Eric Engstrom

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

14

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9,341

SSRN CITATIONS
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Top 1,863

in Total Papers Citations

261

CROSSREF CITATIONS

387

Scholarly Papers (14)

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 Board of Governors of the Federal Reserve System
Downloads 2,571 (5,398)
Citation 2

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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 Board of Governors of the Federal Reserve System
Downloads 171 (195,231)
Citation 25

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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 Board of Governors of the Federal Reserve System
Downloads 983 (24,883)
Citation 13

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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 Board of Governors of the Federal Reserve System
Downloads 60 (401,315)
Citation 3

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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 Board of Governors of the Federal Reserve System
Downloads 20 (598,035)

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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 Board of Governors of the Federal Reserve System
Downloads 2 (742,037)
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium

3.
Downloads 896 ( 28,889)
Citation 8

The Time Variation in Risk Appetite and Uncertainty

Columbia Business School Research Paper No. 17-108, 31st Australasian Finance and Banking Conference 2018, American Finance Association Annual Meeting 2019
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 28 Aug 2020
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 882 (29,078)
Citation 3

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Risk aversion, Economic uncertainty, Dynamic asset pricing model, VIX, Variance risk premium, Sentiment, Covid crisis.

The Time Variation in Risk Appetite and Uncertainty

NBER Working Paper No. w25673
Number of pages: 78 Posted: 26 Mar 2019
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 14 (642,289)
Citation 7
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Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Number of pages: 29 Posted: 28 May 2020 Last Revised: 01 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 803 (33,192)
Citation 1

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macroeconomic volatility, business cycles, COVID-19

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-Time Analysis

FEDS Working Paper No. 2020-049
Number of pages: 30 Posted: 23 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 51 (434,051)

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Business cycles, COVID-19, Macroeconomic volatility

5.
Downloads 831 ( 32,108)
Citation 37

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, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 750 (36,376)
Citation 5

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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 Last Revised: 31 Jul 2006
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 51 (434,051)
Citation 1

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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, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 30 (531,776)
Citation 4
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Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence

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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 525 (58,300)
Citation 10

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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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 52 (430,254)
Citation 6

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

Number of pages: 60 Posted: 16 Aug 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 4 (721,510)
Citation 1

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non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness

7.

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

Number of pages: 58 Posted: 05 Apr 2003
Eric Engstrom
Board of Governors of the Federal Reserve System
Downloads 578 (52,233)
Citation 8

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stock return, predictability, dividend yield, dividend price ratio

8.
Downloads 543 ( 56,502)
Citation 86

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, Board of Governors of the Federal Reserve System and Rice University
Downloads 469 (67,154)
Citation 4

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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

NBER Working Paper No. w12248
Number of pages: 55 Posted: 25 May 2006 Last Revised: 31 Jul 2006
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads 39 (485,218)
Citation 2

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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, Board of Governors of the Federal Reserve System and Rice University
Downloads 35 (504,736)
Citation 19
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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

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, Board of Governors of the Federal Reserve System and Rice University

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Macro Risks and the Term Structure of Interest Rates

Number of pages: 67 Posted: 31 Aug 2016 Last Revised: 13 May 2018
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 416 (77,661)

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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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 66 (381,903)

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

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 05 Jun 2018 Last Revised: 06 Dec 2019
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 37 (494,833)

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bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors

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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 22 (583,851)

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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 Board of Governors of the Federal Reserve System
Downloads 288 (117,807)
Citation 28

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VIX, equity premium, habit, risk aversion, skewness

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

Number of pages: 82 Posted: 26 Aug 2015 Last Revised: 29 Apr 2019
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 21 (590,886)

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habit, volatility premium, non-Gaussian distribution, consumption

11.

The Near-Term Forward Yield Spread as a Leading Indicator: A Less Distorted Mirror

FEDS Working Paper No. 2018-055
Number of pages: 20 Posted: 20 Aug 2018 Last Revised: 03 Apr 2019
Eric Engstrom and Steven A. Sharpe
Board of Governors of the Federal Reserve System and Federal Reserve Board - Research & Statistics
Downloads 218 (156,520)
Citation 2

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Equity return predictability, Monetary policy, Policy path, Portfolio strategy, Recession forecast, Yield spread

12.
Downloads 114 (269,334)
Citation 1

The Variance Risk Premium in Equilibrium Models

Number of pages: 69 Posted: 03 Apr 2020 Last Revised: 04 May 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 111 (275,947)

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variance risk premium, macroeconomic uncertainty, non-Gaussian dynamics

The Variance Risk Premium in Equilibrium Models

NBER Working Paper No. w27108
Number of pages: 70 Posted: 12 May 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 3 (730,589)
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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 Board of Governors of the Federal Reserve System
Downloads 69 (368,403)

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14.

(Don't Fear) the Yield Curve

FEDS Notes No. 2018-06-28
Posted: 06 Jul 2018 Last Revised: 25 Jun 2020
Eric Engstrom and Steven A. Sharpe
Board of Governors of the Federal Reserve System and Federal Reserve Board - Research & Statistics

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