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Details about Geert Bekaert

E-mail:
Homepage:https://www0.gsb.columbia.edu/faculty/gbekaert/
Phone:(212) 854 -9156
Postal address:Columbia Business School Uris Hall Room 411 3022 Broadway New York, NY 10027
Workplace:National Bureau of Economic Research (NBER), (more information at EDIRC)
Finance and Economics Department, Graduate School of Business, Columbia University, (more information at EDIRC)

Access statistics for papers by Geert Bekaert.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pbe52


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Working Papers

2023

  1. Risk, Monetary Policy and Asset Prices in a Global World
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Paper Series, European Central Bank (2023) Downloads
  2. The International Commonality of Idiosyncratic Variances
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2021

  1. International Yield Co-movements
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article International Yield Comovements, Journal of Financial and Quantitative Analysis, Cambridge University Press (2023) Downloads (2023)

2020

  1. Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (17)
  2. Risk and return in international corporate bond markets
    Working Paper Series, European Central Bank Downloads View citations (1)
    See also Journal Article Risk and return in international corporate bond markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2021) Downloads View citations (11) (2021)
  3. The Variance Risk Premium in Equilibrium Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article The Variance Risk Premium in Equilibrium Models*, Review of Finance, European Finance Association (2023) Downloads (2023)

2019

  1. Currency Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (9)

    See also Journal Article Currency Factors, Management Science, INFORMS (2022) Downloads View citations (1) (2022)
  2. FLIGHTS TO SAFETY
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (31)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) Downloads View citations (13)
    Working Paper Research, National Bank of Belgium (2012) Downloads View citations (5)

    See also Journal Article Flights to Safety, The Review of Financial Studies, Society for Financial Studies (2020) Downloads View citations (27) (2020)
  3. Good Carry, Bad Carry
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (4)

    See also Journal Article Good Carry, Bad Carry, Journal of Financial and Quantitative Analysis, Cambridge University Press (2020) Downloads View citations (17) (2020)
  4. The Time Variation in Risk Appetite and Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (48)
    See also Journal Article The Time Variation in Risk Appetite and Uncertainty, Management Science, INFORMS (2022) Downloads View citations (25) (2022)

2017

  1. Macro Risks and the Term Structure of Interest Rates
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (5)

    See also Journal Article Macro risks and the term structure of interest rates, Journal of Financial Economics, Elsevier (2021) Downloads View citations (14) (2021)
  2. On the Global Financial Market Integration “Swoosh” and the Trilemma
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article On the global financial market integration “swoosh” and the trilemma, Journal of International Money and Finance, Elsevier (2019) Downloads View citations (38) (2019)

2015

  1. Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    See also Journal Article Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals, Journal of Political Economy, University of Chicago Press (2017) Downloads View citations (61) (2017)
  2. Macroeconomic regimes
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (27)
    Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2013) Downloads
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) Downloads
    2011 Meeting Papers, Society for Economic Dynamics (2011) Downloads View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (2)

    See also Journal Article Macroeconomic regimes, Journal of Monetary Economics, Elsevier (2015) Downloads View citations (32) (2015)
  3. Who is Internationally Diversified? Evidence from 296 401(k)
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)

2014

  1. Political Risk Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (86)
    See also Journal Article Political risk spreads, Journal of International Business Studies, Palgrave Macmillan (2014) Downloads View citations (86) (2014)
  2. The Global Crisis and Equity Market Contagion
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (297)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (127)
    Working Paper Series, European Central Bank (2011) Downloads View citations (103)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (138)

    See also Journal Article The Global Crisis and Equity Market Contagion, Journal of Finance, American Finance Association (2014) Downloads View citations (297) (2014)
  3. The VIX, the variance premium and stock market volatility
    Working Paper Series, European Central Bank Downloads View citations (365)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (17)

    See also Journal Article The VIX, the variance premium and stock market volatility, Journal of Econometrics, Elsevier (2014) Downloads View citations (332) (2014)
  4. Who Is Internationally Diversified? Evidence from 296 401(k) Plans
    Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research Downloads View citations (3)

