Uncertainty and the Economy: The Evolving Distribution of Aggregate Supply and Aggregate Demand Shocks,” with Eric Engstrom and Andrey Ermolov
Identifying Aggregate Supply and Demand Shocks using Sign Restrictions and Higher Order Moments," with Eric Engstrom and Andrey Ermolov

The China Valuation Gap,” with Shuojia Ke, Xue Wang,  Xiaoyan Zhang

"Variance Risk in Global Markets" with Robert Hodrick and Andrea Kiguel
"The (Re) Allocation of Bank Risk,” with Johannes Breckenfelder
Risk, Monetary Policy and Asset Prices in a Global World,” with Marie Hoerova, and Nancy Xu
Sustainable Investment - Exploring the Linkage between Alpha, ESG, and SDG's,” with Richard V Rothenberg and Miquel Noguer
"The International Commonality of Idiosyncratic Variances,” with Xue Wang, and Xiaoyan Zhang.
"Emerging Equity Markets in a Globalizing World" with Campbell Harvey
"Stock and Bond Pricing in an Affine Economy," with Eric Engstrom and Steve Grenadier
"Home Bias Revisited," with Stephan Siegel and Xiaozheng Wang, and Nancy Xu (revision coming soon).
An Anatomy of Central and Eastern European Equity Markets,” with Lieven Baele and Larissa Schaefer

list of Publications

International Yield Co-movements,” (Previously entitled: “Inflation-linked versus Nominal Bond Yields: On Inflation and Liquidity Risk Premiums around the World”), with Andrey Ermolov, accepted at the Journal of Financial and Quantitative Analysis.
The Variance Risk Premium in Equilibrium Models, “with Eric Engstrom and Andrey Ermolov, accepted at the Review of Finance
"Currency Factors" with Arash Aloosh, Management Science, June 2022, vol.68, Issue 6, 4042-4064.
"The Time Variation in Risk Appetite and Uncertainty," with Eric Engstrom and Nancy R. Xu, Management Science, June 2022, vol.68, Issue 6, 3975-4004
-Risk Aversion and Uncertainty Indices
"Risk and Return in International Corporate Bond Markets,” with Roberto De Santis, Journal of International Financial Markets, Institutions and Money, May 2021, Vol 72, 101338, 1-32
- Link to Journal Website
"Macro Risks and the Term Structure of Interest Rates," with Eric Engstrom and Andrey Ermolov, Journal of Financial Economics, August 2021, Vol. 141, Issue 2, 479-504
Aggregate Demand and Aggregate Supply Effects of Covid-19: A Real-time Analysis;” with Eric Engstrom and Andrey Ermolov, Covid Economics, June 2020, 25, 141-168

"Good Carry, Bad Carry" with George Panayotov, Journal of Financial and Quantitative Analysis,“ June 2020, Vol. 5, Issue 4, 1063-1094

"Flights to Safety," with Lieven Baele, Koen Inghelbrecht, Min Wei, Review of Financial Studies, Review of Financial Studies, February 2020, Vol. 33, 689-746
- Daily Flights to Safety dummies for 23 countries

"Economic and Financial Integration in Europe," with Campbell Harvey, Chrisitian Lundblad, and Stephan Siegel, ifo DICE Report, Spring 2017, 36-42; also in “Capital Markets Union and Beyond,” edited by Michael Haliassos, Franklin Allen, Katja Langenbucher, and Esther Faia; MIT Press, 2019, 69-83.

"On the Link between the Volatility and Skewness of Growth," with Alexander A. Popov, , IMF Economic Review, December 2019, Volume 67, 746–790

"On the Global Financial Market Integration ‘Swoosh’ and the Trilemma" with Arnaud Mehl, Journal of International Money and Finance, Vol 94, June 2019, 227-245.

"Who is Internationally Diversified? Evidence from 296 401(k) Plans of 296 firms" with Kenton Hoyem, Wei-Yin Hu and Enrichetta Ravina, Journal of Financial Economics, Vol. 124, April 2017, 86-112

"Asset Return Dynamics under Habits and Bad Environment Good Environment Fundamentals," with Eric Engstrom, Journal of Political Economy, Vol. 125, June 2017, 713-760
- link to published version

"Globalization and Asset Returns," with Campbell R. Harvey, Andrea Kiguel, and Xiaozheng Sandra Wang, Annual Review of Financial Economics, Vol 8, October 2016, 221-288

