Details about Geert Bekaert

E-mail:
Homepage:	http://www.gsb.columbia.edu/faculty/gbekaert/
Phone:	(212) 854 -9156
Postal address:	Columbia Business School Uris Hall Room 802 3022 Broadway New York, NY 10027
Workplace:	Finance & Economics Department, Graduate School of Business, Columbia University, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Geert Bekaert.

Last updated 2013-05-03. Update your information in the RePEc Author Service.

Short-id: pbe52

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Working Papers

2013

1. The VIX, the Variance Premium and Stock Market Volatility
   NBER Working Papers, National Bureau of Economic Research, Inc

2012

2. Flights to Safety
   Working Paper Research, National Bank of Belgium View citations (1)
3. Macroeconomic Regimes
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011)
   2011 Meeting Papers, Society for Economic Dynamics (2011)
4. On the Link Between the Volatility and Skewness of Growth
   NBER Working Papers, National Bureau of Economic Research, Inc
5. Risk, uncertainty and monetary policy
   Working Paper Research, National Bank of Belgium View citations (10)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (16)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (4)

2011

6. Global Crises and Equity Market Contagion
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
   Also in Working Paper Series, European Central Bank (2011) View citations (3)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (6)
7. The European Union, the Euro, and Equity Market Integration
   2011 Meeting Papers, Society for Economic Dynamics
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (4)

2010

8. Aggregate Idiosyncratic Volatility
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (1)
9. Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (3)
10. What Segments Equity Markets?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (24)
    National Bank of Poland Working Papers, National Bank of Poland, Economic Institute (2010) View citations (2)
    See also Journal Article in Review of Financial Studies

2009

11. Financial Openness and Productivity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in World Development (2011)
12. Inflation and the Stock Market:Understanding the "Fed Model"
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article in Journal of Monetary Economics (2010)
13. The Determinants of Stock and Bond Return Comovements
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in Working Paper Research, National Bank of Belgium (2007) View citations (33)
14. What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?
    Working Paper Series, European Central Bank View citations (2)

2008

15. International stock return comovements
    Working Paper Series, European Central Bank View citations (10)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) View citations (13)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (13)
    See also Journal Article in Journal of Finance (2009)

2007

16. The Term Structure of Real Rates and Expected Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (30)
    See also Journal Article in Journal of Finance (2008)

2006

17. Do macro variables, asset markets, or surveys forecast inflation better?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (39)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (11)
    See also Journal Article in Journal of Monetary Economics (2007)
18. Liquidity and Expected Returns: Lessons from Emerging Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (24)
    See also Journal Article in Review of Financial Studies (2007)
19. New-Keynesian Macroeconomics and the Term Structure
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (83)
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (29)
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2005) View citations (17)
    See also Journal Article in Journal of Money, Credit and Banking (2010)
20. Risk, Uncertainty and Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2005) View citations (9)
    See also Journal Article in Journal of Financial Economics (2009)
21. Stock and Bond Returns with Moody Investors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (28)
    See also Journal Article in Journal of Empirical Finance (2010)

2004

22. Does Financial Liberalization Spur Growth?
    Working Paper Research, National Bank of Belgium View citations (68)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (107)
    See also Journal Article in Journal of Financial Economics (2005)
23. Global Growth Opportunities and Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    See also Journal Article in Journal of Finance (2007)
24. Growth Volatility and Financial Liberalization
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article in Journal of International Money and Finance (2006)

2003

25. How do Regimes Affect Asset Allocation?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
26. Market Integration and Contagion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    See also Journal Article in The Journal of Business (2005)

2002

27. Uncovered Interest Rate Parity and the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Journal Article in Journal of International Money and Finance (2007)

2001

28. Conditioning Information and Variance on Pricing Kernals
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
29. Stock Return Predictability: Is it There?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (135)

2000

30. Emerging Equity Markets and Economic Development
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    See also Journal Article in Journal of Development Economics (2001)
31. Expectations Hypotheses Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (53)
    See also Journal Article in Journal of Finance (2001)
32. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    See also Journal Article in Journal of Financial Economics (2005)

1999

33. Conditioning Information and Variance Bounds on Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article in Review of Financial Studies (2004)
34. International Asset Allocation with Time-Varying Correlations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
35. Stock and Bond Pricing in an Affine Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
36. Target Zones and Exchange Rates: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1997) View citations (1)
    See also Journal Article in Journal of International Economics (1998)
37. The Dynamics of Emerging Market Equity Flows
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article in Journal of International Money and Finance (2002)

