Olesya V. Grishchenko

Board of Governors of the Federal Reserve System

Senior Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

17

DOWNLOADS
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4,372

CITATIONS
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in Total Papers Citations

57

Scholarly Papers (17)

1.
Downloads 1,314 ( 10,989)
Citation 12

Measuring Private Information Trading in Emerging Markets

NYU Department of Finance Working Paper; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 47 Posted: 23 Feb 2002
Olesya V. Grishchenko, Lubomir P. Litov and Jianping Mei
Board of Governors of the Federal Reserve System, University of Oklahoma - Michael F. Price College of Business and New York University (NYU) - Department of Finance
Downloads 912 (18,958)
Citation 12

Abstract:

Private Information Trading and Corporate Governance in Emerging Markets

NYU Working Paper No. S-CG-02-01
Number of pages: 38 Posted: 05 Nov 2008
Olesya V. Grishchenko, Lubomir P. Litov and Jianping Mei
Board of Governors of the Federal Reserve System, University of Oklahoma - Michael F. Price College of Business and New York University (NYU) - Department of Finance
Downloads 402 (57,372)
Citation 12

Abstract:

2.
Downloads 1,043 ( 15,806)
Citation 14

Inflation Risk Premium: Evidence from the TIPS Market

Journal of Fixed Income, Vol. 22, No. 4, 2013
Number of pages: 51 Posted: 21 Mar 2008 Last Revised: 10 Dec 2013
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance
Downloads 669 (29,677)
Citation 14

Abstract:

TIPS market, inflation risk premium, TIPS liquidity, expected inflation, term structure of real rates, liquidity

Inflation Risk Premium: Evidence from the Tips Market

Number of pages: 33 Posted: 23 Mar 2009
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance
Downloads 197 (125,427)
Citation 14

Abstract:

Inflation Risk Premium: Evidence from the TIPS Market

FEDS Working Paper No. 2012-06
Number of pages: 49 Posted: 22 Mar 2012
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance
Downloads 93 (231,159)
Citation 14

Abstract:

TIPS market, expected inflation, inflation risk premium, term structure of real rates, TIPS liquidity

Inflation Risk Premium: Evidence from the Tips Market

Number of pages: 33 Posted: 18 Feb 2009
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance
Downloads 84 (246,908)
Citation 14

Abstract:

TIPS market, inflation risk premium, expected inflation

3.

Internal vs. External Habit Formation: The Relative Importance for Asset Pricing

Journal of Economics and Business, Vol. 62, pp. 176-194
Number of pages: 33 Posted: 05 Mar 2007 Last Revised: 24 Sep 2011
Olesya V. Grishchenko
Board of Governors of the Federal Reserve System
Downloads 439 (43,541)
Citation 10

Abstract:

Asset pricing, consumption-based asset pricing models, time non-separabilities, external habit, internal habit, long horizon returns

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 71 Posted: 23 Sep 2015 Last Revised: 02 Jan 2017
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
Downloads 181 (135,881)

Abstract:

Long-run risk, economic uncertainty, variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives

Term Structure of Interest Rates with Short-Run and Long-Run Risks

FEDS Working Paper No. 2015-95
Number of pages: 65 Posted: 13 Nov 2015
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 56 (310,021)

Abstract:

Long-run risk, economic uncertainty, term structure of interest rates, bond risk premium, variance risk premium, predictability, interest rate derivatives

5.

An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation

Number of pages: 37 Posted: 14 Dec 2005 Last Revised: 29 Jan 2010
Qiang Dai and Olesya V. Grishchenko
University of North Carolina (UNC) at Chapel Hill - Finance Area and Board of Governors of the Federal Reserve System
Downloads 180 (134,600)
Citation 1

Abstract:

consumption-based asset pricing model, habit formation, stochastic habit, time-varying risk-premium

Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

FEDS Working Paper No. 2012-07
Number of pages: 39 Posted: 22 Mar 2012
Olesya V. Grishchenko, Eduard Dubin and Vasily Kartashov
Board of Governors of the Federal Reserve System, Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt
Downloads 58 (304,657)
Citation 2

Abstract:

Consumption-based asset pricing models, external habit, internal habit, heterogeneity, time nonseparability, general equilibrium, recursive solution

Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

Number of pages: 38 Posted: 17 Dec 2011 Last Revised: 11 Jun 2012
Olesya V. Grishchenko, Eduard Dubin and Vasily Kartashov
Board of Governors of the Federal Reserve System, Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt
Downloads 57 (307,353)
Citation 2

Abstract:

asset pricing, consumption-based asset pricing models, external habit, internal habit, heterogeneity, time nonseparability, general equilibrium, recursive solution

Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 37 Posted: 16 Sep 2012 Last Revised: 06 Dec 2013
Olesya V. Grishchenko and Eduard Dubin
Board of Governors of the Federal Reserve System and Goethe University Frankfurt - Department of Finance
Downloads 31 (395,618)
Citation 2

Abstract:

consumption-based asset pricing models, external habit, internal habit, heterogeneity, time nonseparability, general equilibrium, recursive solution

Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Posted: 12 Jun 2012 Last Revised: 07 Dec 2013
Eduard Dubin, Olesya V. Grishchenko and Vasily Kartashov
Goethe University Frankfurt - Department of Finance, Board of Governors of the Federal Reserve System and Goethe University Frankfurt

Abstract:

asset pricing, consumption-based asset pricing models, external habit, internal habit, heterogeneity, time-nonseparability, general equilibrium, recursive solution

7.

