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Press representatives wishing to interview Atlanta Fed economists should contact Public Affairs at media@atl.frb.org or call 470-858-6665. For other inquiries, please send an email to atl-res-admin@atl.frb.org.
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.
2017-11
Asset Co-movements: Features and Challenges
Nikolay Gospodinov
November 2017
2017-10
General Aggregation of Misspecified Asset Pricing Models
Nikolay Gospodinov and Esfandiar Maasoumi
November 2017
2017-9
Too Good to Be True? Fallacies in Evaluating Risk Factor Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
November 2017
2016-5
The Role of Commodity Prices in Forecasting U.S. Core Inflation
Nikolay Gospodinov
February 2016
2016-3
Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models
Nikolay Gospodinov and Bin Wei
(Revised) March 2016
2015-9
Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
October 2015
2015-7
Multivariate Return Decomposition: Theory and Implications
Stanislav Anatolyev and Nikolay Gospodinov
August 2015
2015-6
Foreign Exchange Predictability during the Financial Crisis: Implications for Carry Trade Profitability
August 2015
2014-14
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Hirbod Assa and Nikolay Gospodinov
August 2014
2014-13
Hedging and Pricing in Imperfect Markets under Non-Convexity
Hirbod Assa and Nikolay Gospodinov
August 2014
2014-12
Spurious Inference in Unidentified Asset-Pricing Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
August 2014
2014-11
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
Nikolay Gospodinov, Ivana Komunjer, and Serena Ng
August 2014
2013-12
Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices
Nikolay Gospodinov and Ibrahim Jamali
November 2013
2013-11
Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models
Nikolay Gospodinov and Serena Ng
November 2013
2013-9
Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
October 2013
2013-8
A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
September 2013
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
Federal Reserve Bank of New York
№ 884
Deconstructing the Yield Curve
Richard Crump and Nikolay Gospodinov
April 2019
Nikolay Gospodinov. "An Update on Bond Market Dynamics." Policy Hub: Macroblog. May 18, 2023.
Nikolay Gospodinov. "Is There a Global Factor in U.S. Bond Yields?." Policy Hub: Macroblog. May 3, 2021.
Nikolay Gospodinov and Ibrahim Jamali. "Carry Factors: Characteristics and Informational Content." Notes from the Vault (2019 March).
Nikolay Gospodinov. "Good Models, Bad Models." Notes from the Vault (2018 January).
Nikolay Gospodinov. "Risk-On/Risk-Off in the Long Run." Notes from the Vault (2017 November).
Richard K. Crump, Nikolay Gospodinov, and Desi Volker. "The Persistent Compression of the Breakeven Inflation Curve," Liberty Street Economics. March 22, 2021.
Nikolay Gospodinov, Paula Tkac, and Bin Wei. "Are Long-Term Inflation Expectations Declining? Not So Fast, Says Atlanta Fed," macroblog. January 15, 2016.
"On the Factor Structure of Bond Returns" (with R. K. Crump), Econometrica. 90, no. 1 (2022): 295–314.
"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.
Methods for Estimation and Inference in Modern Econometrics (with S. Anatolyev). Chapman and Hall/CRC Press, 2011.