1998

38. Capital Flows and the Behavior of Emerging Market Equity Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (40)
    See also Chapter (2000)
39. Dating the Integration of World Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article in Journal of Financial Economics (2002)
40. Regime Switches in Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (54)
    See also Journal Article in Journal of Business & Economic Statistics (2002)

1997

41. "Peso Problem" Explanations for Term Structure Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) View citations (28)
    See also Journal Article in Journal of Monetary Economics (2001)
42. Asymmetric Volatility and Risk in Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
    See also Journal Article in Review of Financial Studies (2000)
43. Emerging Equity Market Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (301)
    See also Journal Article in Journal of Financial Economics (1997)
44. Foreign Speculators and Emerging Equity Markets
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (38)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (14)
    See also Journal Article in Journal of Finance (2000)
45. The implications of first-order risk aversion for asset market risk premiums
    Discussion Paper, Tilburg University, Center for Economic Research View citations (32)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (1994) View citations (6)
    See also Journal Article in Journal of Monetary Economics (1997)

1996

46. Diversification, Integration and Emerging Market Closed-End Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (65)
    See also Journal Article in Journal of Finance (1996)
47. On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1996) View citations (21)
    See also Journal Article in Journal of Financial Economics (1997)
48. The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (38)
    See also Journal Article in Review of Financial Studies (1996)

1995

49. The contribution of speculators to effective financial markets
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (6)
50. The role of capital markets in economic growth
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (7)

1994

51. Time-Varying World Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (189)
    See also Journal Article in Journal of Finance (1995)

1992

52. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (178)
    See also Journal Article in Journal of Finance (1992)

1991

53. On Biases in the Measurement of Foreign Exchange Risk Premiums
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article in Journal of International Money and Finance (1993)

Journal Articles

2011

1. Financial Openness and Productivity
   World Development, 2011, 39, (1), 1-19 View citations (7)
   See also Working Paper (2009)

2010

2. Inflation and the stock market: Understanding the "Fed Model"
   Journal of Monetary Economics, 2010, 57, (3), 278-294 View citations (1)
   Also in Proceedings, 2009, (Jan) (2009) View citations (1)
   See also Working Paper (2009)
3. Inflation risk and the inflation risk premium
   Economic Policy, 2010, 25, 755-806 View citations (4)
4. New Keynesian Macroeconomics and the Term Structure
   Journal of Money, Credit and Banking, 2010, 42, (1), 33-62 View citations (16)
   See also Working Paper (2006)
5. Stock and bond returns with Moody Investors
   Journal of Empirical Finance, 2010, 17, (5), 867-894 View citations (2)
   See also Working Paper (2006)

2009

6. International Stock Return Comovements
   Journal of Finance, 2009, 64, (6), 2591-2626 View citations (14)
   See also Working Paper (2008)
7. Risk, uncertainty, and asset prices
   Journal of Financial Economics, 2009, 91, (1), 59-82 View citations (13)
   See also Working Paper (2006)

2008

8. The Term Structure of Real Rates and Expected Inflation
   Journal of Finance, 2008, 63, (2), 797-849 View citations (38)
   Also in Proceedings, 2004, (Mar) (2004) View citations (25)
   See also Working Paper (2007)

2007

9. Do macro variables, asset markets, or surveys forecast inflation better?
   Journal of Monetary Economics, 2007, 54, (4), 1163-1212 View citations (61)
   See also Working Paper (2006)
10. Global Growth Opportunities and Market Integration
    Journal of Finance, 2007, 62, (3), 1081-1137 View citations (44)
    See also Working Paper (2004)
11. Liquidity and Expected Returns: Lessons from Emerging Markets
    Review of Financial Studies, 2007, 20, (6), 1783-1831 View citations (40)
    See also Working Paper (2006)
12. Uncovered interest rate parity and the term structure
    Journal of International Money and Finance, 2007, 26, (6), 1038-1069 View citations (22)
    See also Working Paper (2002)

2006

13. Growth volatility and financial liberalization
    Journal of International Money and Finance, 2006, 25, (3), 370-403 View citations (69)
    See also Working Paper (2004)

2005

14. Does financial liberalization spur growth?
    Journal of Financial Economics, 2005, 77, (1), 3-55 View citations (255)
    See also Working Paper (2004)
15. Market Integration and Contagion
    The Journal of Business, 2005, 78, (1), 39-70 View citations (132)
    See also Working Paper (2003)
16. Why stocks may disappoint
    Journal of Financial Economics, 2005, 76, (3), 471-508 View citations (26)
    See also Working Paper (2000)

2004

17. Conditioning Information and Variance Bounds on Pricing Kernels
    Review of Financial Studies, 2004, 17, (2), 339-378 View citations (15)
    See also Working Paper (1999)

