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

• ''What Drives Volatility Persistence in the Foreign Exchange Market?'' (with David Berger and Alain Chaboud), Journal of Financial Economics (forthcoming).
• ''Predicting Global Stock Returns,'' Journal of Financial and Quantitative Analysis (forthcoming).
• ''Efficiency in Housing Markets: Which Home Buyers Know how to Discount?'' (with Randi Hjalmarsson), Journal of Banking and Finance (forthcoming).
• ''Jackknifing Stock Return Predictions'' (with Benjamin Chiquoine), Journal of Empirical Finance (forthcoming).
• ''Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Markets'' (with Alain Chaboud, Benjamin Chiquoine, and Mico Loretan), Journal of Empirical Finance (forthcoming).
• ''Testing for Cointegration Using the Johansen Methodology when Variables are Near Integrated'' (with Pär Österholm), Empirical Economics (forthcoming).
• ''Testing the expectations hypothesis when interest rates are near integrated'' (with Meredith Beechey and Pär Österholm), Journal of Banking and Finance, vol. 33 (May 2009), pp. 934-943.
• ''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.
• Inference in Long-Horizon Regressions, International Finance Discussion Papers 853. 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.
• 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.