Eric Capen Engstrom : Citation Profile

Are you Eric Capen Engstrom?

Federal Reserve Board (Board of Governors of the Federal Reserve System)

8

H index

8

i10 index

519

Citations

RESEARCH PRODUCTION:

4

Articles

17

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 28
   Journals where Eric Capen Engstrom has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 11 (2.08 %)

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   Permalink: http://citec.repec.org/pen96
   Updated: 2024-11-04    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Capen Engstrom.

Is cited by:

Bekaert, Geert (43)

Hoerova, Marie (14)

Bollerslev, Tim (11)

Van Nieuwerburgh, Stijn (11)

Lustig, Hanno (10)

Londono, Juan M. (8)

Viceira, Luis (8)

Zhou, Hao (8)

Campbell, John (8)

Inghelbrecht, Koen (7)

Wachter, Jessica (7)

Cites to:

Bekaert, Geert (24)

Campbell, John (24)

Abel, Andrew (16)

Cochrane, John (12)

Ang, Andrew (9)

Bollerslev, Tim (6)

Tauchen, George (5)

Chernov, Mikhail (5)

Perez Quiros, Gabriel (5)

Wei, Min (5)

Blanchard, Olivier (4)

Main data

Where Eric Capen Engstrom has published?

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)5
NBER Working Papers / National Bureau of Economic Research, Inc4
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)4
CEPR Discussion Papers / C.E.P.R. Discussion Papers4

Recent works citing Eric Capen Engstrom (2024 and 2023)

YearTitle of citing document
2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Financial conditions, macroeconomic uncertainty, and macroeconomic tail risks. (2024). Ma, Jun ; Luo, Sui ; Liao, Wenting ; Huang, Yu-Fan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000630.

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2023Supply-side economics with AS-AD in Ramsey dynamic general equilibrium. (2023). Gillman, Max ; Csabafi, Tamas ; Benk, Szilard. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:505-531.

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2023A long-run approach to money, unemployment, and equity prices. (2023). Pyun, Ju Hyun ; Mo, Kuk. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001499.

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2023Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x.

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2024Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield. (2024). Parnes, Dror. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2024Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639.

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2023The macroeconomic effects of uncertainty and risk aversion shocks. (2023). Berthold, Brendan. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000715.

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2023Risk substitution in cryptocurrencies: Evidence from BRICS announcements. (2023). Pisera, Stefano ; Paltrinieri, Andrea ; Dreassi, Alberto ; Chiaramonte, Laura ; Alon, Ilan ; Goodell, John W. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000553.

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2023Global commodity prices and macroeconomic fluctuations in a low interest rate environment. (2023). Ahmed, Rashad. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323006126.

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2023Does sentiment affect stock returns? A meta-analysis across survey-based measures. (2023). Badura, Ondej ; Bajzik, Josef ; Gric, Zuzana. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002892.

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2023Market risks that change US-European equity correlations. (2023). Sarwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002037.

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2023Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043.

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2024Multifactor conditional equity premium model: Evidence from Chinas stock market. (2024). Shi, Yongdong ; Guo, Hui ; Cheng, Hang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000372.

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2023Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244.

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2023Inflation, interest rate, and firm efficiency: The impact of policy uncertainty. (2023). Tarkom, Augustine ; Ujah, Nacasius U. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622002029.

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2024Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

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2023Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China. (2023). Yan, Youliang ; Lin, Jianyi ; Chen, Qi-An. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22001858.

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2024Life-cycle risk-taking with personal disaster risk. (2024). Bagliano, Fabio ; Fugazza, Carolina ; Nicodano, Giovanna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:378-396.

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2023Border disputes, conflicts, war, and financial markets research: A systematic review. (2023). Pandey, Dharen ; Kumar, Satish ; Lucey, Brian M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000983.

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2023.

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2023The Real Response to Uncertainty Shocks: The Risk Premium Channel. (2023). Tamoni, Andrea ; Hsu, Alex ; Bretscher, Lorenzo. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:119-140.

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2023Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation. (2023). Qian, Liang ; Palomino, Francisco ; Hsu, Alex. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:3025-3047.

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2023The Variance Risk Premium in Equilibrium Models*. (2023). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:6:p:1977-2014..

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2023A Short Note on Interest Rates and Household Wealth. (2023). Marinucci, Marco ; Bonis, Riccardo. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:9:y:2023:i:2:d:10.1007_s40797-022-00194-3.

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2023Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis. (2023). Maghyereh, Aktham ; Al-Shboul, Mohammad. In: Journal of Economic Structures. RePEc:spr:jecstr:v:12:y:2023:i:1:d:10.1186_s40008-023-00306-x.

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2023Pricing uncertainty in the Brazilian stock market: do size and sustainability matter?. (2023). Figueiredo, Antonio Carlos ; Vereda, Luciano ; Klotzle, Marcelo Cabus ; Gea, Cristiane. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00400-5.

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2023Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country. (2023). Marcelino, Igor Mendes ; Montes, Gabriel Caldas. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:937-956.

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Works by Eric Capen Engstrom:

YearTitleTypeCited
2004Stock and Bond Returns with Moody Investors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper89
2006Stock and Bond Returns with Moody Investors.(2006) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 89		paper
2010Stock and bond returns with Moody Investors.(2010) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 89		article
2006Stock and Bond Returns with Moody Investors.(2006) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 89		paper
2006Risk, Uncertainty and Asset Prices In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper188
2009Risk, uncertainty, and asset prices.(2009) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 188		article
2005Risk, uncertainty, and asset prices.(2005) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2006Risk, Uncertainty and Asset Prices.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2010Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper40
2009Asset Return Dynamics under Bad Environment Good Environment Fundamentals.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 40		paper
2010Inflation and the stock market: Understanding the Fed Model In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article70
2009Inflation and the stock market: Understanding the “Fed Model”.(2009) In: Proceedings.
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This paper has nother version. Agregated cites: 70		article
2009Inflation and the Stock Market:Understanding the Fed Model.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 70		paper
2015Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper70
2017Macro Risks and the Term Structure of Interest Rates In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper24
2018The Near-Term Forward Yield Spread as a Leading Indicator : A Less Distorted Mirror In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper4
2020Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper18
2014Forecasting Stock Market Crashes is Hard--Especially Future Ones: Can Option Prices Help? In: FEDS Notes.
[Full Text][Citation analysis]		paper1
2016Has the Inflation Risk Premium Fallen? Is it Now Negative? In: FEDS Notes.
[Full Text][Citation analysis]		paper14
2018(Dont Fear) The Yield Curve In: FEDS Notes.
[Full Text][Citation analysis]		paper1
2022(Dont Fear) The Yield Curve, Reprise In: FEDS Notes.
[Full Text][Citation analysis]		paper0

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