Nikolay Gospodinov
Research Economist and Senior Advisercurriculum vitae
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email
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curriculum vitae
:: personal website ::
email
curriculum vitae
:: personal website ::
email
Nikolay Gospodinov is a research economist and senior adviser on the financial markets team in the research department at the Federal Reserve Bank of Atlanta. His research interests include asset pricing, time series and financial econometrics, and forecasting.
Before joining the Atlanta Fed in 2013, Dr. Gospodinov was a professor, associate professor, and assistant professor in the Department of Economics at Concordia University (Montreal, Canada) from 2000 to 2013. He was also a visiting professor at Emory University, McGill University, and University of Montreal.
Dr. Gospodinov has published research in a variety of peer-reviewed journals, including conometrica, Review of Financial Studies, Journal of Econometrics, Review of Economics and Statistics, and Journal of Business and Economic Statistics. He is also coauthor of the book Methods for Estimation and Inference in Modern Econometrics with Stanislav Anatolyev.
Dr. Gospodinov is an associate editor for the Econometric Reviews and a referee for a number of other journals, including Journal of Finance, Econometrica, Review of Financial Studies, Econometric Theory, and the Journal of Applied Econometrics. He has also refereed for the National Science Foundation. He has received research grants from the Social Sciences and Humanities Research Council of Canada, Fonds Québécois de la Recherche sur la Société et la Culture, and the Institute of Financial Mathematics.
Dr. Gospodinov received his bachelor of arts and master of arts in economics from the University of National and World Economy (Sofia, Bulgaria). He earned his doctoral degree in economics from Boston College in Massachusetts.
Atlanta Fed Working Papers
2017-11
Asset Co-movements: Features and Challenges
Nikolay Gospodinov
November 2017
Abstract | Full text (1,427 KB)
2017-10
General Aggregation of Misspecified Asset Pricing Models
Nikolay Gospodinov and Esfandiar Maasoumi
November 2017
Abstract | Full text (321 KB)
2017-9
Too Good to Be True? Fallacies in Evaluating Risk Factor Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
November 2017
Abstract | Full text (803 KB)
2016-5
The Role of Commodity Prices in Forecasting U.S. Core Inflation
Nikolay Gospodinov
February 2016
Abstract | Full text (187 KB)
2016-3
Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models
Nikolay Gospodinov and Bin Wei
(Revised) March 2016
Abstract | Full text (418 KB)
2015-9
Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
October 2015
Abstract | Full text (307 KB)
2015-7
Multivariate Return Decomposition: Theory and Implications
Stanislav Anatolyev and Nikolay Gospodinov
August 2015
Abstract | Full text (288 KB)
2015-6
Foreign Exchange Predictability during the Financial Crisis: Implications for Carry Trade Profitability
Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali, and Xiaochun Liu
August 2015
Abstract | Full text (277 KB)
2014-14
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Hirbod Assa and Nikolay Gospodinov
August 2014
Abstract | Full text (339 KB)
2014-13
Hedging and Pricing in Imperfect Markets under Non-Convexity
Hirbod Assa and Nikolay Gospodinov
August 2014
Abstract | Full text (279 KB)
2014-12
Spurious Inference in Unidentified Asset-Pricing Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
August 2014
Abstract | Full text (499 KB)
2014-11
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
Nikolay Gospodinov, Ivana Komunjer, and Serena Ng
August 2014
Abstract | Full text (494 KB)
2013-12
Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices
Nikolay Gospodinov and Ibrahim Jamali
November 2013
Abstract | Full text (728 KB)
2013-11
Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models
Nikolay Gospodinov and Serena Ng
November 2013
Abstract | Full text (665 KB)
2013-9
Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
October 2013
Abstract | Full text (667 KB)
2013-8
A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
September 2013
Abstract | Full text (353 KB)
2013-5
A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
September 2013
Abstract | Full text (6.48 MB) | Appendix (154 KB)
Staff Reports
Federal Reserve Bank of New York
№ 884
Deconstructing the Yield Curve
Richard Crump and Nikolay Gospodinov
April 2019
Abstract | Full text
Blog Posts
2023
Nikolay Gospodinov. "An Update on Bond Market Dynamics." Policy Hub: Macroblog. May 18, 2023.
2021
Nikolay Gospodinov. "Is There a Global Factor in U.S. Bond Yields?." Policy Hub: Macroblog. May 3, 2021.
Richard K. Crump, Nikolay Gospodinov, and Desi Volker. "The Persistent Compression of the Breakeven Inflation Curve
," Liberty Street Economics. March 22, 2021.
2016
Nikolay Gospodinov, Paula Tkac, and Bin Wei. "Are Long-Term Inflation Expectations Declining? Not So Fast, Says Atlanta Fed," macroblog. January 15, 2016.
Articles
2019
Nikolay Gospodinov and Ibrahim Jamali. "Carry Factors: Characteristics and Informational Content." Notes from the Vault (2019 March).
2018
Nikolay Gospodinov. "Good Models, Bad Models." Notes from the Vault (2018 January).
2017
Nikolay Gospodinov. "Risk-On/Risk-Off in the Long Run." Notes from the Vault (2017 November).
Selected Recent Articles
"On the Factor Structure of Bond Returns" (with R. K. Crump), forthcoming in Econometrica.
"Capital Share Risk in U.S. Asset Pricing: A Reappraisal" (with C. Robotti), Journal of Finance, Replications and Comments (2021).
"Common Pricing across Asset Classes: Empirical Evidence Revisited" (with C. Robotti), Journal of Financial Economics 140, no. 1 (2021): 292–324.
"Generalized Aggregation of Misspecified Models: With an Application to Asset Pricing" (with E. Maasoumi), Journal of Econometrics 222, no. 1 (2021): 451–467.
"Too Good to be True? Fallacies in Evaluating Risk Factor Models" (with R. Kan and C. Robotti), Journal of Financial Economics 132, no. 2 (2019): 451–471.
"Spurious Inference in Reduced-Rank Asset-Pricing Models" (with R. Kan and C. Robotti), Econometrica 85, no. 5 (2017): 1613–1628.
"Simulated Minimum Distance Estimation of Dynamic Models with Errors-In-Variables" (with I. Komunjer and S. Ng), Journal of Econometrics 200, no. 2 (2017): 181–193.
"Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors" (with R. Kan and C. Robotti). Review of Financial Studies 27, no. 7 (2014): 2139–70.
"A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains" (with D. Lkhagvasuren). Journal of Applied Econometrics 29, no. 5 (2014): 843–59.
"Commodity Prices, Convenience Yields, and Inflation" (with S. Ng). Review of Economics and Statistics 95, no. 1 (2013): 206–19.
"Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models" (with R. Kan and C. Robotti). Journal of Econometrics 173, no. 1 (2013): 108–25.
"Local GMM Estimation of Time Series Models with Conditional Moment Restrictions" (with T. Otsu). Journal of Econometrics 170, no. 2 (2012): 476–90.
"Specification Testing in Models with Many Instruments" (with S. Anatolyev). Econometric Theory 27, no. 2 (2011): 427–41.
"Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions," Journal of Business and Economic Statistics 28, no. 1 (2010): 1–12.