Details about Geert Bekaert

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 2024-10-10. Update your information in the RePEc Author Service.

Short-id: pbe52

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Working Papers

2024

1. Forecasting International Stock Market Variances
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2023

2. Risk, Monetary Policy and Asset Prices in a Global World
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Paper Series, European Central Bank (2023) View citations (5)
3. The International Commonality of Idiosyncratic Variances
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2021

4. International Yield Co-movements
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article International Yield Comovements, Journal of Financial and Quantitative Analysis, Cambridge University Press (2023) View citations (3) (2023)

2020

5. 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.) View citations (18)
6. Risk and return in international corporate bond markets
   Working Paper Series, European Central Bank 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) View citations (15) (2021)
7. The Variance Risk Premium in Equilibrium Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article The Variance Risk Premium in Equilibrium Models*, Review of Finance, European Finance Association (2023) View citations (3) (2023)

2019

8. Currency Factors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (11)
   See also Journal Article Currency Factors, Management Science, INFORMS (2022) View citations (1) (2022)
9. FLIGHTS TO SAFETY
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (13)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (31)
   Working Paper Research, National Bank of Belgium (2012) View citations (5)
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (13)
   See also Journal Article Flights to Safety, The Review of Financial Studies, Society for Financial Studies (2020) View citations (28) (2020)
10. Good Carry, Bad Carry
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (4)
    See also Journal Article Good Carry, Bad Carry, Journal of Financial and Quantitative Analysis, Cambridge University Press (2020) View citations (23) (2020)
11. The Time Variation in Risk Appetite and Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (53)
    See also Journal Article The Time Variation in Risk Appetite and Uncertainty, Management Science, INFORMS (2022) View citations (61) (2022)

2017

12. Macro Risks and the Term Structure of Interest Rates
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (5)
    See also Journal Article Macro risks and the term structure of interest rates, Journal of Financial Economics, Elsevier (2021) View citations (19) (2021)
13. On the Global Financial Market Integration “Swoosh” and the Trilemma
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article On the global financial market integration “swoosh” and the trilemma, Journal of International Money and Finance, Elsevier (2019) View citations (38) (2019)

2015

14. 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.) 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) View citations (72) (2017)
15. Macroeconomic regimes
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (29)
    Also in 2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (2)
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012)
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2013)
    See also Journal Article Macroeconomic regimes, Journal of Monetary Economics, Elsevier (2015) View citations (32) (2015)
16. Who is Internationally Diversified? Evidence from 296 401(k)
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2014

17. Political Risk Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (92)
    See also Journal Article Political risk spreads, Journal of International Business Studies, Palgrave Macmillan (2014) View citations (92) (2014)
18. The Global Crisis and Equity Market Contagion
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (318)
    Also in Working Paper Series, European Central Bank (2011) View citations (104)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (128)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (139)
    See also Journal Article The Global Crisis and Equity Market Contagion, Journal of Finance, American Finance Association (2014) View citations (318) (2014)
19. The VIX, the variance premium and stock market volatility
    Working Paper Series, European Central Bank View citations (404)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (17)
    See also Journal Article The VIX, the variance premium and stock market volatility, Journal of Econometrics, Elsevier (2014) View citations (388) (2014)
20. Who Is Internationally Diversified? Evidence from 296 401(k) Plans
    Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research View citations (3)

2013

21. Risk, uncertainty and monetary policy
    Working Paper Series, European Central Bank View citations (742)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (79)
    NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (85)
    Working Paper Research, National Bank of Belgium (2012) View citations (23)
    See also Journal Article Risk, uncertainty and monetary policy, Journal of Monetary Economics, Elsevier (2013) View citations (616) (2013)

2012

22. On the Link Between the Volatility and Skewness of Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article On the Link Between the Volatility and Skewness of Growth, IMF Economic Review, Palgrave Macmillan (2019) View citations (21) (2019)

2011

23. The European Union, the Euro, and Equity Market Integration
    2011 Meeting Papers, Society for Economic Dynamics View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (7)
    See also Journal Article The European Union, the Euro, and equity market integration, Journal of Financial Economics, Elsevier (2013) View citations (76) (2013)

2010

24. Aggregate Idiosyncratic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (13)
    See also Journal Article Aggregate Idiosyncratic Volatility, Journal of Financial and Quantitative Analysis, Cambridge University Press (2012) View citations (80) (2012)
25. Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (23)
26. What Segments Equity Markets?
    NBP Working Papers, Narodowy Bank Polski View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (20)
    See also Journal Article What Segments Equity Markets?, The Review of Financial Studies, Society for Financial Studies (2011) View citations (223) (2011)