2013

  1. Risk, uncertainty and monetary policy
    Working Paper Series, European Central Bank Downloads View citations (691)
    Also in Working Paper Research, National Bank of Belgium (2012) Downloads View citations (23)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (77)
    NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (84)

    See also Journal Article Risk, uncertainty and monetary policy, Journal of Monetary Economics, Elsevier (2013) Downloads View citations (612) (2013)

2012

  1. On the Link Between the Volatility and Skewness of Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article On the Link Between the Volatility and Skewness of Growth, IMF Economic Review, Palgrave Macmillan (2019) Downloads View citations (19) (2019)

2011

  1. The European Union, the Euro, and Equity Market Integration
    2011 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (7)

    See also Journal Article The European Union, the Euro, and equity market integration, Journal of Financial Economics, Elsevier (2013) Downloads View citations (76) (2013)

2010

  1. Aggregate Idiosyncratic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (13)

    See also Journal Article Aggregate Idiosyncratic Volatility, Journal of Financial and Quantitative Analysis, Cambridge University Press (2012) Downloads View citations (74) (2012)
  2. Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (25)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (24)
  3. What Segments Equity Markets?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (20)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (19)
    NBP Working Papers, Narodowy Bank Polski (2010) Downloads View citations (10)

    See also Journal Article What Segments Equity Markets?, The Review of Financial Studies, Society for Financial Studies (2011) Downloads View citations (209) (2011)

2009

  1. Financial Openness and Productivity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    See also Journal Article Financial Openness and Productivity, World Development, Elsevier (2011) Downloads View citations (135) (2011)
  2. Inflation and the Stock Market:Understanding the "Fed Model"
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article Inflation and the stock market: Understanding the "Fed Model", Journal of Monetary Economics, Elsevier (2010) Downloads View citations (55) (2010)
  3. The Determinants of Stock and Bond Return Comovements
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
    Also in Working Paper Research, National Bank of Belgium (2007) Downloads View citations (41)
  4. What do asset prices have to say about risk appetite and uncertainty?
    Working Paper Series, European Central Bank Downloads View citations (11)
    See also Journal Article What do asset prices have to say about risk appetite and uncertainty?, Journal of Banking & Finance, Elsevier (2016) Downloads View citations (47) (2016)

2008

  1. International stock return comovements
    Working Paper Series, European Central Bank Downloads View citations (24)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) Downloads View citations (20)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (21)

    See also Journal Article International Stock Return Comovements, Journal of Finance, American Finance Association (2009) Downloads View citations (319) (2009)

2007

  1. The Term Structure of Real Rates and Expected Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (34)

    See also Journal Article The Term Structure of Real Rates and Expected Inflation, Journal of Finance, American Finance Association (2008) Downloads View citations (238) (2008)

2006

  1. 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.) Downloads View citations (43)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (30)

    See also Journal Article Do macro variables, asset markets, or surveys forecast inflation better?, Journal of Monetary Economics, Elsevier (2007) Downloads View citations (596) (2007)
  2. Liquidity and Expected Returns: Lessons from Emerging Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (12)

    See also Journal Article Liquidity and Expected Returns: Lessons from Emerging Markets, The Review of Financial Studies, Society for Financial Studies (2007) Downloads View citations (431) (2007)
  3. New-Keynesian Macroeconomics and the Term Structure
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2005) Downloads View citations (53)
    2004 Meeting Papers, Society for Economic Dynamics (2004) Downloads View citations (29)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (71)

    See also Journal Article New Keynesian Macroeconomics and the Term Structure, Journal of Money, Credit and Banking, Blackwell Publishing (2010) View citations (158) (2010)
  4. Risk, Uncertainty and Asset Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (2)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2005) Downloads View citations (18)

    See also Journal Article Risk, uncertainty, and asset prices, Journal of Financial Economics, Elsevier (2009) Downloads View citations (177) (2009)
  5. Stock and Bond Returns with Moody Investors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (32)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (36)

    See also Journal Article Stock and bond returns with Moody Investors, Journal of Empirical Finance, Elsevier (2010) Downloads View citations (53) (2010)

