Nikolay Gospodinov is a financial economist and senior adviser on the financial markets team in the research department at the Federal Reserve Bank of Atlanta. His research interests include asset pricing, time series and financial econometrics, 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 at Emory University, McGill University, and University of Montreal.
Dr. Gospodinov has published research in a variety of peer-reviewed journals, including Econometrica, Review of Financial Studies, Journal of Econometrics, Review of Economics and Statistics, 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 Journal of Finance, 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, Fonds Québécois de la Recherche sur la Société et la Culture, and the Institute of Financial Mathematics.
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.
Atlanta Fed Working Papers
Foreign Exchange Predictability during the Financial Crisis: Implications for Carry Trade Profitability
Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali, and Xiaochun Liu
Abstract | Full text (277 KB)
A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
Abstract | Full text (353 KB)
A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
Abstract | Full text (6.48 MB) | Appendix (154 KB)
Other Fed Work
Nikolay Gospodinov and Ibrahim Jamali. "Carry Factors: Characteristics and Informational Content." Notes from the Vault (2019 March).
Nikolay Gospodinov. "Good Models, Bad Models." Notes from the Vault (2018 January).
Nikolay Gospodinov. "Risk-On/Risk-Off in the Long Run." Notes from the Vault (2017 November).
Nikolay Gospodinov, Paula Tkac, and Bin Wei. "Are Long-Term Inflation Expectations Declining? Not So Fast, Says Atlanta Fed," macroblog. January 15, 2016.
"Multivariate Return Decomposition: Theory and Implications" (with S. Anatolyev), forthcoming in Econometric Reviews.
"Too Good to be True? Fallacies in Evaluating Risk Factor Models" (with R. Kan and C. Robotti), Journal of Financial Economics 132, no. 2 (2019): 451–471.
"Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models" (with R. Kan and C. Robotti), Econometric Reviews 37, no. 7 (2018), 695–718.
"Market Consistent Valuations with Financial Imperfection" (with H. Assa), Decisions in Economics and Finance 41, no. 1 (2018), 65–90.
"Monetary Policy Uncertainty, Positions of Traders and Changes in Commodity Futures Prices" (with I. Jamali), European Financial Management 24, no. 2 (2018) : 239–260.
"Simulated Minimum Distance Estimation of Dynamic Models with Errors-In-Variables" (with I. Komunjer and S. Ng), Journal of Econometrics 200, no. 2 (2017): 181–193.
"A Robust Approach to Hedging and Pricing in Imperfect Markets" (with H. Assa), Risks 5, no. 3 (2017).
"Spurious Inference in Reduced-Rank Asset-Pricing Models" (with R. Kan and C. Robotti), Econometrica 85, no. 5 (2017): 1613–1628.
"Foreign Exchange Predictability and the Carry Trade: A Decomposition Approach" (with S. Anatolyev, I. Jamali and X. Liu), Journal of Empirical Finance 42 (2017): 199–211.
"On the Properties of the Constrained Hansen-Jagannathan Distance" (with R. Kan and C. Robotti). Journal of Empirical Finance 36 (2016): 121–50.
"Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models" (with S. Ng). Journal of Business and Economic Statistics 33, no. 3 (2015): 403–417.
"The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks" (with I. Jamali). International Review of Economics and Finance 37 (2015): 42–54.
"Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors" (with R. Kan and C. Robotti). Review of Financial Studies 27, no. 7 (2014): 2139–70.
"A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains" (with D. Lkhagvasuren). Journal of Applied Econometrics 29, no. 5 (2014): 843–59.
"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.
"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.
Methods for Estimation and Inference in Modern Econometrics (with S. Anatolyev). Chapman and Hall/CRC Press, 2011.
"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.