Nancy R. Xu

Boston College, Carroll School of Management

Assistant Professor

Carroll School of Management

140 Commonwealth Avenue

Chestnut Hill, MA 02467-3808

United States

http://www.nancyxu.net

  • Boston College, Carroll School of Management

SCHOLARLY PAPERS

13

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7,399

TOTAL CITATIONS
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Top 6,194

in Total Papers Citations

67

Scholarly Papers (13)

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1.

The Time Variation in Risk Appetite and Uncertainty

Downloads 2,145 (15,812)
Citation 15

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: 47 Posted: 14 Nov 2017 Last Revised: 11 Feb 2021
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 2,029 (16,955)
Citation 5

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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 Last Revised: 24 Feb 2023
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 116 (519,623)
Citation 10

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2.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 74 Posted: 15 May 2020 Last Revised: 17 Mar 2025
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 1,231 (36,788)
Citation 22

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate

3.

Main Street's Pain, Wall Street's Gain

Number of pages: 58 Posted: 27 Dec 2021 Last Revised: 09 Jan 2025
Nancy R. Xu and Yang You
Boston College, Carroll School of Management and The University of Hong Kong
Downloads 721 (77,326)
Citation 1

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JEL Classification: G12, E62, E63, H3 return dynamics, macroeconomic news announcement, labor news, fiscal policy expectations, COVID-19, textual analysis, cross section

4.

When Do FOMC Voting Rights Affect Monetary Policy?

Downloads 621 (93,546)

When Do FOMC Voting Rights Affect Monetary Policy?

Number of pages: 75 Posted: 26 Sep 2022 Last Revised: 28 Apr 2025
Vyacheslav Fos and Nancy R. Xu
Boston College - Department of Finance and Boston College, Carroll School of Management
Downloads 619 (92,665)

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G1 Federal Reserve System, monetary policy, FOMC, voting rights, Reserve Bank presidents, local economic conditions

When Do FOMC Voting Rights Affect Monetary Policy?

NBER Working Paper No. w33762
Number of pages: 76 Posted: 06 May 2025
Vyacheslav Fos and Nancy R. Xu
Boston College - Department of Finance and Boston College, Carroll School of Management
Downloads 2 (1,384,233)
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5.

Global Risk Aversion and International Return Comovements

Number of pages: 61 Posted: 23 May 2018 Last Revised: 11 Sep 2019
Nancy R. Xu
Boston College, Carroll School of Management
Downloads 506 (120,982)
Citation 12

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risk aversion, international return comovements, dynamic correlation models, asset pricing, dynamic factor model

6.

The Global Determinants of International Equity Risk Premiums

Downloads 504 (121,547)
Citation 6

The Global Determinants of International Equity Risk Premiums

Number of pages: 61 Posted: 20 Apr 2019 Last Revised: 17 Feb 2023
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 281 (232,531)
Citation 2

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Downside variance risk premium, Upside variance risk premium, International stock markets, Asymmetric state variables, Stock return predictability

The Global Determinants of International Equity Risk Premiums

International Finance Discussion Paper No. 1318
Number of pages: 67 Posted: 14 Jun 2021
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 223 (293,307)
Citation 4

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7.

Risk Aversion Spillover: Evidence from Financial Markets and Controlled Experiments

Number of pages: 75 Posted: 25 May 2021 Last Revised: 04 Jan 2023
Xing Huang and Nancy R. Xu
Washington University in St. Louis - Olin Business School and Boston College, Carroll School of Management
Downloads 388 (165,095)
Citation 1

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risk aversion, propagation, emotions, animal spirits, controlled experiment, VIX, variance risk premium, uncertainty, international comovement

8.

Forecasting International Stock Market Variances

Number of pages: 75 Posted: 17 May 2024
Geert Bekaert, Nancy R. Xu and Tiange Ye
Columbia University - Columbia Business School, Finance, Boston College, Carroll School of Management and University of Southern California - Marshall School of Business
Downloads 324 (201,197)

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Realized variance, implied volatility, international stock market, volatility forecasting

9.

Procyclicality of the Comovement between Dividend Growth and Consumption Growth

Journal of Financial Economics (Forthcoming), 2017 American Economic Association Annual Meeting, 28th Australasian Finance and Banking Conference, 10th Annual SoFiE Conference
Number of pages: 43 Posted: 09 Sep 2015 Last Revised: 13 Jan 2020
Nancy R. Xu
Boston College, Carroll School of Management
Downloads 274 (240,374)
Citation 4

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procyclical amount of risk, amount of risk decomposition, dividend-consumption comovement, habit formation, equity premium, price of comovement risk, value premium

10.

Risk, Monetary Policy and Asset Prices in a Global World

ECB Working Paper No. 2023/2879
Number of pages: 65 Posted: 28 Nov 2023
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia University - Columbia Business School, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 258 (255,467)
Citation 2

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central bank communications, global financial cycle, interest rate, international spillovers, monetary policy, risk, stock returns, trilemma

11.

Local Monetary Policy

Number of pages: 49 Posted: 29 Mar 2024 Last Revised: 08 Oct 2024
Vyacheslav Fos, Tommaso Tamburelli and Nancy R. Xu
Boston College - Department of Finance, Boston College - Carroll School of Management and Boston College, Carroll School of Management
Downloads 201 (325,347)

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JEL Classification: E5, E51, E58, D7 Federal Reserve System, monetary policy, local economic conditions, voting rights, Discount Window loans

12.

Variance Risk Premium Components and International Stock Return Predictability

FRB International Finance Discussion Paper No. 1247
Number of pages: 75 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 125 (487,752)
Citation 4

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Variance risk premium, downside variance risk premium, international stock markets, asymmetric state variables, stock return predictability

13.

Fiscal Risk Perception: Evidence from Analyst Forecasts

Number of pages: 78 Posted: 21 Jan 2025 Last Revised: 31 Jan 2025
Nancy R. Xu, Yuxi Yang and Yang You
Boston College, Carroll School of Management, HKU Business School, The University of Hong Kong and The University of Hong Kong
Downloads 101 (572,351)

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fiscal uncertainty, procurement, analyst, earnings forecasts