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

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3,899

SSRN CITATIONS
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Top 11,037

in Total Papers Citations

102

CROSSREF CITATIONS

11

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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 1,380 (17,384)
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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 150 (245,328)

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Downloads 681 ( 48,335)
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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 482 (74,066)

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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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 69 (415,795)

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Macro Risks and the Term Structure of Interest Rates

NBER Working Paper No. w22839
Number of pages: 62 Posted: 21 Nov 2016 Last Revised: 20 Aug 2021
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 68 (419,074)

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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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 62 (440,152)
Citation 2

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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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 550 (62,799)
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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 55 (466,925)
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 Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 5 (788,447)
Citation 1

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

4.
Downloads 260 (148,573)

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 Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads 260 (148,024)
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 Business School - Finance and Economics 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.
Downloads 238 (162,103)
Citation 2

The Variance Risk Premium in Equilibrium Models

Number of pages: 66 Posted: 03 Apr 2020 Last Revised: 18 Oct 2021
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 235 (163,634)

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variance risk premium, macroeconomic uncertainty, non-Gaussian dynamics, bad volatility

The Variance Risk Premium in Equilibrium Models

NBER Working Paper No. w27108
Number of pages: 70 Posted: 12 May 2020 Last Revised: 28 Jul 2021
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 (805,671)
Citation 2
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The US Government Bond Liquidity during the COVID-19 Pandemic

Number of pages: 24 Posted: 04 Jun 2020 Last Revised: 07 Oct 2021
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 146 (250,117)
Citation 1

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

7.

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 140 (258,619)
Citation 2

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

8.

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

Number of pages: 64 Posted: 27 May 2018
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 93 (344,931)
Citation 8

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stock and bond return correlation, macroeconomic volatility, equity, fixed income, sovereign bonds

9.

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

Number of pages: 64 Posted: 15 Jan 2021 Last Revised: 29 Sep 2021
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 85 (364,821)

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

10.

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 85 (364,821)
Citation 2

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

11.

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

Number of pages: 46 Posted: 11 Jun 2021
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 31 (570,483)

Abstract:

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