Andrey Ermolov
Associate Professor of Finance and Business Economics
Felix E. Larkin Distinguished Professor in Management
Gabelli School of Business, Fordham University

Research interests:
Asset pricing, macrofinance, international finance, time series econometrics

My CV is here.
My Google Scholar profile is here.
My SSRN page is here.
My LinkedIn profile is here.

Contact details:
Martino Hall, room 619,
45 Columbus Avenue,
10023, New York, NY, USA
E-mail: aermolov1(at)fordham.edu
Phone: (+1) 917-969-0060

Publications

  1. "Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks", with Geert Bekaert and Eric Engstrom, American Economic Journal: Macroeconomics, forthcoming.

    Time series of Aggregate Demand and Aggregate Supply Shocks, Codes to estimate Bad Environments, Good Environments stochastic volatility likelihood, Slides

  2. "The Variance Risk Premium in Equilibrium Models", with Geert Bekaert and Eric Engstrom, Review of Finance, 2023, vol. 27, pp. 1977-2014.

    Slides, Video

  3. "International Yield Co-movements", with Geert Bekaert, Journal of Financial and Quantitative Analysis, 2023, vol. 58, pp. 250-288.

    Slides

  4. "Time-varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?", solo-authored, Journal of Financial Economics, 2022, vol. 145, pp. 1-28.

    Slides

  5. "When and Where Is It Cheaper to Issue Inflation-linked Debt?", solo-authored, Review of Asset Pricing Studies, 2021, vol. 11, pp. 610-653.

    Time series of international inflation-linked yields, Slides

  6. "Macro Risks and the Term Structure of Interest Rates", with Geert Bekaert and Eric Engstrom, Journal of Financial Economics, 2021, vol. 141, pp. 479-504.

    Slides

  7. "Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis", with Geert Bekaert and Eric Engstrom, Covid Economics, 2020, vol. 25, pp. 141-168.

    Slides

  8. "Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model", with Geert Bekaert and Eric Engstrom, Journal of Econometrics, 2015, vol. 186, pp. 258-275.

    Codes to estimate Bad Environments, Good Environments GARCH likelihood, Slides

Working Papers

  1. "Currency Basket Co-movements", with Geert Bekaert.
  2. "A New Decomposition of U.S. Recessions and Crises into Aggregate Supply and Demand Components", with Geert Bekaert and Eric Engstrom.

    Slides

  3. "The U.S. Monetary Policy Transmission in Global Equity Markets", with Lina Lu and Shaowen Luo.

    Slides

  4. "International Real Yields", solo-authored.
  5. "US Government Bond Liquidity during the COVID-19 Pandemic", solo-authored.
  6. "A Unified Theory of Bond and Currency Markets", solo-authored.