Nikolay Gospodinov
Research Economist and Senior Adviser
About
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.
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Biography
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.
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Publications
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. "Asset Co-movements: Features and Challenges." Working Paper 2017-11. Federal Reserve Bank of Atlanta. November 2017.
Nikolay Gospodinov and Esfandiar Maasoumi. "General Aggregation of Misspecified Asset Pricing Models." Working Paper 2017-10. Federal Reserve Bank of Atlanta. November 2017.
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models." Working Paper 2017-9. Federal Reserve Bank of Atlanta. November 2017.
Nikolay Gospodinov. "Risk-On/Risk-Off in the Long Run." Notes from the Vault (2017 November).
2016
Nikolay Gospodinov. "The Role of Commodity Prices in Forecasting U.S. Core Inflation." Working Paper 2016-5. Federal Reserve Bank of Atlanta. February 2016.
Nikolay Gospodinov and Bin Wei. "Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models." Working Paper 2016-3. Federal Reserve Bank of Atlanta. (Revised) March 2016.
Nikolay Gospodinov, Paula Tkac, and Bin Wei. "Are Long-Term Inflation Expectations Declining? Not So Fast, Says Atlanta Fed,"macroblog. January 15, 2016.
2015
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti. "Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models." Working Paper 2015-9. Federal Reserve Bank of Atlanta. October 2015.
Stanislav Anatolyev and Nikolay Gospodinov. "Multivariate Return Decomposition: Theory and Implications." Working Paper 2015-7. Federal Reserve Bank of Atlanta. August 2015.
2015-6
Foreign Exchange Predictability
during the Financial Crisis: Implications for Carry Trade Profitability
August 2015
2014
Hirbod Assa and Nikolay Gospodinov. "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks." Working Paper 2014-14. Federal Reserve Bank of Atlanta. August 2014.
Hirbod Assa and Nikolay Gospodinov. "Hedging and Pricing in Imperfect Markets under Non-Convexity." Working Paper 2014-13. Federal Reserve Bank of Atlanta. August 2014.
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti. "Spurious Inference in Unidentified Asset-Pricing Models." Working Paper 2014-12. Federal Reserve Bank of Atlanta. August 2014.
Nikolay Gospodinov, Ivana Komunjer, and Serena Ng. "Minimum Distance Estimation of Dynamic Models with Errors-In-Variables." Working Paper 2014-11. Federal Reserve Bank of Atlanta. August 2014.
2013
Nikolay Gospodinov and Ibrahim Jamali. "Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices." Working Paper 2013-12. Federal Reserve Bank of Atlanta. November 2013.
Nikolay Gospodinov and Serena Ng. "Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models." Working Paper 2013-11. Federal Reserve Bank of Atlanta. November 2013.
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti. "Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors." Working Paper 2013-9. Federal Reserve Bank of Atlanta. October 2013.
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov. "A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics." Working Paper 2013-8. Federal Reserve Bank of Atlanta. September 2013.
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov. "A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains." Working Paper 2013-5. Federal Reserve Bank of Atlanta. September 2013.
External work by Atlanta Fed staff.
Selected Articles
2022
"On the Factor Structure of Bond Returns" (with R. K. Crump), Econometrica. 90, no. 1 (2022): 295–314.
2021
"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.
2019
"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.
2017
"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.
2014
"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.
2013
"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.
2012
"Local GMM Estimation of Time Series Models with Conditional Moment Restrictions" (with T. Otsu). Journal of Econometrics 170, no. 2 (2012): 476–90.
2011
"Specification Testing in Models with Many Instruments" (with S. Anatolyev). Econometric Theory 27, no. 2 (2011): 427–41.
2010
"Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions," Journal of Business and Economic Statistics 28, no. 1 (2010): 1–12.
Books
2011
Methods for Estimation and Inference in Modern Econometrics (with S. Anatolyev). Chapman and Hall/CRC Press, 2011.
External work by Atlanta Fed staff.
Blog Posts
2021
Richard K. Crump, Nikolay Gospodinov, and Desi Volker. "The Persistent Compression of the Breakeven Inflation Curve," Liberty Street Economics. March 22, 2021.
Staff Reports
2019
Richard Crump and Nikolay Gospodinov. "Deconstructing the Yield Curve." Staff Report № 884. Federal Reserve Bank of New York. April 2019.