What do asset prices have to say about risk appetite and uncertainty?” with Marie Hoerova, Journal of Banking and Finance, Vol. 67, June 2016, 103-118
Political Risk and International Valuation,” with Campbell Harvey, Christian Lundblad, and Stephan Siegel, Journal of Corporate Finance, 37, April 2016, 1-23
"Macroeconomic Regimes," with Lieven Baele, Seonghoon Cho, Koen Inghelbrecht and Antonio Moreno; Journal of Monetary Economics, 70, March 2015, 51-71

"Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model," with Eric Engstrom and Andrey Ermolov; Journal of Econometrics, 186, May 2015, 258-275
   - BEGE- Codes
   - Slides

"The VIX, the Variance Premium and Stock Market Volatility," with Marie Hoerova, Journal of Econometrics, December 2014, 183, 181-192
"The Global Crisis and Equity Market Contagion," with Michael Ehrmann, Marcel Fratzscher, and Arnaud Mehl, Journal of Finance, 69, 6, December 2014, 2597-2649
"Political Risk Spreads," with Campbell Harvey, Christian Lundblad, and Stephan Siegel, Journal of International Business Studies, May 2014, 45.4, 471-493
"Risk, Uncertainty and Monetary Policy," with Marie Hoerova and Marco Lo Duca, Journal of Monetary Economics, October 2013, Vol. 60:7, 771-788
"The European Union, the Euro, and Equity Market Integration" with Campbell Harvey, Christian Lundblad, and Stephan Siegel, Journal of Financial Economics, 2013, Vol. 109:3, 583-603. (lead article)
"Aggregate Idiosyncratic Volatility," with Robert J. Hodrick and Xiaoyan Zhang, Journal of Financial and Quantitative Analysis, December 2012, Vol. 47, No. 06, 1155-1185
"What Segments Equity Markets?," with Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel, Review of Financial Studies, Vol 24, Issue 12, 3847-3890, 2011 (lead article)

"Financial Openness and Productivity," with Campbell R. Harvey and Christian T. Lundblad, World Development, Vol. 39, Issue 1, 1-19, 2011
-click here for the NBER paper