2004

  1. Does Financial Liberalization Spur Growth?
    Working Paper Research, National Bank of Belgium Downloads View citations (36)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (186)

    See also Journal Article Does financial liberalization spur growth?, Journal of Financial Economics, Elsevier (2005) Downloads View citations (930) (2005)
  2. Global Growth Opportunities and Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article Global Growth Opportunities and Market Integration, Journal of Finance, American Finance Association (2007) Downloads View citations (177) (2007)
  3. Growth Volatility and Financial Liberalization
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (61)
    See also Journal Article Growth volatility and financial liberalization, Journal of International Money and Finance, Elsevier (2006) Downloads View citations (269) (2006)

2003

  1. How do Regimes Affect Asset Allocation?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
  2. Market Integration and Contagion
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (83)
    See also Journal Article Market Integration and Contagion, The Journal of Business, University of Chicago Press (2005) Downloads View citations (522) (2005)

2002

  1. Uncovered Interest Rate Parity and the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)
    See also Journal Article Uncovered interest rate parity and the term structure, Journal of International Money and Finance, Elsevier (2007) Downloads View citations (86) (2007)

2001

  1. Conditioning Information and Variance on Pricing Kernals
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
  2. Stock Return Predictability: Is it There?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (183)
    See also Journal Article Stock Return Predictability: Is it There?, The Review of Financial Studies, Society for Financial Studies (2007) Downloads View citations (573) (2007)

2000

  1. Emerging Equity Markets and Economic Development
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)
    See also Journal Article Emerging equity markets and economic development, Journal of Development Economics, Elsevier (2001) Downloads View citations (209) (2001)
  2. Expectations Hypotheses Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (59)
    See also Journal Article Expectations Hypotheses Tests, Journal of Finance, American Finance Association (2001) Downloads View citations (168) (2001)
  3. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    See also Journal Article Why stocks may disappoint, Journal of Financial Economics, Elsevier (2005) Downloads View citations (115) (2005)

1999

  1. Conditioning Information and Variance Bounds on Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article Conditioning Information and Variance Bounds on Pricing Kernels, The Review of Financial Studies, Society for Financial Studies (2004) Downloads View citations (46) (2004)
  2. International Asset Allocation with Time-Varying Correlations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (64)
  3. Stock and Bond Pricing in an Affine Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
  4. The Dynamics of Emerging Market Equity Flows
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article The dynamics of emerging market equity flows, Journal of International Money and Finance, Elsevier (2002) Downloads View citations (192) (2002)

1998

  1. Capital Flows and the Behavior of Emerging Market Equity Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (79)
    See also Chapter Capital Flows and the Behavior of Emerging Market Equity Returns, NBER Chapters, National Bureau of Economic Research, Inc (2000) Downloads View citations (41) (2000)
  2. Dating the Integration of World Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    See also Journal Article Dating the integration of world equity markets, Journal of Financial Economics, Elsevier (2002) Downloads View citations (254) (2002)
  3. Regime Switches in Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (81)
    See also Journal Article Regime Switches in Interest Rates, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (486) (2002)

1997

  1. "Peso Problem" Explanations for Term Structure Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) Downloads View citations (38)

    See also Journal Article Peso problem explanations for term structure anomalies, Journal of Monetary Economics, Elsevier (2001) Downloads View citations (131) (2001)
  2. Asymmetric Volatility and Risk in Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Journal Article Asymmetric Volatility and Risk in Equity Markets, The Review of Financial Studies, Society for Financial Studies (2000) View citations (700) (2000)
  3. Foreign Speculators and Emerging Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (1997) Downloads View citations (43)

    See also Journal Article Foreign Speculators and Emerging Equity Markets, Journal of Finance, American Finance Association (2000) Downloads View citations (939) (2000)
  4. Target zones and exchange rates: An empirical investigation
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads View citations (14)
    Discussion Paper, Tilburg University, Center for Economic Research (1997) Downloads