2009

27. Financial Openness and Productivity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Journal Article Financial Openness and Productivity, World Development, Elsevier (2011) View citations (135) (2011)
28. Inflation and the Stock Market:Understanding the "Fed Model"
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Journal Article Inflation and the stock market: Understanding the "Fed Model", Journal of Monetary Economics, Elsevier (2010) View citations (59) (2010)
29. The Determinants of Stock and Bond Return Comovements
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    Also in Working Paper Research, National Bank of Belgium (2007) View citations (41)
30. What do asset prices have to say about risk appetite and uncertainty?
    Working Paper Series, European Central Bank 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) View citations (49) (2016)

2008

31. International stock return comovements
    Working Paper Series, European Central Bank View citations (24)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (6)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) View citations (20)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (21)
    See also Journal Article International Stock Return Comovements, Journal of Finance, American Finance Association (2009) View citations (336) (2009)

2007

32. The Term Structure of Real Rates and Expected Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (34)
    See also Journal Article The Term Structure of Real Rates and Expected Inflation, Journal of Finance, American Finance Association (2008) View citations (247) (2008)

2006

33. 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 (43)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (30)
    See also Journal Article Do macro variables, asset markets, or surveys forecast inflation better?, Journal of Monetary Economics, Elsevier (2007) View citations (627) (2007)
34. Liquidity and Expected Returns: Lessons from Emerging Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (13)
    See also Journal Article Liquidity and Expected Returns: Lessons from Emerging Markets, The Review of Financial Studies, Society for Financial Studies (2007) View citations (445) (2007)
35. New-Keynesian Macroeconomics and the Term Structure
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (21)
    Also in 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 (53)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) 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 (160) (2010)
36. Risk, Uncertainty and Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2005) View citations (18)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (2)
    See also Journal Article Risk, uncertainty, and asset prices, Journal of Financial Economics, Elsevier (2009) View citations (177) (2009)
37. Stock and Bond Returns with Moody Investors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (36)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (32)
    See also Journal Article Stock and bond returns with Moody Investors, Journal of Empirical Finance, Elsevier (2010) View citations (54) (2010)

2004

38. Does Financial Liberalization Spur Growth?
    Working Paper Research, National Bank of Belgium View citations (36)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (186)
    See also Journal Article Does financial liberalization spur growth?, Journal of Financial Economics, Elsevier (2005) View citations (967) (2005)
39. Global Growth Opportunities and Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Global Growth Opportunities and Market Integration, Journal of Finance, American Finance Association (2007) View citations (183) (2007)
40. Growth Volatility and Financial Liberalization
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (61)
    See also Journal Article Growth volatility and financial liberalization, Journal of International Money and Finance, Elsevier (2006) View citations (276) (2006)

2003

41. How do Regimes Affect Asset Allocation?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    See also Journal Article How Regimes Affect Asset Allocation, Financial Analysts Journal, Taylor & Francis Journals (2004) View citations (9) (2004)
42. Market Integration and Contagion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (84)
    See also Journal Article Market Integration and Contagion, The Journal of Business, University of Chicago Press (2005) View citations (538) (2005)

2002

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

2001

44. Conditioning Information and Variance on Pricing Kernals
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
45. Stock Return Predictability: Is it There?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (182)
    See also Journal Article Stock Return Predictability: Is it There?, The Review of Financial Studies, Society for Financial Studies (2007) View citations (610) (2007)

2000

46. Emerging Equity Markets and Economic Development
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    See also Journal Article Emerging equity markets and economic development, Journal of Development Economics, Elsevier (2001) View citations (213) (2001)
47. Expectations Hypotheses Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
    See also Journal Article Expectations Hypotheses Tests, Journal of Finance, American Finance Association (2001) View citations (168) (2001)
48. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    See also Journal Article Why stocks may disappoint, Journal of Financial Economics, Elsevier (2005) View citations (122) (2005)

1999

49. Conditioning Information and Variance Bounds on Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (46) (2004)
50. International Asset Allocation with Time-Varying Correlations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (64)
51. Stock and Bond Pricing in an Affine Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
52. The Dynamics of Emerging Market Equity Flows
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Journal Article The dynamics of emerging market equity flows, Journal of International Money and Finance, Elsevier (2002) View citations (194) (2002)

