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/

  • Fordham University - Gabelli School of Business

SCHOLARLY PAPERS

11

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100

CROSSREF CITATIONS

14

Scholarly Papers (11)

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1.

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

Downloads 2,049 ( 10,879)
Citation 9

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

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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. 2020-49
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)

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2.

Macro Risks and the Term Structure of Interest Rates

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)

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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. 2017-58
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)

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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 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)

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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

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

3.

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

Downloads 636 ( 59,230)
Citation 20

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

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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 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

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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 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

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

4.

International Yield Co-movements

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

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

5.

The Variance Risk Premium in Equilibrium Models

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)

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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

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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

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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)

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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

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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

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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)

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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

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