    See also Journal Article Target zones and exchange rates:: An empirical investigation, Journal of International Economics, Elsevier (1998) Downloads View citations (70) (1998)
  5. The implications of first-order risk aversion for asset market risk premiums
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (79)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997) Downloads View citations (66)
    NBER Working Papers, National Bureau of Economic Research, Inc (1994) Downloads View citations (9)
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (6)

    See also Journal Article The implications of first-order risk aversion for asset market risk premiums, Journal of Monetary Economics, Elsevier (1997) Downloads View citations (89) (1997)

1996

  1. 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 Downloads View citations (14)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1996) View citations (36)

    See also Journal Article On biases in tests of the expectations hypothesis of the term structure of interest rates, Journal of Financial Economics, Elsevier (1997) Downloads View citations (203) (1997)

1995

  1. Diversification, Integration and Emerging Market Closed-End Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    See also Journal Article Diversification, Integration and Emerging Market Closed-End Funds, Journal of Finance, American Finance Association (1996) Downloads View citations (160) (1996)
  2. Emerging Equity Market Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (366)
    See also Journal Article Emerging equity market volatility, Journal of Financial Economics, Elsevier (1997) Downloads View citations (789) (1997)
  3. The contribution of speculators to effective financial markets
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
  4. The role of capital markets in economic growth
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (4)

1994

  1. The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (51)
    See also Journal Article The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective, The Review of Financial Studies, Society for Financial Studies (1996) Downloads View citations (123) (1996)
  2. Time-Varying World Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (87)
    See also Journal Article Time-Varying World Market Integration, Journal of Finance, American Finance Association (1995) Downloads View citations (1139) (1995)

1991

  1. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (171)
    See also Journal Article Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets, Journal of Finance, American Finance Association (1992) Downloads View citations (291) (1992)
  2. On Biases in the Measurement of Foreign Exchange Risk Premiums
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article On biases in the measurement of foreign exchange risk premiums, Journal of International Money and Finance, Elsevier (1993) Downloads View citations (161) (1993)

Journal Articles

2023

  1. Emerging equity markets in a globalized world
    Emerging Markets Review, 2023, 56, (C) Downloads
  2. International Yield Comovements
    Journal of Financial and Quantitative Analysis, 2023, 58, (1), 250-288 Downloads
    See also Working Paper International Yield Co-movements, CEPR Discussion Papers (2021) Downloads (2021)
  3. Sustainable investment – Exploring the linkage between alpha, ESG, and SDGs
    Sustainable Development, 2023, 31, (5), 3831-3842 Downloads
  4. The Variance Risk Premium in Equilibrium Models*
    Review of Finance, 2023, 27, (6), 1977-2014 Downloads
    See also Working Paper The Variance Risk Premium in Equilibrium Models, NBER Working Papers (2020) Downloads View citations (2) (2020)

2022

  1. Currency Factors
    Management Science, 2022, 68, (6), 4042-4064 Downloads View citations (1)
    See also Working Paper Currency Factors, NBER Working Papers (2019) Downloads View citations (11) (2019)
  2. The Time Variation in Risk Appetite and Uncertainty
    Management Science, 2022, 68, (6), 3975-4004 Downloads View citations (25)
    See also Working Paper The Time Variation in Risk Appetite and Uncertainty, NBER Working Papers (2019) Downloads View citations (48) (2019)

2021

  1. Macro risks and the term structure of interest rates
    Journal of Financial Economics, 2021, 141, (2), 479-504 Downloads View citations (14)
    See also Working Paper Macro Risks and the Term Structure of Interest Rates, Finance and Economics Discussion Series (2017) Downloads View citations (2) (2017)
  2. Risk and return in international corporate bond markets
    Journal of International Financial Markets, Institutions and Money, 2021, 72, (C) Downloads View citations (11)
    See also Working Paper Risk and return in international corporate bond markets, Working Paper Series (2020) Downloads View citations (1) (2020)

2020

  1. Flights to Safety
    The Review of Financial Studies, 2020, 33, (2), 689-746 Downloads View citations (27)
    See also Working Paper FLIGHTS TO SAFETY, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2019) Downloads View citations (12) (2019)
  2. Good Carry, Bad Carry
    Journal of Financial and Quantitative Analysis, 2020, 55, (4), 1063-1094 Downloads View citations (17)
    See also Working Paper Good Carry, Bad Carry, NBER Working Papers (2019) Downloads View citations (4) (2019)