1998

53. Capital Flows and the Behavior of Emerging Market Equity Returns
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (42) (2000)
54. Dating the Integration of World Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    See also Journal Article Dating the integration of world equity markets, Journal of Financial Economics, Elsevier (2002) View citations (258) (2002)
55. Regime Switches in Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (80)
    See also Journal Article Regime Switches in Interest Rates, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (493) (2002)

1997

56. "Peso Problem" Explanations for Term Structure Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) View citations (37)
    See also Journal Article Peso problem explanations for term structure anomalies, Journal of Monetary Economics, Elsevier (2001) View citations (131) (2001)
57. Asymmetric Volatility and Risk in Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Journal Article Asymmetric Volatility and Risk in Equity Markets, The Review of Financial Studies, Society for Financial Studies (2000) View citations (725) (2000)
58. Foreign Speculators and Emerging Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (1997) View citations (44)
    See also Journal Article Foreign Speculators and Emerging Equity Markets, Journal of Finance, American Finance Association (2000) View citations (960) (2000)
59. Target zones and exchange rates: An empirical investigation
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1997)
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (14)
    See also Journal Article Target zones and exchange rates:: An empirical investigation, Journal of International Economics, Elsevier (1998) View citations (70) (1998)
60. The implications of first-order risk aversion for asset market risk premiums
    Discussion Paper, Tilburg University, Center for Economic Research View citations (79)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1994) View citations (9)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1997) View citations (66)
    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) View citations (89) (1997)

1996

61. 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 (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) View citations (202) (1997)

1995

62. Diversification, Integration and Emerging Market Closed-End Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    See also Journal Article Diversification, Integration and Emerging Market Closed-End Funds, Journal of Finance, American Finance Association (1996) View citations (163) (1996)
63. Emerging Equity Market Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (365)
    See also Journal Article Emerging equity market volatility, Journal of Financial Economics, Elsevier (1997) View citations (800) (1997)
64. The contribution of speculators to effective financial markets
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (1)
65. The role of capital markets in economic growth
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (5)

1994

66. 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 (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) View citations (124) (1996)
67. Time-Varying World Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (87)
    See also Journal Article Time-Varying World Market Integration, Journal of Finance, American Finance Association (1995) View citations (1156) (1995)

1991

68. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (292) (1992)
69. On Biases in the Measurement of Foreign Exchange Risk Premiums
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (164) (1993)

Journal Articles

2023

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

2022

5. Currency Factors
   Management Science, 2022, 68, (6), 4042-4064 View citations (1)
   See also Working Paper Currency Factors, CEPR Discussion Papers (2019) View citations (9) (2019)
6. The Time Variation in Risk Appetite and Uncertainty
   Management Science, 2022, 68, (6), 3975-4004 View citations (61)
   See also Working Paper The Time Variation in Risk Appetite and Uncertainty, NBER Working Papers (2019) View citations (53) (2019)

2021

7. Macro risks and the term structure of interest rates
   Journal of Financial Economics, 2021, 141, (2), 479-504 View citations (19)
   See also Working Paper Macro Risks and the Term Structure of Interest Rates, Finance and Economics Discussion Series (2017) View citations (2) (2017)
8. Risk and return in international corporate bond markets
   Journal of International Financial Markets, Institutions and Money, 2021, 72, (C) View citations (15)
   See also Working Paper Risk and return in international corporate bond markets, Working Paper Series (2020) View citations (1) (2020)

2020

9. Flights to Safety
   The Review of Financial Studies, 2020, 33, (2), 689-746 View citations (28)
   See also Working Paper FLIGHTS TO SAFETY, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2019) View citations (13) (2019)
10. Good Carry, Bad Carry
    Journal of Financial and Quantitative Analysis, 2020, 55, (4), 1063-1094 View citations (23)
    See also Working Paper Good Carry, Bad Carry, CEPR Discussion Papers (2019) View citations (4) (2019)

2019

11. On the Link Between the Volatility and Skewness of Growth
    IMF Economic Review, 2019, 67, (4), 746-790 View citations (21)
    See also Working Paper On the Link Between the Volatility and Skewness of Growth, NBER Working Papers (2012) View citations (8) (2012)
12. On the global financial market integration “swoosh” and the trilemma
    Journal of International Money and Finance, 2019, 94, (C), 227-245 View citations (38)
    See also Working Paper On the Global Financial Market Integration “Swoosh” and the Trilemma, NBER Working Papers (2017) View citations (12) (2017)

