Photo of Olesya V. Grishchenko

Olesya V. Grishchenko

Education

  • Ph.D., Finance, Stern School of Business, New York University, 2005
  • M.Sc., Mathematics, Moscow State University, 1995
  • B.A., French Language and Civilization, Moscow State University, 1994
Current Research Topics
  • Interest Rates, Inflation Expectations, Surveys,
  • Consumption-Based Asset Pricing Models
  • Visiting Senior Researcher

    University of Zurich

    2016 - present
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2015 - present
  • Economist

    Board of Governors of the Federal Reserve System

    2011 - 2015
  • Visiting Scholar

    Banque De France

    2014
  • Assistant Professor of Finance

    Pennsylvania State University

    2005 - 2011
  • Visiting Professor of Finance

    New Economic School, Moscow, Russia

    2006 - 2010
  • Adjunct Professor of Finance

    University of Maryland at College Park

    2013 - 2014
  • Chen, Andrew Y., Eric C. Engstrom, and Olesya V. Grishchenko (2016). "Has the Inflation Risk Premium Fallen? Is it Now Negative?" FEDS Notes 2016-04-04. Board of Governors of the Federal Reserve System (U.S.).
  • Grishchenko, Olesya V., Joel M. Vanden, and Jianing Zhang (2016). "The Informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, vol. 65, pp. 1-26.
  • Grishchenko, Olesya, Zhaogang Song, and Hao Zhou (2015). "Term Structure of Interest Rates with Short-run and Long-run Risks," Finance and Economics Discussion Series 2015-095. Board of Governors of the Federal Reserve System (U.S.).
  • Dai, Qiang, and Olesya V. Grishchenko (2014). "An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation," Quarterly Journal of Finance, vol. 4, no. 1, pp. 1-34.
  • Grishchenko, Olesya V., Joel M. Vanden, and Jianing Zhang (2013). "The Informational Content of the Embedded Deflation Option in TIPS," Finance and Economics Discussion Series 2013-24. Board of Governors of the Federal Reserve System (U.S.).
  • Dubin, Eduard, Olesya V. Grishchenko, and Vasily Kartashov (2012). "Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing," Finance and Economics Discussion Series 2012-07. Board of Governors of the Federal Reserve System (U.S.).
  • Dai, Qiang, and Olesya V. Grishchenko (2011). "An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation," Finance and Economics Discussion Series 2011-47. Board of Governors of the Federal Reserve System (U.S.).
  • Grishchenko, Olesya V., and Jing zhi Huang (2012). "Market Inflation Expectations and the Term Structure of Interest Rates," in Perrucci, Stefania, Brice Benaben eds., Inflation Sensitive Assets: Instruments and Strategies.
  • Grishchenko, Olesya V., and Marco Rossi (2012 ). "The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach," Journal of Business & Economic Statistics, vol. 30, no. 2, pp. 297-311.
  • Grishchenko, Olesya V., and Jing-zhi Huang (2012). "Inflation Risk Premium: Evidence from the TIPS Market," Finance and Economics Discussion Series 2012-06. Board of Governors of the Federal Reserve System (U.S.).
  • Grishchenko, Olesya V., Joel M. Vanden, and Jianing Zhang (2011). "The Informational Content of the Embedded Deflation Option in TIPS," Finance and Economics Discussion Series 2011-58. Board of Governors of the Federal Reserve System (U.S.).
  • Grishchenko, Olesya V. (2011). "Asset Pricing in the Production Economy Subject to Monetary Shocks," Journal of Economics and Business, vol. 63, no. 3, pp. 187-216.
  • Grishchenko, Olesya V. (2010). "Internal Vs. External Habit Formation: The Relative Importance for Asset Pricing," Journal of Economics and Business, vol. 62, no. 3, pp. 176-194.
  • conference

    January 6-8, 2017

    American Finance Association Meetings, Chicago, IL

    Term Structure of Interest Rates with Short-run and Long-run Risks

  • seminar

    November 17, 2016

    European Central Bank

    The Joint Dynamics of the U.S. and Euro Area Inflation Expectations with Time-Varying Uncertainty

  • conference

    September 26-27, 201

    3d SAFE Asset Pricing Workshop at the Goethe University

    Term Structure of Interest Rates with Short-run and Long-run Risks

  • conference

    June 28, 2016

    22nd International CEF Conference, Bordeaux, France

    The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty

  • conference

    June 25, 2016

    Annual Conference of the International Association for Applied Econometrics*

    The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty

  • conference

    June 24, 2016

    System Committee on International Economic Analysis, Washington, DC

    The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty

  • conference

    June 16, 2016

    Society of Financial Econometrics*, Hong Kong

    The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty

  • conference

    June 15, 2016

    Society of Financial Econometrics (Keynote Speech)*, Hong Kong

    Term Structure of Interest Rates with Short-run and Long-run Risks

  • conference

    June 4, 2016

    9th ECB Workshop on Forecasting Techniques: Forecast Uncertainty and Macroeconomic Indicators, Frankfurt, Germany