2019

  1. On the Link Between the Volatility and Skewness of Growth
    IMF Economic Review, 2019, 67, (4), 746-790 Downloads View citations (19)
    See also Working Paper On the Link Between the Volatility and Skewness of Growth, NBER Working Papers (2012) Downloads View citations (8) (2012)
  2. On the global financial market integration “swoosh” and the trilemma
    Journal of International Money and Finance, 2019, 94, (C), 227-245 Downloads View citations (38)
    See also Working Paper On the Global Financial Market Integration “Swoosh” and the Trilemma, NBER Working Papers (2017) Downloads View citations (11) (2017)

2017

  1. Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals
    Journal of Political Economy, 2017, 125, (3), 713 - 760 Downloads View citations (61)
    See also Working Paper Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals, Finance and Economics Discussion Series (2015) Downloads View citations (3) (2015)
  2. Economic and Financial Integration in Europe
    ifo DICE Report, 2017, 15, (01), 36-42 Downloads View citations (3)
  3. Who is internationally diversified? Evidence from the 401(k) plans of 296 firms
    Journal of Financial Economics, 2017, 124, (1), 86-112 Downloads View citations (19)

2016

  1. Globalization and Asset Returns
    Annual Review of Financial Economics, 2016, 8, (1), 221-288 Downloads View citations (38)
  2. Political risk and international valuation
    Journal of Corporate Finance, 2016, 37, (C), 1-23 Downloads View citations (40)
  3. What do asset prices have to say about risk appetite and uncertainty?
    Journal of Banking & Finance, 2016, 67, (C), 103-118 Downloads View citations (47)
    See also Working Paper What do asset prices have to say about risk appetite and uncertainty?, Working Paper Series (2009) Downloads View citations (11) (2009)

2015

  1. Bad environments, good environments: A non-Gaussian asymmetric volatility model
    Journal of Econometrics, 2015, 186, (1), 258-275 Downloads View citations (41)
  2. Macroeconomic regimes
    Journal of Monetary Economics, 2015, 70, (C), 51-71 Downloads View citations (32)
    See also Working Paper Macroeconomic regimes, Other publications TiSEM (2015) Downloads View citations (27) (2015)

2014

  1. Political risk spreads
    Journal of International Business Studies, 2014, 45, (4), 471-493 Downloads View citations (86)
    See also Working Paper Political Risk Spreads, NBER Working Papers (2014) Downloads View citations (86) (2014)
  2. The Global Crisis and Equity Market Contagion
    Journal of Finance, 2014, 69, (6), 2597-2649 Downloads View citations (297)
    See also Working Paper The Global Crisis and Equity Market Contagion, Discussion Papers of DIW Berlin (2014) Downloads View citations (297) (2014)
  3. The VIX, the variance premium and stock market volatility
    Journal of Econometrics, 2014, 183, (2), 181-192 Downloads View citations (332)
    See also Working Paper The VIX, the variance premium and stock market volatility, Working Paper Series (2014) Downloads View citations (365) (2014)

2013

  1. Risk, uncertainty and monetary policy
    Journal of Monetary Economics, 2013, 60, (7), 771-788 Downloads View citations (612)
    Also in Research Bulletin, 2010, 10, 11-13 (2010) Downloads View citations (81)

    See also Working Paper Risk, uncertainty and monetary policy, Working Paper Series (2013) Downloads View citations (691) (2013)
  2. The European Union, the Euro, and equity market integration
    Journal of Financial Economics, 2013, 109, (3), 583-603 Downloads View citations (76)
    See also Working Paper The European Union, the Euro, and Equity Market Integration, 2011 Meeting Papers (2011) Downloads View citations (4) (2011)

2012

  1. Aggregate Idiosyncratic Volatility
    Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 Downloads View citations (74)
    See also Working Paper Aggregate Idiosyncratic Volatility, CEPR Discussion Papers (2010) Downloads View citations (12) (2010)

