Aytek Malkhozov

Board of Governors of the Federal Reserve System

Senior Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 14,128

SSRN RANKINGS

Top 14,128

in Total Papers Downloads

4,292

SSRN CITATIONS
Rank 9,112

SSRN RANKINGS

Top 9,112

in Total Papers Citations

53

CROSSREF CITATIONS

89

Scholarly Papers (11)

1.

How Have Central Banks Implemented Negative Policy Rates?

BIS Quarterly Review March 2016
Number of pages: 14 Posted: 09 Mar 2016
Morten L. Bech and Aytek Malkhozov
Bank for International Settlements (BIS) - Committee on Payments and Market Infrastructures and Board of Governors of the Federal Reserve System
Downloads 1,682 (12,589)
Citation 14

Abstract:

Loading...

Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 814 (36,393)
Citation 4

Abstract:

Loading...

Liquidity, Market Frictions, Capital Constraints, International CAPM

International Illiquidity

FRB International Finance Discussion Paper No. 1201
Number of pages: 60 Posted: 26 Mar 2017
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 96 (333,070)

Abstract:

Loading...

Liquidity, Market Frictions, Capital Constraints, International CAPM

3.
Downloads 696 ( 45,680)
Citation 17

Mortgage Risk and the Yield Curve

The Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 23 Jan 2016
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 632 (51,234)
Citation 1

Abstract:

Loading...

Term Structure of Interest Rates, MBS, Supply Factor

Mortgage Risk and the Yield Curve

BIS Working Paper No. 532
Number of pages: 53 Posted: 15 Dec 2015
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 64 (423,323)
Citation 6

Abstract:

Loading...

Term structure of interest rates, MBS, supply factor

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Journal of Financial Economics, Forthcoming
Number of pages: 34 Posted: 06 Jun 2014 Last Revised: 19 Mar 2016
Laurent Barras and Aytek Malkhozov
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System
Downloads 248 (151,578)
Citation 3

Abstract:

Loading...

Variance Risk Premium, Option, Equity, Financial Intermediaries

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

BIS Working Paper No. 521
Number of pages: 48 Posted: 15 Oct 2015
Laurent Barras and Aytek Malkhozov
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System
Downloads 82 (368,044)
Citation 11

Abstract:

Loading...

variance risk premium, option, equity, financial intermediaries

5.

Expectations and Aggregate Risk

Number of pages: 66 Posted: 14 Dec 2013 Last Revised: 30 Apr 2020
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
London Business School - Department of Finance, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 259 (145,706)
Citation 4

Abstract:

Loading...

News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

6.
Downloads 134 (261,648)
Citation 10

Asset Prices in Affine Real Business Cycle Models

Number of pages: 33 Posted: 13 May 2011
Aytek Malkhozov and Maral Shamloo
Board of Governors of the Federal Reserve System and International Monetary Fund (IMF) - Main
Downloads 74 (390,929)
Citation 5

Abstract:

Loading...

Asset Prices in Affine Real Business Cycle Models

IMF Working Paper No. 10/249
Number of pages: 42 Posted: 01 Feb 2011
Aytek Malkhozov and Maral Shamloo
Board of Governors of the Federal Reserve System and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 60 (437,739)
Citation 2

Abstract:

Loading...

Asset prices, Business cycles, Economic models, External shocks, Productivity

7.

Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

Forthcoming at the Review of Financial Studies
Number of pages: 74 Posted: 11 Sep 2017 Last Revised: 28 Nov 2020
Amir Akbari, Francesca Carrieri and Aytek Malkhozov
Ontario Tech. University, McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System
Downloads 133 (263,130)

Abstract:

Loading...

International Finance, Market Segmentation, Integration Reversals, Funding Liquidity

8.
Downloads 71 (395,564)
Citation 1

Market Integration and Global Crashes

Swiss Finance Institute Research Paper No. 16-49
Number of pages: 39 Posted: 25 Jul 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Board of Governors of the Federal Reserve System
Downloads 71 (400,225)
Citation 2

Abstract:

Loading...

Market Integration, Foreign Direct Investment, Frictions, Fragility, Crashes, Crises

Market Integration and Global Crashes

CEPR Discussion Paper No. DP11468
Number of pages: 40 Posted: 30 Aug 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Board of Governors of the Federal Reserve System
Downloads 0
  • Add to Cart

Abstract:

Loading...

Crashes, Crises, Financial Frictions, market integration

9.

Reversals in Global Market Integration and Funding Liquidity

FRB International Finance Discussion Paper No. 1202
Number of pages: 59 Posted: 26 Mar 2017
Amir Akbari, Francesca Carrieri and Aytek Malkhozov
Ontario Tech. University, McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System
Downloads 48 (476,907)

Abstract:

Loading...

International Finance, Market Segmentation, Integration Reversals, Funding Liquidity

10.

Portfolio Choice Problem with Stochastic Volatility and Minimum Performance Constraint

Number of pages: 18 Posted: 13 May 2011
Aytek Malkhozov
Board of Governors of the Federal Reserve System
Downloads 29 (569,452)

Abstract:

Loading...

11.

Cyclicality and the Severity of the U.S. Supervisory Stress Test: 2014 to 2018

FEDS Notes No. 2019-06-07
Posted: 13 Aug 2019 Last Revised: 02 Oct 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

Abstract:

Loading...