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Paul Wohlfarth

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PhD Candidate (Birkbeck, University of London ) | MSc (Warwick) | BA (Göttingen)

My research is on macro-finance and monetary economics. In particular, I investigate international channels of monetary policy transmission on segmented markets as well as the interplay of policy and market volatility.

Research

ResearchGate | GoogleScholar | IDEAS/ RePEc | website

Research Interests

Finance, Macroeconomics, Monetary Economics, Applied Econometrics (in particular Conditional Volatility Models), Financial Frictions (in particular Preferred Habitat Theory)

Job Market Paper

Preferred Habitat, Policy, and the CIP Puzzle

Abstract:

A crucial no-arbitrage condition on foreign exchange markets, covered interest parity (CIP),held almost exactly before the Global Financial Crisis (GFC) and failed since then. CIP deviations have been particularly puzzling in relatively calm markets after 2014. This paper explains deviations from CIP, measured by the cross-currency basis from swaps (CCBS), in terms of significant policy and volatility effects in a preferred habitat model of the Eurodollar swap market. Estimation is done using EGARCH in mean for a set of CCBS maturities. The term structure of the CCBS is further analysed in a Vector Error Correction Model (VECM).

Publications

Wohlfarth, P. (2018). Measuring the Impact of Policy Attention on Global Asset Volatility Using Search Data. Economic Letters. Volume 173 (December 2018)

Working Papers

Wohlfarth, P. (2018). The Effect of Monetary Policy on Global Fixed Income Covariances. BWPEF 1801

Wohlfarth, P. (2012). Replication in the Narrow Sense of Banzhaf/ Walsh 2008. CFS Replication Working Paper 02/2012

Teaching

Birkbeck, University of London

  • Topics in Mathematical Finance and Econometrics, lectures, BSc/ GDE, 2017
  • Applied Statistics and Econometrics, lectures, BSc/ GDE, 2017
  • Applied Statistics and Econometrics, classes, BSc/ GDE, 2017-2019
  • Macroeconomics, classes, BSc/ GDE, 2017-2019

London Business School

  • Teaching assistant, Module: European Financial Markets, MBA, 2019
  • Grading assistant, Modules: World Economy, The Global Macroeconomy, MBA, 2019

Contact

Department for Economics, Mathematics, and Statistics

Birkbeck, University of London,

Malet Street, London WC1E 7HX.

E-Mail: pwohlf01@mail.bbk.ac.uk

Photography

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