"Stock and Bond Returns with Moody Investors," with Eric Engstrom and Steve Grenadier, Journal of Empirical Finance, Vol. 17, issue 5, 867-894, 2010
"Inflation Risk and the Inflation Risk Premium," with Xiaozheng Wang, Economic Policy, Vol. 25, Issue 64, pp. 755-806, October 2010
"Inflation and the Stock Market: Understanding the 'Fed Model'," with Eric Engstrom, Journal of Monetary Economics, Vol. 57(3), 2010, 278-294
- Data and Programs
"The Determinants of Stock and Bond Return Comovements," with Lieven Baele and Koen Inghelbrecht, Review of Financial Studies, Vol 23 (6), 2010, 2374-2428
"New-Keynesian Macroeconomics and the Term Structure," with Seonghoon Cho and Antonio Moreno, Journal of Money, Credit and Banking Vol 42(1), 2010, 33-62
"International Stock Return Comovements," with Robert Hodrick and Xiaoyan Zhang, Journal of Finance, 64(6), 2009, 2591-2626
"Risk, Uncertainty and Asset Prices," with Eric Engstrom and Yuhang Xing, Journal of Financial Economics, 91, 2009, 59-82
"The Term Structure of Real Rates and Expected Inflation," with Andrew Ang and Min Wei, Journal of Finance, 63(2), 2008, 797-849
"Liquidity and Expected Returns: Lessons from Emerging Markets," with Campbell R. Harvey and Christian Lundblad, Review of Finanical Studies, 20(6), 2007, 1783-1831
"Uncovered Interest Rate Parity and the Term Structure of Interest Rates," with Min Wei and Yuhang Xing, Journal of International Money and Finance, 26 (6), 2007, 1038-1069
"Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?," with Andrew Ang and Min Wei, Journal of Monetary Economics, 54 (4), 2007, 1163-1212
"Stock Return Predictability: Is it there?" with Andrew Ang, Review of Financial Studies, 20(3), 2007, 651-707
"Global Growth Opportunities and Market Integration," with Campbell Harvey, Christian Lundblad, and Stephan Siegel, Journal of Finance, 62 (3), 2007,1081-1137.
"Growth Volatility and Financial Liberalization," with Cam Harvey and Chris Lundblad, Journal of International Money and Finance, 25, 2006, 370-403.
"Why Stocks May Disappoint," with Andrew Ang and Jun Liu, Journal of Financial Economics 76, 2005, 471-508.
"Does Financial Liberalization Spur Economic Growth," with Campbell Harvey and Christian Lundblad, Journal of Financial Economics 77, 2005, 3-55.
"Market Integration and Contagion," with Campbell R. Harvey and Angela Ng, Journal Of Business, 78 (1), 2005, 39-69
"How do Regimes Affect Asset Allocation," with Andrew Ang, Financial Analysts Journal, 2004, pp. 86-99.
"Conditioning Information and Variance Bounds on Pricing Kernels," with Jun Liu, Review of Financial Studies 17(2), 2004, 339-378. Also published as NBER working paper 6880
"Emerging Markets Finance," with Campbell R. Harvey, Journal of Empirical Finance 10, 2003, 3-55.
"Research in Emerging Markets Finance: Looking to the Future," with Campbell R. Harvey, Emerging Markets Review 3, 2002, 429-448.
"Dating the Integration of World Equity Markets," with Campbell R. Harvey and Robin Lumsdaine, Journal of Financial Economics (65), 2, 2002, 203-248.
"International Asset Allocation with Regime Shifts," with Andrew Ang, Review of Financial Studies (15), 4, Fall 2002, 1137-1187.
"The Dynamics of Emerging Market Equity Flows," with Campbell R. Harvey and Robin Lumsdaine, Journal of International Money and Finance (21) 3, 2002, 295-350.
"Regime Switches In Interest Rates," with Andrew Ang, Journal of Business and Economic Statistics 20, April 2002, 163-182.
"Short Rate Nonlinearities and Regime Switches," with Andrew Ang, Journal of Economic Dynamics and Control 26 (7-8), 2002, 1243-1274.
"Emerging Equity Markets and Economic Development," with Campbell R. Harvey and Christian Lundblad, Journal of Development Economics 66, December 2001,465-504.
"Peso Problem Explanations for Term Structure Anomalies," with Robert J. Hodrick and David Marshall, Journal of Monetary Economics 48(2), October 2001, 241-270.
"Expectations Hypotheses Tests," with Robert J. Hodrick, Journal of Finance 56, August 2001, 1357- 1394. Reprinted in International Capital Markets, edited by R. Stulz and G. A. Karolyi, International Library of Critical Writings in Financial Economics, Edward Elgar.
"Capital Flows and the Behavior of Emerging Equity Market Returns," with Campbell R. Harvey, in Capital Flows and the Emerging Economies: Theory, Evidence and Controversies, Editor: Sebastian Edwards, NBER, 2000, 159-194. Also published as NBER working paper 6669
"Foreign Speculators and Emerging Equity Markets," with Campbell R. Harvey, Journal of Finance 55, April 2000, 565-613. Reprinted in International Capital Markets, edited by R. Stulz and G. A. Karolyi, International Library of Critical Writings in Financial Economics, Edward Elgar. Also published as NBER working paper 6312.
"Asymmetric Volatility and Risk in Equity Markets," with Guojun Wu, Review of Financial Studies 13, Spring 2000, 1-42. Also published as NBER working paper 6022
"Is There a Free Lunch in Emerging Market Equities?" with Michael Urias, Journal of Portfolio Management 25, Spring 1999, 83-95. Reprinted in International Securities, edited by George Philippatos and Gregory Koutmos, part of The International Library of Critical Writings in Financial Economics, edited by Richard Roll, Edward Elgar Publishing Ltd., 2000.
"Capital Markets: An Engine for Economic Growth," with Campbell R. Harvey, The Brown Journal of World Affairs, Winter/Spring 1998, 33-53.
"Target Zones and Exchange Rates: An Empirical Investigation," with Stephen Gray, Journal of International Economics 45, June 1998, 1-35. Also published as NBER working paper 5445
"Distributional Characteristics of Emerging Market Returns and Asset Allocation," with Claude Erb, Campbell R. Harvey and Tadas Viskanta, Winter 1998, Journal of Portfolio Management, 102-116.
"The Implications of First Order Risk Aversion for Asset Market Risk Premiums," with Robert J. Hodrick and David Marshall, September 1997, Journal of Monetary Economics 40, 3-39. Also published as NBER working paper 4624
"On Biases in Tests of the Expectation Hypothesis of the Term Structure of Interest Rates," with Robert J. Hodrick and David Marshall, July 1997, Journal of Financial Economics 44, 309-348. Also published as NBER working paper T0191
"What Matters for Emerging Equity Market Investments?" with Claude Erb, Campbell R. Harvey and Tadas Viskanta, Summer 1997, Emerging Markets Quarterly, 17-46.
"Emerging Equity Market Volatility," with Campbell R. Harvey, January 1997, Journal of Financial Economics 43, 29-77. Also published as NBER working paper 5307
"The Time-Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," Summer 1996, Review of Financial Studies 9, 427-470. Also published as NBER working paper 4818
"Diversification, Integration and Emerging Market Closed-end Funds," with Michael Urias, July 1996, Journal of Finance 51, 835-869. Reprinted in International Capital Markets, edited by R. Stulz and G. A. Karolyi, International Library of Critical Writings in Financial Economics, Edward Elgar. Also published as NBER working paper 4990
"The Time-variation of Expected Returns and Volatility in Foreign Exchange Markets," Journal of Business & Economic Statistics 13, October 1995, 397-408.
"Time-varying World Integration," with Campbell R. Harvey, Journal of Finance 50, June 1995, 403- 444. Reprinted in International Capital Markets, edited by R. Stulz and G. A. Karolyi, International Library of Critical Writings in Financial Economics, Edward Elgar. Also published as NBER working paper 4843
"Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review 9, 1995, 75-107; an earlier version of the paper appeared in Stijn Claessens and Sudarshan Gooptu, eds., Portfolio Investment in Developing Countries, (Washington, World Bank Discussion Paper 228), December 1993, 221-251 and as Chapter 11 in the 1994 Euromoney book, "Investing in Emerging Markets."
"Exchange Rate Volatility and Deviations from Unbiasedness in a Cash-in-Advance Model," Journal of International Economics 36, 1994, 29-52.
"On Biases in the Measurement of Foreign Exchange Risk Premiums," with Robert J. Hodrick, Journal of International Money and Finance 12, April 1993, 115-138. Also published as NBER working paper 3861
"Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," with Robert J. Hodrick, Journal of Finance 47, June 1992, 467-509. To be reprinted in New Developments in Exchange Rate Economics, edited by L. Sarno and M. Taylor; The International Library of Critical Writing in Economics, Edward Elgar and in International Capital Markets, edited by R. Stulz and G. A. Karolyi, International Library of Critical Writings in Financial Economics, Edward Elgar. Also published as NBER working paper 3790
"Caloric Consumption in Industrializing Belgium," Journal of Economic History 51, September 1991, 633-655.

