Eric Capen Engstrom : Citation Profile

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

9

H index

8

i10 index

578

Citations

RESEARCH PRODUCTION:

4

Articles

18

Papers

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 27
   Journals where Eric Capen Engstrom has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 11 (1.87 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pen96
   Updated: 2026-01-03    RAS profile: 2025-04-28    
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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)

Campbell, John (8)

Mesters, Geert (8)

Londono, Juan M. (8)

Viceira, Luis (8)

Wachter, Jessica (7)

Inghelbrecht, Koen (7)

Cites to:

Campbell, John (29)

Bekaert, Geert (27)

Abel, Andrew (17)

Cochrane, John (16)

Ang, Andrew (10)

Bollerslev, Tim (6)

Wei, Min (6)

Tauchen, George (5)

Chernov, Mikhail (5)

Perez Quiros, Gabriel (5)

Piazzesi, Monika (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.)6
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)4
NBER Working Papers / National Bureau of Economic Research, Inc4

Recent works citing Eric Capen Engstrom (2025 and 2024)

YearTitle of citing document
2025Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2025). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266.

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2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

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2025Dynamic Asset Pricing with {\alpha}-MEU Model. (2025). He, Xuedong ; Fan, Jiacheng ; Wu, Ruocheng. In: Papers. RePEc:arx:papers:2507.04093.

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2025Assessing the Dynamics of Nominal and Real Interest Rates in Long-Run: A Comprehensive Analysis of Albanian Interest Rates. (2025). Kotorri, Adriatik ; Zani, Blisard. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:7:p:116-131.

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2024International Risk Sharing and Wealth Allocation with Higher Order Cumulants. (2024). Lombardo, G ; Corsetti, G ; Lipiska, A. In: Janeway Institute Working Papers. RePEc:cam:camjip:2422.

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2024The influence of global uncertainty and financial shocks, and sovereign risk shock on the Brazilian term structure of interest rate.. (2024). Ferreira, Mauro Sayar ; Figueiredo, Joice Marques. In: Textos para Discussão Cedeplar-UFMG. RePEc:cdp:texdis:td674.

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2025Changes in Inflation Expectations and Firm Performance during Recent Global Economic Shocks. (2025). Selmi, Refk. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2025:v:26:i:2:selmi.

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2024A look back at 25 years of the ECB SPF. (2024). Meyler, Aidan ; Fonseca, Luís ; Bates, Colm ; Arioli, Rodolfo ; Fagandini, Bruno ; Zahrt, Octavia ; Allayioti, Anastasia ; Healy, Peter ; Botelho, Vasco ; Minasian, Ryan. In: Occasional Paper Series. RePEc:ecb:ecbops:2024364.

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2025Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012.

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2025What can newspaper articles reveal about the euro area economy?. (2025). Saiz, Lorena ; Magro, Manuel Medina. In: Working Paper Series. RePEc:ecb:ecbwps:20253122.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Li, Junye ; Zinna, Gabriele. 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). Huang, Yu-Fan ; Liao, Wenting ; Luo, Sui ; Ma, Jun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000630.

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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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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2025A predictive term-spread model in the age of inflation targeting. (2025). Tvedt, Jostein. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082500004x.

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2025The FED model: Is it still with us?. (2025). McMillan, David G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000889.

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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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2025When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance. (2025). At-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio ; Sircar, Ronnie. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623003706.

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2024Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975.

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2024Oil price shocks and bond risk premia: Evidence from a panel of 15 countries. (2024). Lyrio, Marco ; Nersisyan, Liana ; Iania, Leonardo. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006480.

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2024Near-term forward rate spread and commodity index relationship with real economic activity in Brazil. (2024). Palazzi, Rafael Baptista ; Klotzle, Marcelo Cabus ; Schlomer, Johnny Barrelli. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005130.

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2025The dynamic relationship among economic and monetary policy, geopolitical risk, sentiment, and risk aversion: A TVP-VAR approach. (2025). Hadad, Elroi ; Choi, Sun-Yong. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015617.

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2025Not just the news: Higher moments of macroeconomic variables and sovereign bond returns. (2025). Wang, Zijun ; Wald, John K ; Li, Yulin. In: Global Finance Journal. RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000407.

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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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2024Vulnerable funding in the global economy. (2024). Uribe, Jorge ; Chuliá, Helena ; Garrn, Ignacio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002280.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2025Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns. (2025). Liu, Yunting ; Zhu, Yandi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002577.

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2025Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market. (2025). Hansen, Jorge Wolfgang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002681.

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2025Information Dissemination and the Monetary Policy Uncertainty Premium: Evidence from China. (2025). Fan, Jiacheng ; Lin, Jianhao ; Zhang, Yifan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002851.

