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.
Foreign Exchange Predictability during the Financial Crisis: Implications for Carry Trade Profitability
Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali, and Xiaochun Liu
Abstract | Full text (277 KB)
A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
Abstract | Full text (353 KB)
A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
Abstract | Full text (6.48 MB) | Appendix (154 KB)
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.
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.
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).
"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.