2011

  1. Financial Openness and Productivity
    World Development, 2011, 39, (1), 1-19 Downloads View citations (135)
    See also Working Paper Financial Openness and Productivity, NBER Working Papers (2009) Downloads View citations (16) (2009)
  2. What Segments Equity Markets?
    The Review of Financial Studies, 2011, 24, (12), 3841-3890 Downloads View citations (209)
    See also Working Paper What Segments Equity Markets?, CEPR Discussion Papers (2010) Downloads View citations (20) (2010)

2010

  1. Inflation and the stock market: Understanding the "Fed Model"
    Journal of Monetary Economics, 2010, 57, (3), 278-294 Downloads View citations (55)
    Also in Proceedings, 2009, (Jan) (2009) Downloads View citations (7)

    See also Working Paper Inflation and the Stock Market:Understanding the "Fed Model", NBER Working Papers (2009) Downloads View citations (14) (2009)
  2. Inflation risk and the inflation risk premium
    (Do macro variables, asset markets or surveys forecast inflation better?)
    Economic Policy, 2010, 25, (64), 755-806 Downloads View citations (73)
  3. New Keynesian Macroeconomics and the Term Structure
    Journal of Money, Credit and Banking, 2010, 42, (1), 33-62 View citations (158)
    Also in Journal of Money, Credit and Banking, 2010, 42, (1), 33-62 (2010) Downloads View citations (21)

    See also Working Paper New-Keynesian Macroeconomics and the Term Structure, CEPR Discussion Papers (2006) Downloads View citations (21) (2006)
  4. Stock and bond returns with Moody Investors
    Journal of Empirical Finance, 2010, 17, (5), 867-894 Downloads View citations (53)
    See also Working Paper Stock and Bond Returns with Moody Investors, CEPR Discussion Papers (2006) Downloads View citations (6) (2006)

2009

  1. International Stock Return Comovements
    Journal of Finance, 2009, 64, (6), 2591-2626 Downloads View citations (319)
    See also Working Paper International stock return comovements, Working Paper Series (2008) Downloads View citations (24) (2008)
  2. Risk, uncertainty, and asset prices
    Journal of Financial Economics, 2009, 91, (1), 59-82 Downloads View citations (177)
    See also Working Paper Risk, Uncertainty and Asset Prices, CEPR Discussion Papers (2006) Downloads View citations (2) (2006)

2008

  1. The Term Structure of Real Rates and Expected Inflation
    Journal of Finance, 2008, 63, (2), 797-849 Downloads View citations (238)
    Also in Proceedings, 2004, (Mar) (2004) Downloads View citations (51)

    See also Working Paper The Term Structure of Real Rates and Expected Inflation, NBER Working Papers (2007) Downloads View citations (30) (2007)

2007

  1. Do macro variables, asset markets, or surveys forecast inflation better?
    Journal of Monetary Economics, 2007, 54, (4), 1163-1212 Downloads View citations (596)
    See also Working Paper Do macro variables, asset markets, or surveys forecast inflation better?, Finance and Economics Discussion Series (2006) Downloads View citations (43) (2006)
  2. Global Growth Opportunities and Market Integration
    Journal of Finance, 2007, 62, (3), 1081-1137 Downloads View citations (177)
    See also Working Paper Global Growth Opportunities and Market Integration, NBER Working Papers (2004) Downloads View citations (6) (2004)
  3. Liquidity and Expected Returns: Lessons from Emerging Markets
    The Review of Financial Studies, 2007, 20, (6), 1783-1831 Downloads View citations (431)
    See also Working Paper Liquidity and Expected Returns: Lessons from Emerging Markets, CEPR Discussion Papers (2006) Downloads View citations (8) (2006)
  4. Stock Return Predictability: Is it There?
    The Review of Financial Studies, 2007, 20, (3), 651-707 Downloads View citations (573)
    See also Working Paper Stock Return Predictability: Is it There?, NBER Working Papers (2001) Downloads View citations (183) (2001)
  5. Uncovered interest rate parity and the term structure
    Journal of International Money and Finance, 2007, 26, (6), 1038-1069 Downloads View citations (86)
    See also Working Paper Uncovered Interest Rate Parity and the Term Structure, NBER Working Papers (2002) Downloads View citations (30) (2002)

