Contact Information
202-452-2426
erik.hjalmarsson@frb.gov

Fields of Interest
Asset Pricing
Econometrics and Statistics
Market Microstructure

Education
Ph.D., Economics, Yale University, 2005
M.Sc., Econometrics and Mathematical Economics, London School of Economics, 2000
B.Sc., Mathematical Statistics, Göteborg University, 1999

Professional Experience
Board of Governors of the Federal Reserve System, 2005-present

Selected Publications

• ''Predicting Global Stock Returns,'' Journal of Financial and Quantitative Analysis (forthcoming).
• ''Interpreting long-horizon estimates in predictive regressions,'' Finance Research Letters, vol. 5 (June 2008), pp. 104-117.
• ''The Stambaugh Bias in Panel Predictive Regressions,'' Finance Research Letters, vol. 5 (March 2008), pp. 47-58.
• ''Fully Modified Estimation With Nearly Integrated Regressors,'' Finance Research Letters, vol. 4 (June 2007), pp. 92-94.
• New Methods for Inference in Long-Run Predictive Regressions, International Finance Discussion Papers 853. Washington: Board of Governors of the Federal Reserve System, 2006.
• Jackknifing Stock Return Predictions (with Benjamin Chiquoine), International Finance Discussion Papers 932. Washington: Board of Governors of the Federal Reserve System, 2008.
• What Drives Volatility Persistence in the Foreign Exchange Market? (with David Berger, Alain Chaboud, and Edward Howorka), International Finance Discussion Papers 862. Washington: Board of Governors of the Federal Reserve System, 2006.
• Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Markets (with Alain Chaboud, Benjamin Chiquoine, and Mico Loretan), International Finance Discussion Papers 905. Washington: Board of Governors of the Federal Reserve System, 2007.
• Efficiency in Housing Markets: Do Home Buyers Know how to Discount? (with Randi Hjalmarsson), International Finance Discussion Papers 879. Washington: Board of Governors of the Federal Reserve System, 2006.
• A Residual-Based Cointegration Test for Near Unit Root Variables (with Pär Österholm), International Finance Discussion Papers 907. Washington: Board of Governors of the Federal Reserve System, 2007.
• Testing for Cointegration Using the Johansen Methodology when Variables are Near Integrated (with Pär Österholm), International Finance Discussion Papers 915. Washington: Board of Governors of the Federal Reserve System, 2007.
• Estimation of Average Local-to-Unity Roots in Heterogenous Panels, International Finance Discussion Papers 852. Washington: Board of Governors of the Federal Reserve System, 2006.