2003

18. Emerging markets finance
    Journal of Empirical Finance, 2003, 10, (1-2), 3-56 View citations (112)
19. Equity Market Liberalization in Emerging Markets
    Journal of Financial Research, 2003, 26, (3), 275-299 View citations (30)
    Also in Review, 2003, (Jul), 53-74 (2003) View citations (34)

2002

20. Dating the integration of world equity markets
    Journal of Financial Economics, 2002, 65, (2), 203-247 View citations (118)
    See also Working Paper (1998)
21. International Asset Allocation With Regime Shifts
    Review of Financial Studies, 2002, 15, (4), 1137-1187 View citations (217)
22. Regime Switches in Interest Rates
    Journal of Business & Economic Statistics, 2002, 20, (2), 163-82 View citations (175)
    See also Working Paper (1998)
23. Research in emerging markets finance: looking to the future
    Emerging Markets Review, 2002, 3, (4), 429-448 View citations (54)
24. Short rate nonlinearities and regime switches
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1243-1274 View citations (48)
25. The dynamics of emerging market equity flows
    Journal of International Money and Finance, 2002, 21, (3), 295-350 View citations (84)
    See also Working Paper (1999)

2001

26. Editor's foreword to the special issue: "On the predictability of asset returns"
    Journal of Empirical Finance, 2001, 8, (5), 451-457 View citations (2)
27. Emerging equity markets and economic development
    Journal of Development Economics, 2001, 66, (2), 465-504 View citations (101)
    See also Working Paper (2000)
28. Expectations Hypotheses Tests
    Journal of Finance, 2001, 56, (4), 1357-1394 View citations (93)
    See also Working Paper (2000)
29. Peso problem explanations for term structure anomalies
    Journal of Monetary Economics, 2001, 48, (2), 241-270 View citations (92)
    See also Working Paper (1997)

2000

30. Asymmetric Volatility and Risk in Equity Markets
    Review of Financial Studies, 2000, 13, (1), 1-42 View citations (181)
    See also Working Paper (1997)
31. Foreign Speculators and Emerging Equity Markets
    Journal of Finance, 2000, 55, (2), 565-613 View citations (379)
    See also Working Paper (1997)

1998

32. Target zones and exchange rates:: An empirical investigation
    Journal of International Economics, 1998, 45, (1), 1-35 View citations (38)
    See also Working Paper (1999)

1997

33. Emerging equity market volatility
    Journal of Financial Economics, 1997, 43, (1), 29-77 View citations (324)
    See also Working Paper (1997)
34. On biases in tests of the expectations hypothesis of the term structure of interest rates
    Journal of Financial Economics, 1997, 44, (3), 309-348 View citations (111)
    See also Working Paper (1996)
35. The implications of first-order risk aversion for asset market risk premiums
    Journal of Monetary Economics, 1997, 40, (1), 3-39 View citations (44)
    See also Working Paper (1997)

1996

36. Diversification, Integration and Emerging Market Closed-End Funds
    Journal of Finance, 1996, 51, (3), 835-69 View citations (8)
    See also Working Paper (1996)
37. The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
    Review of Financial Studies, 1996, 9, (2), 427-70 View citations (41)
    See also Working Paper (1996)

1995

38. Market Integration and Investment Barriers in Emerging Equity Markets
    World Bank Economic Review, 1995, 9, (1), 75-107 View citations (126)
39. The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets
    Journal of Business & Economic Statistics, 1995, 13, (4), 397-408 View citations (19)
40. Time-Varying World Market Integration
    Journal of Finance, 1995, 50, (2), 403-44 View citations (182)
    See also Working Paper (1994)

1994

41. Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model
    Journal of International Economics, 1994, 36, (1-2), 29-52 View citations (27)

1993

42. On biases in the measurement of foreign exchange risk premiums
    Journal of International Money and Finance, 1993, 12, (2), 115-138 View citations (81)
    See also Working Paper (1991)

1992

43. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    Journal of Finance, 1992, 47, (2), 467-509 View citations (160)
    See also Working Paper (1992)

1991

44. Caloric Consumption in Industrializing Belgium
    The Journal of Economic History, 1991, 51, (03), 633-655 View citations (3)

Undated

45. What Segments Equity Markets?
    Review of Financial Studies, 24, (12), 3841-3890
    See also Working Paper (2010)

Chapters

2000

1. Capital Flows and the Behavior of Emerging Market Equity Returns
   A chapter in Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, 2000, pp 159-194 View citations (22)
   See also Working Paper (1998)

Editor

1. Journal of Empirical Finance
   Elsevier