The Inflation Risk Premium: Evidence from the TIPS Market

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 52 Posted: 16 Sep 2012 Last Revised: 23 Jan 2013
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance
Downloads 135 (122,738)
Citation 14

Abstract:

TIPS market, inflation risk premium, expected inflation, term structure of real rates, liquidity

8.

The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 28 Posted: 17 Feb 2009 Last Revised: 15 Nov 2011
Olesya V. Grishchenko and Marco Rossi
Board of Governors of the Federal Reserve System and Texas A&M
Downloads 131 (170,699)
Citation 1

Abstract:

aggregation, incomplete markets, clustering approach, household consumption, idiosyncratic consumption risk, Euler equations

9.

A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model

Number of pages: 13 Posted: 03 Jan 2014 Last Revised: 06 Jan 2014
Olesya V. Grishchenko, Xiao Han and Victor Nistor
Board of Governors of the Federal Reserve System, University of Texas at Austin - Red McCombs School of Business and Department of Mathematics
Downloads 104 (160,275)

Abstract:

SABR model, stochastic volatility, Duhamel-Dyson series, commutator method

10.

The Informational Content of the Embedded Deflation Option in TIPS

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 71 Posted: 22 Oct 2010 Last Revised: 04 Oct 2011
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 101 (207,014)
Citation 1

Abstract:

TIPS, embedded option, inflation, deflation, term structure

11.

Asset Pricing in the Production Economy Subject to Monetary Shocks

Journal of Economics and Business, Vol. 63, pp. 187-216
Number of pages: 48 Posted: 11 Jun 2009 Last Revised: 24 Sep 2011
Olesya V. Grishchenko
Board of Governors of the Federal Reserve System
Downloads 92 (223,135)

Abstract:

real business cycle models, monetary shocks, equity premium, Sharpe ratio, inflation risk premium, volatility of the risk-free rate

An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation

FEDS Working Paper No. 2011-47
Number of pages: 41 Posted: 11 Nov 2011 Last Revised: 20 Aug 2012
Qiang Dai and Olesya V. Grishchenko
Braid Capital Pte Ltd. and Board of Governors of the Federal Reserve System
Downloads 48 (333,854)
Citation 1

Abstract:

consumption-based asset pricing models, habit formation, stochastic internal habit, aggregate equity and bond returns

An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation

Quarterly Journal of Finance, Forthcoming
Number of pages: 42 Posted: 12 Jun 2012 Last Revised: 12 Aug 2014
Qiang Dai and Olesya V. Grishchenko
Braid Capital Pte Ltd. and Board of Governors of the Federal Reserve System
Downloads 38 (367,536)
Citation 1

Abstract:

asset pricing, consumption-based asset pricing models, habit formation, stochastic internal habit, aggregate equity and bond returns

The Informational Content of the Embedded Deflation Option in TIPS

Journal of Banking and Finance, Forthcoming
Number of pages: 80 Posted: 16 Sep 2012 Last Revised: 23 Dec 2015
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 25 (425,028)
Citation 1

Abstract:

TIPS, embedded option, inflation, deflation, term structure

The Informational Content of the Embedded Deflation Option in TIPS

FEDS Working Paper No. 2013-24
Number of pages: 66 Posted: 11 May 2013
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 24 (430,488)
Citation 1

Abstract:

TIPS, embedded option, inflation, deflation, term structure

14.

The Information Content of the Embedded Deflation Option in TIPS

FEDS Working Paper No. 2011-58
Number of pages: 67 Posted: 04 Jan 2012
Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang
Board of Governors of the Federal Reserve System, Pennsylvania State University - Smeal College of Business and Pennsylvania State University - Smeal College of Business
Downloads 44 (325,204)

Abstract:

TIPS, embedded option, inflation, deflation, term structure

15.

The Joint Dynamics of U.S. and Euro-Area Inflation Rates: Expectations and Time-varying Uncertainty

Banque de France Working Paper No. 622
Number of pages: 58 Posted: 14 Apr 2017
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (494,323)

Abstract:

inflation, surveys of professional forecasters, dynamic factor model with stochastic volatility, term structure of inflation expectations and inflation uncertainty, anchoring of inflation expectations

16.

The Joint Dynamics of U.S. and Euro-Area Inflation Rates: Expectations and Time-Varying Uncertainty

Number of pages: 55 Posted: 30 Nov 2016 Last Revised: 01 Jan 2017
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (334,133)

Abstract:

inflation, surveys of professional forecasters, dynamic factor model with stochastic volatility, term structure of inflation expectations and inflation uncertainty, anchoring of inflation expectations

17.

The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 61 Posted: 01 Jun 2016
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (499,043)

Abstract:

inflation, surveys of professional forecasters, affine processes, dynamic factor model with stochastic volatility