2017

13. Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals
    Journal of Political Economy, 2017, 125, (3), 713 - 760 View citations (72)
    See also Working Paper Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals, Finance and Economics Discussion Series (2015) View citations (3) (2015)
14. Economic and Financial Integration in Europe
    ifo DICE Report, 2017, 15, (01), 36-42 View citations (3)
15. Who is internationally diversified? Evidence from the 401(k) plans of 296 firms
    Journal of Financial Economics, 2017, 124, (1), 86-112 View citations (20)

2016

16. Globalization and Asset Returns
    Annual Review of Financial Economics, 2016, 8, (1), 221-288 View citations (40)
17. Political risk and international valuation
    Journal of Corporate Finance, 2016, 37, (C), 1-23 View citations (43)
18. What do asset prices have to say about risk appetite and uncertainty?
    Journal of Banking & Finance, 2016, 67, (C), 103-118 View citations (49)
    See also Working Paper What do asset prices have to say about risk appetite and uncertainty?, Working Paper Series (2009) View citations (11) (2009)

2015

19. Bad environments, good environments: A non-Gaussian asymmetric volatility model
    Journal of Econometrics, 2015, 186, (1), 258-275 View citations (45)
20. Macroeconomic regimes
    Journal of Monetary Economics, 2015, 70, (C), 51-71 View citations (32)
    See also Working Paper Macroeconomic regimes, Other publications TiSEM (2015) View citations (29) (2015)

2014

21. Political risk spreads
    Journal of International Business Studies, 2014, 45, (4), 471-493 View citations (92)
    See also Working Paper Political Risk Spreads, NBER Working Papers (2014) View citations (92) (2014)
22. The Global Crisis and Equity Market Contagion
    Journal of Finance, 2014, 69, (6), 2597-2649 View citations (318)
    See also Working Paper The Global Crisis and Equity Market Contagion, Discussion Papers of DIW Berlin (2014) View citations (318) (2014)
23. The VIX, the variance premium and stock market volatility
    Journal of Econometrics, 2014, 183, (2), 181-192 View citations (388)
    See also Working Paper The VIX, the variance premium and stock market volatility, Working Paper Series (2014) View citations (404) (2014)

2013

24. Risk, uncertainty and monetary policy
    Journal of Monetary Economics, 2013, 60, (7), 771-788 View citations (616)
    Also in Research Bulletin, 2010, 10, 11-13 (2010) View citations (82)
    See also Working Paper Risk, uncertainty and monetary policy, Working Paper Series (2013) View citations (742) (2013)
25. The European Union, the Euro, and equity market integration
    Journal of Financial Economics, 2013, 109, (3), 583-603 View citations (76)
    See also Working Paper The European Union, the Euro, and Equity Market Integration, 2011 Meeting Papers (2011) View citations (4) (2011)

2012

26. Aggregate Idiosyncratic Volatility
    Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 View citations (80)
    See also Working Paper Aggregate Idiosyncratic Volatility, CEPR Discussion Papers (2010) View citations (12) (2010)

2011

27. Financial Openness and Productivity
    World Development, 2011, 39, (1), 1-19 View citations (135)
    See also Working Paper Financial Openness and Productivity, NBER Working Papers (2009) View citations (16) (2009)
28. What Segments Equity Markets?
    The Review of Financial Studies, 2011, 24, (12), 3841-3890 View citations (223)
    See also Working Paper What Segments Equity Markets?, NBP Working Papers (2010) View citations (10) (2010)

2010

29. Inflation and the stock market: Understanding the "Fed Model"
    Journal of Monetary Economics, 2010, 57, (3), 278-294 View citations (59)
    Also in Proceedings, 2009, (Jan) (2009) View citations (7)
    See also Working Paper Inflation and the Stock Market:Understanding the "Fed Model", NBER Working Papers (2009) View citations (14) (2009)
30. Inflation risk and the inflation risk premium
    (Do macro variables, asset markets or surveys forecast inflation better?)
    Economic Policy, 2010, 25, (64), 755-806 View citations (77)
31. New Keynesian Macroeconomics and the Term Structure
    Journal of Money, Credit and Banking, 2010, 42, (1), 33-62 View citations (160)
    Also in Journal of Money, Credit and Banking, 2010, 42, (1), 33-62 (2010) View citations (24)
    See also Working Paper New-Keynesian Macroeconomics and the Term Structure, CEPR Discussion Papers (2006) View citations (21) (2006)
32. Stock and bond returns with Moody Investors
    Journal of Empirical Finance, 2010, 17, (5), 867-894 View citations (54)
    See also Working Paper Stock and Bond Returns with Moody Investors, CEPR Discussion Papers (2006) View citations (6) (2006)

