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Economists


Nikolay Gospodinov

Financial Economist and Policy Adviser

Research Department
Federal Reserve Bank of Atlanta
1000 Peachtree Street N.E.
Atlanta, Georgia 30309-4470
nikolay.gospodinov@atl.frb.org
sites.google.com/site/gospodinovfed/

To interview economists, press should contact Public Affairs at 404-498-8748.


  • Biography
  • Research

Biography

Nikolay Gospodinov is a financial economist and policy adviser in the research department at the Federal Reserve Bank of Atlanta. His research interests include asset pricing, financial econometrics, commodity price dynamics, time series models, and forecasting.

Before joining the Atlanta Fed in 2013, Dr. Gospodinov was a professor, associate professor, and assistant professor in the Department of Economics at Concordia University (Montreal, Canada) from 2000 to 2013. He was also a visiting professor in the Desautels Faculty of Management at McGill University from 2006 to 2007, and in the economics department at the University of Montreal in 2011.

Dr. Gospodinov has published research in a variety of peer-reviewed journals, including the Review of Economics and Statistics, Journal of Econometrics, and Journal of Business and Economic Statistics. He is also coauthor of the book Methods for Estimation and Inference in Modern Econometrics with Stanislav Anatolyev.

Dr. Gospodinov is an associate editor for the Econometric Reviews and a referee for a number of other journals, including Econometrica, Review of Financial Studies, Econometric Theory, and the Journal of Applied Econometrics. He has also refereed for the National Science Foundation. He has received research grants from the Social Sciences and Humanities Research Council of Canada (2013–16, 2010–13, 2005–08, 2002–05), Fonds Québécois de la Recherche sur la Société et la Culture (2010–14, 2005–09, 2002–05), and the Institute of Financial Mathematics (2010–2013, 2005–06).

Dr. Gospodinov received his bachelor of arts and master of arts in economics from the University of National and World Economy (Sofia, Bulgaria). He earned his doctoral degree in economics from Boston College in Massachusetts.

Research

Journal Publications

"Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors" (with R. Kan and C. Robotti). Review of Financial Studies (2014), forthcoming.

"A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains" (with D. Lkhagvasuren). Journal of Applied Econometrics (2013), forthcoming.

"Unit Roots, Cointegration and Pretesting in VAR Models" (with A. M. Herrera and E. Pesavento). Advances in Econometrics 32 (2013): 81–115.

"Commodity Prices, Convenience Yields, and Inflation" (with S. Ng), Review of Economics and Statistics 95, no. 1 (2013): 206–19.

"Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models" (with R. Kan and C. Robotti). Journal of Econometrics 173, no. 1 (2013): 108–25.

"Further Results on the Limiting Distribution of GMM Sample Moment Conditions" (with R. Kan and C. Robotti). Journal of Business and Economic Statistics 30, no. 4 (2012): 494–504.

"Local GMM Estimation of Time Series Models with Conditional Moment Restrictions" (with T. Otsu). Journal of Econometrics 170, no. 2 (2012): 476–90.

"Nonparametric Estimation of Scalar Diffusion Models of Interest Rates Using Asymmetric Kernels" (with M. Hirukawa). Journal of Empirical Finance 19, no. 4 (2012), 595–609.

"Stock Market Volatility and Federal Funds Rate Surprises" (with I. Jamali). Journal of Empirical Finance 19, no. 4 (2012): 497–510.

"Asymptotics of Near Unit Roots" (with S. Anatolyev). Quantile no. 10 (2012), 57–71.

"Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks" (with A. Maynard and E. Pesavento). Journal of Business and Economic Statistics 29, no 4 (2011): 455–67.

"Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors" (with Y. Tao). Econometric Reviews, 30, no. 4 (2011): 379–405.

"Risk Premiums and Predictive Ability of BAX Futures" (with I. Jamali). Journal of Futures Markets 31, no. 6 (2011): 534–61.

"Specification Testing in Models with Many Instruments" (with S. Anatolyev). Econometric Theory 27, no. 2 (2011): 427–41.

"Modeling Financial Return Dynamics via Decomposition" (with S. Anatolyev). Journal of Business and Economic Statistics 28, no. 2 (2010): 232–45.

"Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions," Journal of Business and Economic Statistics 28, no. 1 (2010): 1–12.

"A New Look at the Forward Premium Puzzle." Journal of Financial Econometrics 7, no.3 (2009): 312—38.

"Tobacco Taxes and Regressivity" (with I. Irvine). Journal of Health Economics 28, no. 2 (2009): 375–84.

"Asymptotic and Bootstrap Tests for Linearity in a Nonstationary TAR-GARCH(1,1) Model," Journal of Econometrics 146, no. 1 (2008): 146–61.

"Forecasting Volatility" (with A. Gavala and D. Jiang). Journal of Forecasting 25, no. 6 (2006): 381–400.

"Testing for Threshold Nonlinearity in Short-Term Interest Rates." Journal of Financial Econometrics 3, no. 3 (2005): 344–71.

"A 'Long March' Perspective on Tobacco Use in Canada" (with I. Irvine). Canadian Journal of Economics 38, no. 2 (2005): 366–93.

"Robust Asymptotic Inference in Autoregressive Models with Martingale Difference Errors," Econometric Reviews 24, no. 1 (2005): 59–81.

"Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes." Econometrics Journal 7, no. 2 (2004): 505–27.

"Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment" (with I. Irvine), Topics in Economic Analysis & Policy 4, no. 1, article 30 (2004).

"Median Unbiased Forecasts for Highly Persistent Autoregressive Processes." Journal of Econometrics 111, no. 1 (2002): 85–101.

"Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment" (with I. Irvine), Topics in Economic Analysis & Policy 4, no. 1, article 30 (2004).

"Median Unbiased Forecasts for Highly Persistent Autoregressive Processes." Journal of Econometrics 111, no. 1 (2002): 85–101.

"Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component." Journal of Business and Economic Statistics 20, no. 2 (2002): 254–68.

"An Empirical Likelihood Ratio Test for a Unit Root: Solution to Problem 99.2.1" (with V. Zinde-Walsh). Econometric Theory 16, no. 1 (2000), 143–46.


Book

Methods for Estimation and Inference in Modern Econometrics (with S. Anatolyev). Chapman and Hall/CRC Press, 2011.


Book Chapters

"Improved Finite-Sample Inference in Overidentified Models with Weak Instruments." In Recent Advances in Statistical Methods, edited by Y.P. Chaubey, 132–46. London: World Scientific Publishing, 2002.

"Asset Pricing Theories, Models, and Tests" (with C. Robotti), Chapter 3. In Portfolio Theory and Management, edited by H. K. Baker and M. G. Filbeck, 46–72. London: Oxford University Press, 2013.


Atlanta Fed Working Papers

"Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices" (with I. Jamali), Working Paper 2013-12.

"Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models" (with S. Ng), Working Paper 2013-11.

"Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors" (with R. Kan and C. Robotti), Working Paper 2013-9.

"A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics" (with H. Assa and A. Dabbous), Working Paper 2013-8.

"A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains" (with D. Lkhagvasuren), Working Paper 2013-5.