2006

  1. Growth volatility and financial liberalization
    Journal of International Money and Finance, 2006, 25, (3), 370-403 Downloads View citations (269)
    See also Working Paper Growth Volatility and Financial Liberalization, NBER Working Papers (2004) Downloads View citations (61) (2004)

2005

  1. Does financial liberalization spur growth?
    Journal of Financial Economics, 2005, 77, (1), 3-55 Downloads View citations (930)
    See also Working Paper Does Financial Liberalization Spur Growth?, Working Paper Research (2004) Downloads View citations (36) (2004)
  2. Market Integration and Contagion
    The Journal of Business, 2005, 78, (1), 39-70 Downloads View citations (522)
    See also Working Paper Market Integration and Contagion, NBER Working Papers (2003) Downloads View citations (83) (2003)
  3. Why stocks may disappoint
    Journal of Financial Economics, 2005, 76, (3), 471-508 Downloads View citations (115)
    See also Working Paper Why Stocks May Disappoint, NBER Working Papers (2000) Downloads View citations (21) (2000)

2004

  1. Conditioning Information and Variance Bounds on Pricing Kernels
    The Review of Financial Studies, 2004, 17, (2), 339-378 Downloads View citations (46)
    See also Working Paper Conditioning Information and Variance Bounds on Pricing Kernels, NBER Working Papers (1999) Downloads View citations (8) (1999)

2003

  1. Emerging markets finance
    Journal of Empirical Finance, 2003, 10, (1-2), 3-56 Downloads View citations (339)
  2. Equity Market Liberalization in Emerging Markets
    Journal of Financial Research, 2003, 26, (3), 275-299 Downloads View citations (124)
    Also in Review, 2003, 85, (Jul), 53-74 (2003) Downloads View citations (114)

2002

  1. Dating the integration of world equity markets
    Journal of Financial Economics, 2002, 65, (2), 203-247 Downloads View citations (254)
    See also Working Paper Dating the Integration of World Equity Markets, NBER Working Papers (1998) Downloads View citations (25) (1998)
  2. International Asset Allocation With Regime Shifts
    The Review of Financial Studies, 2002, 15, (4), 1137-1187 View citations (813)
  3. Regime Switches in Interest Rates
    Journal of Business & Economic Statistics, 2002, 20, (2), 163-82 View citations (486)
    See also Working Paper Regime Switches in Interest Rates, NBER Working Papers (1998) Downloads View citations (81) (1998)
  4. Research in emerging markets finance: looking to the future
    Emerging Markets Review, 2002, 3, (4), 429-448 Downloads View citations (186)
  5. Short rate nonlinearities and regime switches
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1243-1274 Downloads View citations (96)
  6. The dynamics of emerging market equity flows
    Journal of International Money and Finance, 2002, 21, (3), 295-350 Downloads View citations (192)
    See also Working Paper The Dynamics of Emerging Market Equity Flows, NBER Working Papers (1999) Downloads View citations (13) (1999)

2001

  1. Editor's foreword to the special issue: "On the predictability of asset returns"
    Journal of Empirical Finance, 2001, 8, (5), 451-457 Downloads View citations (2)
  2. Emerging equity markets and economic development
    Journal of Development Economics, 2001, 66, (2), 465-504 Downloads View citations (209)
    See also Working Paper Emerging Equity Markets and Economic Development, NBER Working Papers (2000) Downloads View citations (34) (2000)
  3. Expectations Hypotheses Tests
    Journal of Finance, 2001, 56, (4), 1357-1394 Downloads View citations (168)
    See also Working Paper Expectations Hypotheses Tests, NBER Working Papers (2000) Downloads View citations (59) (2000)
  4. Peso problem explanations for term structure anomalies
    Journal of Monetary Economics, 2001, 48, (2), 241-270 Downloads View citations (131)
    See also Working Paper "Peso Problem" Explanations for Term Structure Anomalies, NBER Working Papers (1997) Downloads View citations (34) (1997)