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2025Uncertainty and cross-sectional stock returns: Evidence from China. (2025). Fei, Tianlun ; Deschamps, Bruno ; Liu, Xiaoquan ; Jiang, Ying. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002887.

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2025Returns from liquidity provision in cryptocurrency markets. (2025). Farag, Hisham ; Yarovaya, Larisa ; Luo, DI ; Zieba, Damian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:175:y:2025:i:c:s0378426625000317.

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2025Quality of political information and return predictability: Evidence from investor sentiment and risk aversion. (2025). Wei, Xiaopeng ; Biakowski, Jdrzej. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:177:y:2025:i:c:s0378426625000895.

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2025Quantitative easing, uncertainty, and risk aversion. (2025). Rompolis, Leonidas S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:177:y:2025:i:c:s0378426625000950.

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2025Global macro-financial cycles and spillovers. (2025). Prasad, Eswar ; Otrok, Christopher ; Kose, Ayhan ; Ha, Jongrim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001323.

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2025Conditional risk and the pricing kernel. (2025). Sichert, Tobias ; Schreindorfer, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:171:y:2025:i:c:s0304405x2500114x.

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2024Prices and returns: Role of inflation. (2024). Sun, Yulong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001360.

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

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2025Equilibrium yield curves with imperfect information. (2025). Tanaka, Hiroatsu. In: Journal of Monetary Economics. RePEc:eee:moneco:v:149:y:2025:i:c:s0304393224000746.

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2024Salience, psychological anchors, and stock return predictability. (2024). Lin, Mei-Chen. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002956.

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2025An investigation into the causes of stock market return deviations from real earnings yields. (2025). Alsalman, Zeina ; Souropanis, Ioannis ; Murphy, Austin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s105905602500379x.

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

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2024COVID-19 and US females’ portfolio decisions. (2024). Apergis, Nicholas. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004830.

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2024Financial intermediation and informational efficiency: Predicting business cycles. (2024). Gurdgiev, Constantin ; French, Joseph ; Chatterjee, Ujjal ; Borochin, Paul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024005999.

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2025An enquiry into the monetary policy and stock market shocks in the US. (2025). Sharif, Taimur ; Cotturone, Saulo ; Abedin, Mohammad Zoynul ; Bouteska, Ahmed. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000887.

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2024Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411.

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2025Information in derivatives markets: forecasting prices with prices. (2025). Martin, Ian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128212.

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2024The Impact of Inflation on the U.S. Stock Market after the COVID-19 Pandemic. (2024). Thorbecke, Willem. In: Discussion papers. RePEc:eti:dpaper:24087.

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2025Global Macro-Financial Cycles and Spillovers. (2025). Otrok, Christopher ; Kose, Ayhan ; Ha, Jongrim ; Prasad, Eswar S. In: Working Papers. RePEc:fip:feddwp:99897.

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2025The Impact of Inflation on the U.S. Stock Market After the COVID-19 Pandemic. (2025). Thorbecke, Willem. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:1:p:9-:d:1565900.

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2024Uncertainty, stock and commodity prices during the Ukraine-Russia war *. (2024). Yati, Alhonita ; Boungou, Whelsy. In: Post-Print. RePEc:hal:journl:hal-04746052.

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2024High-Frequency Tail Risk Premium and Stock Return Predictability. (2024). Orlowski, Piotr ; Garcia, Ren ; Freire, Gustavo ; Ardison, Kim ; Almeida, Caio. In: Post-Print. RePEc:hal:journl:hal-04927211.

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2025Economic downturn and the yield curve: Evidence from Canada and the US. (2025). Xu, Libo. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:49:y:2025:i:2:d:10.1007_s12197-025-09716-y.

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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]		paper93
2006Stock and Bond Returns with Moody Investors.(2006) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 93		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: 93		article
2006Stock and Bond Returns with Moody Investors.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		paper
2006Risk, Uncertainty and Asset Prices In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper201
2009Risk, uncertainty, and asset prices.(2009) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 201		article
2005Risk, uncertainty, and asset prices.(2005) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 201		paper
2006Risk, Uncertainty and Asset Prices.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 201		paper
2010Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2009Asset Return Dynamics under Bad Environment Good Environment Fundamentals.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2010Inflation and the stock market: Understanding the Fed Model In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article76
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: 76		paper
2009Inflation and the stock market: Understanding the “Fed Model” In: Proceedings.
[Full Text][Citation analysis]		article7
2015Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper80
2017Macro Risks and the Term Structure of Interest Rates In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper38
2018The Near-Term Forward Yield Spread as a Leading Indicator : A Less Distorted Mirror In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper9
2020Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper18
2025Soft Landing or Stagflation? A Framework for Estimating the Probabilities of Macro Scenarios In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
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]		paper15
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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