    The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty

  • seminar

    May 20, 2016

    XVIII Annual Inflation Targeting Seminar of the Banco Central do Brasil*, * indicates presentation by co-author

    The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty

  • conference

    2015-2016

    32nd International French Finance Association Conference, Finance Down Under, SFS Cavalcade

    Term Structure of Interest Rates with Short-run and Long-run Risks

  • discussion

    November 20, 2015

    Federal Reserve System Macro Workshop

    Robust Bond Risk Premia

  • conference

    2014

    5th Risk Management Conference, Midwest Finance Meetings, Missouri Economics Conference, 3d Fixed Income Conference, CEPR Asset Pricing Workshop

    Term Structure of Interest Rates with Short-run and Long-run Risks

  • seminar

    2013 - 2014

    Banque de France, New Economic School, Luxembourg School of Finance, European Investment Bank, Penn State University

    Term Structure of Interest Rates with Short-run and Long-run Risks

  • discussion

    2013-2014

    FMA, Midwest Finance Meetings

    Corporate Bond Credit Spreads and FOMC Announcements

  • discussion

    August 29, 2013

    40th European Finance Association Meetings

    Capital Controls and International Financial Stability

  • discussion

    March 16, 2013

    Midwest Finance Meetings

    Pricing TIPS and Treasuries with Linear Regressions

  • conference

    March 16, 2013

    Midwest Finance Meetings

    Inflation Risk Premium: Evidence from the TIPS Market

  • conference

    2012 - 2013

    18th International CEF, Conference, Midwest Finance Meetings, 10th International French Finance Association Conference

    Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

  • conference

    2011 - 2013

    Northern Finance Meetings, 18th International CEF Conference, 2nd USC Moore School Fixed Income Conference, Midwest Finance Meetings

    The Informational Content of the Deflation Option Embedded in TIPS

  • conference

    December 14, 2012

    New Economic School 20th Anniversary Conference, Moscow, Russia

    Taylor rule at work: Evidence from disaggregated data

  • discussion

    April 21, 2012

    1st USC Moore School of Business Fixed Income Conference

    The Effects of the Treasury Fails Charge on Market Functioning

  • discussion

    December 20, 2011

    9th French Finance Association Conference

    An Analysis of Ultra Long-Term Yields

  • seminar

    September 9, 2011

    Penn State University

    Recent Advances in Computing General Equilibrium Models and Its Application to the Asset Pricing Models with Time Non-separable Preferences

Awards
  • 2012

    Numerical Algorithms Group (NAG), Oxford, UK

    Best financial engineering project using NAG algorithms

  • 2009

    Eastern Finance Association

    Outstanding Institutions Paper Award

Conference Organization
  • March 2017 | Chicago, IL

    Midwest Finance Association

    Program Committee

  • March 2016 | Atlanta, GA

    Midwesrt Finance Association

    Program Committee

  • March 2015 | Chicago, IL

    Midwest Finance Association

    Program Committee

  • March 2014 | Orlando, FL

    Midwest Finance Association

    Program Committee

  • October 2013 | Chicago, IL

    Financial Management Association

    Program Committee

  • March 2013 | Chicago, IL

    Midwest Finance Association

    Program Committee

  • October 2012 | Atlanta, GA

    Financial Management Association

    Program Committee

  • October 2011 | Denver, CO

    Financial Management Association

    Program Committee

  • September 2008 | Kananaskis, Canada

    Northern Finance Association

    Program Committee

Referee
  • Journal of Financial and Quantitative Analysis
  • Review of Economic Dynamics
  • Review of Financial Studies
  • Journal of Economics and Business
  • Pacific Basin Finance Journal
  • Economic Inquiry
  • Journal of International Money and Finance
  • Journal of Money, Credit, and Banking
  • Journal of Business and Economic Statistics
  • The Quarterly Review of Economics and Finance
  • Journal of Economic Dynamics and Control
  • Journal of Financial Stability
  • American Economic Journal: Macroeconomics
  • Quarterly Journal of Finance
  • Asia-Pacific Journal for Financial Studies
  • Journal of Macroeconomics
Professional Affiliation
  • American Finance Association
  • European Finance Association
  • Financial Management Association
  • Midwest Finance Association
Last update: March 18, 2017