2009

33. International Stock Return Comovements
    Journal of Finance, 2009, 64, (6), 2591-2626 View citations (336)
    See also Working Paper International stock return comovements, Working Paper Series (2008) View citations (24) (2008)
34. Risk, uncertainty, and asset prices
    Journal of Financial Economics, 2009, 91, (1), 59-82 View citations (177)
    See also Working Paper Risk, Uncertainty and Asset Prices, NBER Working Papers (2006) View citations (2) (2006)

2008

35. The Term Structure of Real Rates and Expected Inflation
    Journal of Finance, 2008, 63, (2), 797-849 View citations (247)
    Also in Proceedings, 2004, (Mar) (2004) View citations (48)
    See also Working Paper The Term Structure of Real Rates and Expected Inflation, NBER Working Papers (2007) View citations (30) (2007)

2007

36. Do macro variables, asset markets, or surveys forecast inflation better?
    Journal of Monetary Economics, 2007, 54, (4), 1163-1212 View citations (627)
    See also Working Paper Do macro variables, asset markets, or surveys forecast inflation better?, Finance and Economics Discussion Series (2006) View citations (43) (2006)
37. Global Growth Opportunities and Market Integration
    Journal of Finance, 2007, 62, (3), 1081-1137 View citations (183)
    See also Working Paper Global Growth Opportunities and Market Integration, NBER Working Papers (2004) View citations (6) (2004)
38. Liquidity and Expected Returns: Lessons from Emerging Markets
    The Review of Financial Studies, 2007, 20, (6), 1783-1831 View citations (445)
    See also Working Paper Liquidity and Expected Returns: Lessons from Emerging Markets, CEPR Discussion Papers (2006) View citations (8) (2006)
39. Stock Return Predictability: Is it There?
    The Review of Financial Studies, 2007, 20, (3), 651-707 View citations (610)
    See also Working Paper Stock Return Predictability: Is it There?, NBER Working Papers (2001) View citations (182) (2001)
40. Uncovered interest rate parity and the term structure
    Journal of International Money and Finance, 2007, 26, (6), 1038-1069 View citations (86)
    See also Working Paper Uncovered Interest Rate Parity and the Term Structure, NBER Working Papers (2002) View citations (30) (2002)

2006

41. Growth volatility and financial liberalization
    Journal of International Money and Finance, 2006, 25, (3), 370-403 View citations (276)
    See also Working Paper Growth Volatility and Financial Liberalization, NBER Working Papers (2004) View citations (61) (2004)

2005

42. Does financial liberalization spur growth?
    Journal of Financial Economics, 2005, 77, (1), 3-55 View citations (967)
    See also Working Paper Does Financial Liberalization Spur Growth?, Working Paper Research (2004) View citations (36) (2004)
43. Market Integration and Contagion
    The Journal of Business, 2005, 78, (1), 39-70 View citations (538)
    See also Working Paper Market Integration and Contagion, NBER Working Papers (2003) View citations (84) (2003)
44. Why stocks may disappoint
    Journal of Financial Economics, 2005, 76, (3), 471-508 View citations (122)
    See also Working Paper Why Stocks May Disappoint, NBER Working Papers (2000) View citations (21) (2000)

2004

45. Conditioning Information and Variance Bounds on Pricing Kernels
    The Review of Financial Studies, 2004, 17, (2), 339-378 View citations (46)
    See also Working Paper Conditioning Information and Variance Bounds on Pricing Kernels, NBER Working Papers (1999) View citations (8) (1999)
46. How Regimes Affect Asset Allocation
    Financial Analysts Journal, 2004, 60, (2), 86-99 View citations (9)
    See also Working Paper How do Regimes Affect Asset Allocation?, NBER Working Papers (2003) View citations (19) (2003)

2003

47. Emerging markets finance
    Journal of Empirical Finance, 2003, 10, (1-2), 3-56 View citations (347)
48. Equity Market Liberalization in Emerging Markets
    Journal of Financial Research, 2003, 26, (3), 275-299 View citations (129)
    Also in Review, 2003, 85, (Jul), 53-74 (2003) View citations (114)

