Eric Engstrom

U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets

Economist

20th & C. St., N.W.

Washington, DC 20551

United States

SCHOLARLY PAPERS

10

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6,441

CITATIONS
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Top 3,010

in Total Papers Citations

184

Scholarly Papers (10)

Inflation and the Stock Market: Understanding the 'Fed Model'

Number of pages: 40 Posted: 29 Apr 2008 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 2,444 (4,004)
Citation 23

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Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

Inflation and the Stock Market: Understanding the 'Fed Model'

Journal of Monetary Economics, Vol. 57, No. 3, pp. 278-294, 2010
Number of pages: 40 Posted: 21 Oct 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 147 (170,572)
Citation 23

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Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 31 Jul 2009 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 968 (18,299)
Citation 19

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Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 18 Mar 2011 Last Revised: 29 Oct 2014
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 48 (348,008)
Citation 19

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Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability

Asset Return Dynamics Under Bad Environment Good Environment Fundamentals

NBER Working Paper No. w15222
Number of pages: 52 Posted: 18 Aug 2009 Last Revised: 06 Aug 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 14 (506,039)
Citation 19

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Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

CEPR Discussion Paper No. DP8150
Number of pages: 52 Posted: 27 Dec 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 2 (575,795)
Citation 19
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium

3.
Downloads 804 ( 24,542)
Citation 44

Stock and Bond Returns with Moody Investors

AFA 2006 Boston Meetings Paper
Number of pages: 61 Posted: 17 Mar 2005
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads 731 (27,620)
Citation 44

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Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors

Stock and Bond Returns with Moody Investors

NBER Working Paper No. w12247
Number of pages: 63 Posted: 25 May 2006
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads 43 (364,529)
Citation 44

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Stock and Bond Returns with Moody Investors

CEPR Discussion Paper No. 5951
Number of pages: 65 Posted: 18 Aug 2004
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads 30 (416,616)
Citation 44
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Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence

4.

The Conditional Relationship Between the Equity Risk Premium and the Dividend Price Ratio

Number of pages: 58 Posted: 05 Apr 2003
Eric Engstrom
U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 531 (40,355)

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stock return, predictability, dividend yield, dividend price ratio

5.
Downloads 511 ( 45,133)
Citation 53

Risk, Uncertainty and Asset Prices

Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56 Posted: 08 Aug 2005
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 445 (53,123)
Citation 53

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Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity

Risk, Uncertainty and Asset Prices

CEPR Discussion Paper No. 5947
Number of pages: 57 Posted: 03 Jan 2007
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 35 (394,891)
Citation 53
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Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure

Risk, Uncertainty and Asset Prices

NBER Working Paper No. w12248
Number of pages: 55 Posted: 25 May 2006
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 31 (411,914)
Citation 53

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Risk, Uncertainty, and Asset Prices

Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University

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Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 58 Posted: 23 Jul 2013 Last Revised: 08 Feb 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Gabelli School of Business, Fordham University
Downloads 428 (55,749)

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GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Netspar Discussion Paper No. 07/2013-033
Number of pages: 59 Posted: 19 Oct 2013 Last Revised: 07 Jul 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Gabelli School of Business, Fordham University
Downloads 33 (403,214)

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Macro Risks and the Term Structure of Interest Rates

Number of pages: 74 Posted: 31 Aug 2016 Last Revised: 15 Nov 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Gabelli School of Business, Fordham University
Downloads 193 (133,680)

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macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation

Macro Risks and the Term Structure of Interest Rates

FEDS Working Paper No. 2017-058
Number of pages: 76 Posted: 05 Jun 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Gabelli School of Business, Fordham University
Downloads 49 (344,841)

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Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium

Macro Risks and the Term Structure of Interest Rates

NBER Working Paper No. w22839
Number of pages: 62 Posted: 21 Nov 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Gabelli School of Business, Fordham University
Downloads 16 (494,247)
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8.

Inflation and the Stock Market:Understanding the "Fed Model"

NBER Working Paper No. w15024
Number of pages: 41 Posted: 03 Jun 2009 Last Revised: 22 Jul 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 49 (316,080)
Citation 22

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9.

The Time Variation in Risk Appetite and Uncertainty

Number of pages: 62 Posted: 14 Nov 2017
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Columbia Business School - Finance and Economics
Downloads 0 (481,459)

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Risk Appetite, Economic Uncertainty, Asset Pricing, Non-Gaussianity, Predictability, High Frequency Risk Aversion Index

10.

Asset Return Dynamics Under Habits and Bad-Environment Good-Environment Fundamentals

FEDS Working Paper No. 2015-53
Number of pages: 65 Posted: 08 Oct 2015
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 0 (163,701)
Citation 19

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VIX, equity premium, habit, risk aversion, skewness