Andrey Ermolov

Fordham University - Gabelli School of Business

Assistant Professor of Finance and Business Economics

113 West 60th Street

Bronx, NY 10458

United States

http://faculty.fordham.edu/aermolov1/

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 14,171

SSRN RANKINGS

Top 14,171

in Total Papers Downloads

4,997

SSRN CITATIONS
Rank 10,738

SSRN RANKINGS

Top 10,738

in Total Papers Citations

100

CROSSREF CITATIONS

14

Scholarly Papers (11)

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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 1,876 (12,278)
Citation 9

Abstract:

Loading...

macroeconomic volatility, business cycles, COVID-19

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

FEDS Working Paper No. 2020-49
Number of pages: 30 Posted: 23 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 173 (240,078)

Abstract:

Loading...

2.
Downloads 757 ( 47,171)
Citation 5

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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 518 (75,917)

Abstract:

Loading...

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. 2017-58
Number of pages: 76 Posted: 05 Jun 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 85 (404,647)

Abstract:

Loading...

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 Last Revised: 29 May 2022
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 79 (422,645)

Abstract:

Loading...

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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 75 (435,605)
Citation 2

Abstract:

Loading...

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

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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 566 (67,930)
Citation 12

Abstract:

Loading...

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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 64 (474,434)
Citation 7

Abstract:

Loading...

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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 6 (862,371)
Citation 1

Abstract:

Loading...

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

4.
Downloads 358 (118,030)

International Yield Co-movements

Columbia Business School Research Paper Forthcoming, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 102 Posted: 19 Jun 2019 Last Revised: 29 Jun 2021
Geert Bekaert and Andrey Ermolov
Columbia University - Columbia Business School, Finance and Fordham University - Gabelli School of Business
Downloads 358 (117,215)
Citation 1

Abstract:

Loading...

sovereign bonds, cross-country co-movement, real yield, expected inflation, inflation risk premium, liquidity premium

International Yield Co-Movements

CEPR Discussion Paper No. DP16365
Number of pages: 105 Posted: 22 Sep 2021
Geert Bekaert and Andrey Ermolov
Columbia University - Columbia Business School, Finance and Fordham University - Gabelli School of Business
Downloads 0
  • Add to Cart

Abstract:

Loading...

cross-country co-movement, Expected inflation, Inflation Risk Premium, liquidity premium, real yield, Sovereign bonds, Treasuries

5.
Downloads 315 (135,340)
Citation 2

The Variance Risk Premium in Equilibrium Models

Number of pages: 61 Posted: 03 Apr 2020 Last Revised: 17 Mar 2022
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 310 (136,986)

Abstract:

Loading...

variance risk premium, risk-neutral skewness, non-Gaussian dynamics, bad volatility, VIX, habit

The Variance Risk Premium in Equilibrium Models

NBER Working Paper No. w27108
Number of pages: 70 Posted: 12 May 2020 Last Revised: 28 Jul 2022
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 5 (873,645)
Citation 2

Abstract:

Loading...

6.

The US Government Bond Liquidity during the COVID-19 Pandemic

Number of pages: 24 Posted: 04 Jun 2020 Last Revised: 08 Feb 2022
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 185 (226,424)
Citation 2

Abstract:

Loading...

liquidity, Treasuries, inflation-linked bonds, COVID-19

7.

Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks

Number of pages: 57 Posted: 15 Jan 2021 Last Revised: 09 Mar 2022
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 154 (264,244)

Abstract:

Loading...

uncertainty shocks, business cycles, Great Moderation, AS/AD shocks, skewness, deflation risk

8.

International Real Yields

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 03 Jun 2017 Last Revised: 29 Nov 2019
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 154 (264,244)
Citation 2

Abstract:

Loading...

term structure modeling, international bond markets, sovereign bonds, inflation-linked bonds, liquidity premium

9.

Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?

Number of pages: 62 Posted: 27 May 2018 Last Revised: 11 Apr 2022
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 153 (265,626)
Citation 8

Abstract:

Loading...

stock-bond return correlations, macroeconomic volatility, habit formation, equity, fixed income, sovereign bonds

10.

Identifying Aggregate Demand and Supply Shocks Using Sign Restrictions and Higher-Order Moments

Columbia Business School Research Paper
Number of pages: 46 Posted: 11 Jun 2021
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 144 (280,361)

Abstract:

Loading...

business cycles, inflation, identification, non-Gaussian distributions, sign restrictions, Great Recession, COVID-19

11.

When and Where Is It Cheaper to Issue Inflation-Linked Debt?

Number of pages: 59 Posted: 15 Jul 2017 Last Revised: 15 Jul 2021
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 92 (381,846)
Citation 2

Abstract:

Loading...

government debt, nominal bonds, inflation-linked bonds, inflation risk premium, liquidity premium, international finance