Nikolay Gospodinov

Federal Reserve Bank of Atlanta

Curriculum Vitae (CV)

Recent Working Papers

Specification Testing for Conditional Moment Restrictions Under Local Identification Failure (with P. Dovonon)

Deconstructing the Yield Curve (with R. K. Crump)

Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections (with C. Chen, A. Maynard and E. Pesavento), Online Appendix

Inference in Conditional Vector Error-Correction Models with Small Signal-to-Noise Ratio (with A. Maynard and E. Pesavento), accepted for publication in Advances in Econometrics

Selected Recent Publications

On the Factor Structure of Bond Returns (with R. K. Crump), Econometrica (2022), 90, 295314
Supplementary Material and MATLAB Codes

Capital Share Risk in U.S. Asset Pricing: A Reappraisal (with C. Robotti), Journal of Finance (2021), Replications and Comments
Earlier Version and MATLAB Codes

Common Pricing across Asset Classes: Empirical Evidence Revisited (with C. Robotti), Journal of Financial Economics (2021), 140, 292–324
Online Appendix

Generalized Aggregation of Misspecified Models: With an Application to Asset Pricing (with E. Maasoumi), Journal of Econometrics (2021), 222, 451–467

Too Good to Be True? Fallacies in Evaluating Risk Factor Models (with R. Kan and C. Robotti), Journal of Financial Economics (2019), 132, 451–471

Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models (with R. Kan and C. Robotti), Econometric Reviews (2018), 37, 695–718
Online Appendix

Spurious Inference in Reduced-Rank Asset-Pricing Models (with R. Kan and C. Robotti), Econometrica (2017), 85, 1613–1628
Supplementary Material and MATLAB Codes

Simulated Minimum Distance Estimation of Dynamic Models with Errors-in-Variables (with I. Komunjer and S. Ng), Journal of Econometrics (2017), 200, 181–193

Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors (with R. Kan and C. Robotti), Review of Financial Studies (2014), 27, 2139–2170
Online Appendix and MATLAB Codes

A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains (with D. Lkhagvasuren), Journal of Applied Econometrics (2014), 29, 843–859
Online Appendix and MATLAB Codes

Commodity Prices, Convenience Yields, and Inflation (with S. Ng), Review of Economics and Statistics (2013), 95, 206–219
PDF file of the paper with Online Appendix
Data and MATLAB Codes

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (with R. Kan and C. Robotti), Journal of Econometrics (2013), 173, 108–125
Online Appendix and MATLAB Codes

Local GMM Estimation of Time Series Models with Conditional Moment Restrictions (with T. Otsu), Journal of Econometrics (2012), 170, 476–490

Specification Testing in Models with Many Instruments (with S. Anatolyev), Econometric Theory (2011), 27, 427–441
Additional Simulation Results

Modeling Financial Return Dynamics via Decomposition (with S. Anatolyev), Journal of Business & Economic Statistics (2010), 28, 232–245
Results for Quarterly Data

Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions, Journal of Business & Economic Statistics (2010), 28, 1–12


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

Notes and Blogs

Is There a Global Factor in U.S. Bond Yields?, Macroblog (May 2021)

- see also Global Factors in U.S. Yield Curve

- see also Effects of Uncertainty on the Yield Curve

- see also Recent Developments in U.S. Short-Term Funding Markets

The Persistent Compression of the Breakeven Inflation Curve (with R. K. Crump and D. Volker), Liberty Street Economics (March 2021)

Carry Factors: Characteristics and Informational Content (with I. Jamali), Notes from the Vault (March 2019)

- see also The Role of Commodity Prices in Forecasting U.S. Core Inflation

Good Models, Bad Models, Notes from the Vault (January 2018)

Risk-On/Risk-Off in the Long Run, Notes from the Vault (November 2017)

- see also Asset Co-Movements: Features and Challenges

Are Long-Term Inflation Expectations Declining? Not So Fast, Says Atlanta Fed (with P. Tkac and B. Wei), Macroblog (January 2016)

- see also Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models (with B. Wei)

- see also A Note on Extracting Inflation Expectations from Market Prices of TIPS and Inflation Derivatives (with B. Wei)

Link to Atlanta Fed Working Papers