Associate Professor of Finance and Business Economics
Felix E. Larkin Distinguished Professor in Management
Gabelli School of Business, Fordham University
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Andrey Ermolov Associate Professor of Finance and Business Economics Felix E. Larkin Distinguished Professor in Management Gabelli School of Business, Fordham University |
Publications:
1. The Variance Risk Premium in Equilibrium models, with Geert Bekaert and Eric Engstrom, Review of Finance, forthcoming.
The aggregate stock market index variance risk premium is a robust predictor of moderate, but not extreme, consumption drops, which is against most macro finance models attributing it to either rare disasters or volatility jumps.
2. International Yield Co-movements, with Geert Bekaert, Journal of Financial and Quantitative Analysis, 2023, vol. 58, pp. 250-288.
Since the Great Recession, cross-country nominal and inflation-linked yield correlations have decreased substantially with real yields now being the main source of nominal yields variation.
3. Time-varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?, solo-authored, Journal of Financial Economics, 2022, vol. 145, pp. 1-28.
Shocks extracted purely from consumption growth and inflation data can explain some, but not nearly all, time variation in aggregate stock market-government bond return correlations for both nominal and inflation-linked Treasuries.
4. When and Where Is It Cheaper to Issue Inflation-Linked Debt?, solo-authored, Review of Asset Pricing Studies, 2021, vol. 11, pp. 610-653.
Governments of developed countries can often save money by issuing inflation-linked bonds instead of traditional nominal debt.
[Paper], [Slides], [International inflation-linked zero-coupon yields]
5. 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.
Economically intuitive non-Gaussian macroeconomic factors are robust predictors of government bond returns.
6. 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.
Both aggregate demand and aggregate supply shocks contributed significantly to the US GDP drop during the COVID-19 pandemic: statistical analysis suggests a slow recovery due to a persistent effect of the supply shock, but surveys suggest a much faster rebound.
7. 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.
A GARCH-type model where the volatility is a combination of two gamma shocks, a “good” and a “bad” shock, fits US equity returns remarkably well.
Working Papers:
1. Identifying Aggregate Demand and Supply Shocks Using Sign Restrictions and Higher-Order Moments, with Geert Bekaert and Eric Engstrom, revise and resubmit at the Journal of Political Economy
A novel approach to decompose macroeconomic fluctuations into aggregate demand and aggregate supply components using minimal theoretical restrictions and non-Gaussian features of macroeconomic data.
[Paper], [Aggregate supply and aggregate demand shocks]
2. Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks, with Geert Bekaert and Eric Engstrom, revise and resubmit at the American Economic Journal: Macroeconomics
"Bad" (=negatively skewed) uncertainty of aggregate supply shocks is the main factor explaining why total uncertainty negatively predicts economic activity.
3. US Government Bond Liquidity during the COVID-19 Pandemic
Fed interventions during the COVID-19 pandemic were effective in stabilizing liquidity of on-the-run Treasuries but less so for off-the-run Treasuries and TIPS.
4. International Real Yields
Tests of term structure and international finance theories using market-implied real yields extracted from prices of inflation-linked bonds.
5. A Unified Theory of Bond and Currency Markets
A habit model with bad environment-good environment consumption growth process reproduces several domestic and international bond market puzzles considered difficult to replicate together.