2002

49. Dating the integration of world equity markets
    Journal of Financial Economics, 2002, 65, (2), 203-247 View citations (258)
    See also Working Paper Dating the Integration of World Equity Markets, NBER Working Papers (1998) View citations (25) (1998)
50. International Asset Allocation With Regime Shifts
    The Review of Financial Studies, 2002, 15, (4), 1137-1187 View citations (852)
51. Regime Switches in Interest Rates
    Journal of Business & Economic Statistics, 2002, 20, (2), 163-82 View citations (493)
    See also Working Paper Regime Switches in Interest Rates, NBER Working Papers (1998) View citations (80) (1998)
52. Research in emerging markets finance: looking to the future
    Emerging Markets Review, 2002, 3, (4), 429-448 View citations (189)
53. Short rate nonlinearities and regime switches
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1243-1274 View citations (97)
54. The dynamics of emerging market equity flows
    Journal of International Money and Finance, 2002, 21, (3), 295-350 View citations (194)
    See also Working Paper The Dynamics of Emerging Market Equity Flows, NBER Working Papers (1999) View citations (13) (1999)

2001

55. 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)
56. Emerging equity markets and economic development
    Journal of Development Economics, 2001, 66, (2), 465-504 View citations (213)
    See also Working Paper Emerging Equity Markets and Economic Development, NBER Working Papers (2000) View citations (34) (2000)
57. Expectations Hypotheses Tests
    Journal of Finance, 2001, 56, (4), 1357-1394 View citations (168)
    See also Working Paper Expectations Hypotheses Tests, NBER Working Papers (2000) View citations (58) (2000)
58. Peso problem explanations for term structure anomalies
    Journal of Monetary Economics, 2001, 48, (2), 241-270 View citations (131)
    See also Working Paper "Peso Problem" Explanations for Term Structure Anomalies, NBER Working Papers (1997) View citations (34) (1997)

2000

59. Asymmetric Volatility and Risk in Equity Markets
    The Review of Financial Studies, 2000, 13, (1), 1-42 View citations (725)
    See also Working Paper Asymmetric Volatility and Risk in Equity Markets, NBER Working Papers (1997) View citations (18) (1997)
60. Foreign Speculators and Emerging Equity Markets
    Journal of Finance, 2000, 55, (2), 565-613 View citations (960)
    See also Working Paper Foreign Speculators and Emerging Equity Markets, NBER Working Papers (1997) View citations (25) (1997)

1998

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

1997

62. Emerging equity market volatility
    Journal of Financial Economics, 1997, 43, (1), 29-77 View citations (800)
    See also Working Paper Emerging Equity Market Volatility, NBER Working Papers (1995) View citations (365) (1995)
63. 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 (202)
    See also Working Paper On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates, NBER Technical Working Papers (1996) View citations (14) (1996)
64. The implications of first-order risk aversion for asset market risk premiums
    Journal of Monetary Economics, 1997, 40, (1), 3-39 View citations (89)
    See also Working Paper The implications of first-order risk aversion for asset market risk premiums, Discussion Paper (1997) View citations (79) (1997)

1996

65. Diversification, Integration and Emerging Market Closed-End Funds
    Journal of Finance, 1996, 51, (3), 835-69 View citations (163)
    See also Working Paper Diversification, Integration and Emerging Market Closed-End Funds, NBER Working Papers (1995) View citations (17) (1995)
66. 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 View citations (124)
    See also Working Paper The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective, NBER Working Papers (1994) View citations (51) (1994)

1995

67. Market Integration and Investment Barriers in Emerging Equity Markets
    The World Bank Economic Review, 1995, 9, (1), 75-107 View citations (262)
68. The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets
    Journal of Business & Economic Statistics, 1995, 13, (4), 397-408 View citations (50)
69. Time-Varying World Market Integration
    Journal of Finance, 1995, 50, (2), 403-44 View citations (1156)
    See also Working Paper Time-Varying World Market Integration, NBER Working Papers (1994) View citations (87) (1994)

1994

70. 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 (46)

1993

71. On biases in the measurement of foreign exchange risk premiums
    Journal of International Money and Finance, 1993, 12, (2), 115-138 View citations (164)
    See also Working Paper On Biases in the Measurement of Foreign Exchange Risk Premiums, NBER Working Papers (1991) View citations (3) (1991)

1992

72. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    Journal of Finance, 1992, 47, (2), 467-509 View citations (292)
    See also Working Paper Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets, NBER Working Papers (1991) View citations (171) (1991)

1991

73. Caloric Consumption in Industrializing Belgium
    The Journal of Economic History, 1991, 51, (3), 633-655 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 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 View citations (42)
   See also Working Paper Capital Flows and the Behavior of Emerging Market Equity Returns, National Bureau of Economic Research, Inc (1998) View citations (79) (1998)

Editor

1. Journal of Empirical Finance
   Elsevier