list of Other Publications

"Equity Market Liberalization in Emerging Markets," with Campbell R. Harvey, and Christian T. Lundblad, the Federal Reserve Bank of St-Louis Review 85:4, 2003, 53-74 and the Journal of Financial Research XXVI, 2003, 275-299.

"On the Predictability of Asset Returns," Editor's foreword, Journal of Empirical Finance, December 2001, 451-457.

"Economic Growth and Financial Liberalization," with Campbell R. Harvey, Research Summary in the NBER Reporter, Spring 2001, 8-11

"Zorg zelf voor uw Pensioen," Dutch translation of "Quantitative Investing for the Individual Investor," Trends Review, December 1999, 40-46.

"Emerging Equity Markets and Market Integration," Research Summary in the NBER Reporter, Winter 1999-2000, 8-11.

"The Cross-sectional Determinants of Emerging Equity Market Returns," with Claude Erb, Campbell Harvey and Tadas Viskanta, in Quantitative Investing for the Global Markets, Peter Carman, Ed., Chicago: Glenlake Publishing, 1997, 221-272. This is related to the article "The Behavior of Emerging Market Returns."

"The Behavior of Emerging Market Returns," with Claude Erb, Campbell Harvey and Tadas Viskanta, in Emerging Market Capital Flows, Richard Levich, Ed., New York, 1998, 107-173.

"The Contribution of Speculators to Effective Financial Markets," with Marcio G. P. Garcia and Cam Harvey, Catalyst Institute Monograph, June 1995.

"The Role of Financial Markets in Economic Growth," with Marcio G. P. Garcia and Cam Harvey, Catalyst Institute Monograph, June 1995, an abbreviated version circulates under the title "Capital Markets: An Engine for Economic Growth."

Discussion of "Tests of CAPM on an International Portfolio of Bonds and Stocks," in Jeffrey A. Frankel, ed., The Internationalization of Equity Markets, Chicago: University of Chicago press, 1994.

"Geldmarkt and Geldmarktruimte in België (The Money Market and Money Market Liquidity in Belgium)," Maandschrift Economie, no. 5, 1987.

"The Blurring of Money Concepts," Kredietbank Weekly Bulletin, July 31, 1987.

"De Kredietvraag in België (The Demand for Credit in Belgium)," Bank- and Financiewezen, March 1987.

list of textbooks

International Financial Management,with Robert Hodrick, Cambridge Univeristy Press, 2017, (Third Edition).

Research Links