2017. "Prudential Regulation, Currency Mismatches and Exchange Rates in Latin America and the Caribbean," Working Papers 2017-21, Banco de México.

  7. Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    2. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    3. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    4. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    5. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    6. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    7. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.

  8. Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.

    Cited by:

    1. Baghestani, Hamid & Khallaf, Ashraf, 2012. "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 222-229.

Articles

  1. Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(3), pages 305-334, Summer.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (4) 2015-05-22 2017-01-15 2017-12-03 2018-09-03
  2. NEP-CBA: Central Banking (3) 2013-08-31 2017-01-15 2018-09-03
  3. NEP-MON: Monetary Economics (3) 2013-08-31 2017-01-15 2018-09-03
  4. NEP-RMG: Risk Management (3) 2011-04-30 2013-08-31 2015-05-22
  5. NEP-BAN: Banking (1) 2011-04-30
  6. NEP-CMP: Computational Economics (1) 2011-04-30
  7. NEP-ECM: Econometrics (1) 2011-04-30
  8. NEP-IFN: International Finance (1) 2013-08-31
  9. NEP-OPM: Open Economy Macroeconomics (1) 2018-09-03

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