Details about Olesya V. Grishchenko

Access statistics for papers by Olesya V. Grishchenko.

Last updated 2025-04-24. Update your information in the RePEc Author Service.

Short-id: pgr408

Working Papers

2026

1. The Role of Inflation Perceptions in Consumer Inflation Expectations: Evidence from the Euro Area
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2025

2. Gauging the Sentiment of Federal Open Market Committee Communications through the Eyes of the Financial Press
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
3. How Stable are Inflation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2024

4. Tale About Inflation Tails
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2020

5. Fuel up with OATmeals! The case of the French nominal yield curve
   Post-Print, HAL View citations (2)
6. What is Certain about Uncertainty?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (21)
   See also Journal Article What Is Certain about Uncertainty?, Journal of Economic Literature, American Economic Association (2023) View citations (40) (2023)

2018

7. A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
   Papers, arXiv.org
   See also Journal Article A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2020) View citations (1) (2020)

2017

8. Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (13)
   See also Journal Article Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison, Journal of Money, Credit and Banking, Blackwell Publishing (2019) View citations (47) (2019)
9. The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty
   Working papers, Banque de France View citations (6)

2016

10. Has the Inflation Risk Premium Fallen? Is it Now Negative?
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (15)

2015

11. Term Structure of Interest Rates with Short-run and Long-run Risks
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2013

12. The informational content of the embedded deflation option in TIPS
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    See also Journal Article The informational content of the embedded deflation option in TIPS, Journal of Banking & Finance, Elsevier (2016) View citations (11) (2016)

2012

13. Habit formation heterogeneity: Implications for aggregate asset pricing
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing, Finance, Presses universitaires de Grenoble (2017) (2017)
14. Inflation risk premium: evidence from the TIPS market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (54)

2011

15. An empirical investigation of consumption-based asset pricing models with stochastic habit formation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2014) View citations (1) (2014)
16. The information content of the embedded deflation pption in TIPS
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (8)

Journal Articles

2023

1. What Is Certain about Uncertainty?
   Journal of Economic Literature, 2023, 61, (2), 624-54 View citations (40)
   See also Working Paper What is Certain about Uncertainty?, International Finance Discussion Papers (2020) View citations (21) (2020)

2020

2. A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (03), 1-49 View citations (1)
   See also Working Paper A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model, Papers (2018) (2018)

2019

3. Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison
   Journal of Money, Credit and Banking, 2019, 51, (5), 1053-1096 View citations (47)
   See also Working Paper Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison, Finance and Economics Discussion Series (2017) View citations (13) (2017)

2017

4. Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
   Finance, 2017, 38, (1), 45-83
   See also Working Paper Habit formation heterogeneity: Implications for aggregate asset pricing, Finance and Economics Discussion Series (2012) View citations (2) (2012)

2016

5. The informational content of the embedded deflation option in TIPS
   Journal of Banking & Finance, 2016, 65, (C), 1-26 View citations (11)
   See also Working Paper The informational content of the embedded deflation option in TIPS, Finance and Economics Discussion Series (2013) View citations (3) (2013)

2014

6. An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation
   Quarterly Journal of Finance (QJF), 2014, 04, (01), 1-34 View citations (1)
   See also Working Paper An empirical investigation of consumption-based asset pricing models with stochastic habit formation, Finance and Economics Discussion Series (2011) View citations (1) (2011)

2011

7. Asset pricing in the production economy subject to monetary shocks
   Journal of Economics and Business, 2011, 63, (3), 187-216 View citations (3)
8. The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach
   Journal of Business & Economic Statistics, 2011, 30, (2), 297-311 View citations (5)

2010

9. Internal vs. external habit formation: The relative importance for asset pricing
   Journal of Economics and Business, 2010, 62, (3), 176-194 View citations (23)