2000

  1. Asymmetric Volatility and Risk in Equity Markets
    The Review of Financial Studies, 2000, 13, (1), 1-42 View citations (700)
    See also Working Paper Asymmetric Volatility and Risk in Equity Markets, NBER Working Papers (1997) Downloads View citations (19) (1997)
  2. Foreign Speculators and Emerging Equity Markets
    Journal of Finance, 2000, 55, (2), 565-613 Downloads View citations (939)
    See also Working Paper Foreign Speculators and Emerging Equity Markets, NBER Working Papers (1997) Downloads View citations (25) (1997)

1998

  1. Target zones and exchange rates:: An empirical investigation
    Journal of International Economics, 1998, 45, (1), 1-35 Downloads View citations (70)
    See also Working Paper Target zones and exchange rates: An empirical investigation, Other publications TiSEM (1997) Downloads (1997)

1997

  1. Emerging equity market volatility
    Journal of Financial Economics, 1997, 43, (1), 29-77 Downloads View citations (789)
    See also Working Paper Emerging Equity Market Volatility, NBER Working Papers (1995) Downloads View citations (366) (1995)
  2. On biases in tests of the expectations hypothesis of the term structure of interest rates
    Journal of Financial Economics, 1997, 44, (3), 309-348 Downloads View citations (203)
    See also Working Paper On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates, NBER Technical Working Papers (1996) Downloads View citations (14) (1996)
  3. The implications of first-order risk aversion for asset market risk premiums
    Journal of Monetary Economics, 1997, 40, (1), 3-39 Downloads View citations (89)
    See also Working Paper The implications of first-order risk aversion for asset market risk premiums, Discussion Paper (1997) Downloads View citations (79) (1997)

1996

  1. Diversification, Integration and Emerging Market Closed-End Funds
    Journal of Finance, 1996, 51, (3), 835-69 Downloads View citations (160)
    See also Working Paper Diversification, Integration and Emerging Market Closed-End Funds, NBER Working Papers (1995) Downloads View citations (17) (1995)
  2. The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
    The Review of Financial Studies, 1996, 9, (2), 427-70 Downloads View citations (123)
    See also Working Paper The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective, NBER Working Papers (1994) Downloads View citations (51) (1994)

1995

  1. Market Integration and Investment Barriers in Emerging Equity Markets
    The World Bank Economic Review, 1995, 9, (1), 75-107 View citations (258)
  2. The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets
    Journal of Business & Economic Statistics, 1995, 13, (4), 397-408 View citations (49)
  3. Time-Varying World Market Integration
    Journal of Finance, 1995, 50, (2), 403-44 Downloads View citations (1139)
    See also Working Paper Time-Varying World Market Integration, NBER Working Papers (1994) Downloads View citations (87) (1994)

1994

  1. Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model
    Journal of International Economics, 1994, 36, (1-2), 29-52 Downloads View citations (46)

1993

  1. On biases in the measurement of foreign exchange risk premiums
    Journal of International Money and Finance, 1993, 12, (2), 115-138 Downloads View citations (161)
    See also Working Paper On Biases in the Measurement of Foreign Exchange Risk Premiums, NBER Working Papers (1991) Downloads View citations (3) (1991)

1992

  1. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    Journal of Finance, 1992, 47, (2), 467-509 Downloads View citations (291)
    See also Working Paper Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets, NBER Working Papers (1991) Downloads View citations (171) (1991)

1991

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

Books

2018

  1. International Financial Management
    Cambridge Books, Cambridge University Press View citations (9)

Edited books

2004

  1. Emerging Markets
    Books, Edward Elgar Publishing Downloads View citations (35)

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 Downloads View citations (41)
    See also Working Paper Capital Flows and the Behavior of Emerging Market Equity Returns, National Bureau of Economic Research, Inc (1998) Downloads View citations (79) (1998)

Editor

  1. Journal of Empirical Finance
    Elsevier
 
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