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, Volatility, Surveys,
  • Inflation Expectations, Textual Analysis
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2019 - present
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2015 - 2018
  • Visiting Professor of Finance

    University of Zurich

    2016 - 2017
  • Economist

    Board of Governors of the Federal Reserve System

    2011 - 2014
  • Visiting Scholar

    Banque De France

    2014
  • Adjunct Professor of Finance

    University of Maryland at College Park

    2013 - 2014
  • Assistant Professor of Finance

    Pennsylvania State University

    2005 - 2011
  • Visiting Professor of Finance

    New Economic School, Moscow, Russia

    2006 - 2010
  • Cascaldi-Garcia, Danilo, Deepa Datta, Thiago Ferreira, Olesya Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez, Juan M. Londono, John Rogers, Cisil Sarisoy, and Ilknur Zer (2020). "What is Certain about Uncertainty?" International Finance Discussion Papers 1294. Board of Governors of the Federal Reserve System (U.S.)
  • Grishchenko, Olesya V., Franck Moraux, and Olga Pakulyak (2020). "Fuel Up With OATmeals! The Case of the French Nominal Yield Curve," The Journal of Finance and Data Science, vol. 6, pp. 49-85.
  • Grishchenko, Olesya V., Xiao Han, and Victor Nistor (2020). "A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model," International Journal of Theoretical and Applied Finance, vol. 23, no. 3. (May).
  • Grishchenko, Olesya, Sarah Mouabbi, and Jean-Paul Renne (2019). "Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison," Journal of Money, Credit, and Banking, vol. 51, no. 5, pp. 1053-1096.
  • Dubin, Eduard, Olesya V. Grishchenko, and Vasily Kartashov (2017). "Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing," Revue Finance, vol. 38, no. 1, pp. 45-83.
  • Grishchenko, Olesya, Sarah Mouabbi, and Jean-Paul Renne (2017). "Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison," Finance and Economics Discussion Series 2017-102. Board of Governors of the Federal Reserve System (U.S.).
  • Grishchenko, Olesya, Sarah Mouabbi, and Jean-Paul Renne (2017). "The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty," Working Paper Series, no. 622. Banque de France.
  • 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., and Jing-zhi Huang (2013). "Inflation Risk Premium: Evidence from the TIPS Market," Journal of Fixed Income, vol. 22, no. 4, pp. 5-30.
  • 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

    June 17-19, 2019

    39th International Conference of the French Finance Association

    The Term Structure of the French Nominal Debt

  • conference

    May 29, 2019

    2019 GCER Bienniel Alumni Conference

    Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press

  • discussion

    April 5, 2019

    22nd Annual Conference of the Swiss Society for Financial Market Research

    What Drives Risk Perception?

  • conference

    April 5, 2019

    22nd Annual Conference of the Swiss Society for Financial Market Research

    Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press

  • conference

    December 18, 2018

    2018 Paris Financial Management Conference

    The Term Structure of the French Nominal Debt

  • seminar

    November 30, 2018

    University of Queensland, Australia

    Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press

  • conference

    November 26-28, 2018

    Research School of Finance, Actuarial Studies and Statistics 2018 Summer Camp

    Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press

  • seminar

    November 23, 2018

    University of Wellington, New Zealand

    Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press

  • conference

    September 14, 2018

    Central Bank Communications Workshop at the Bank of Canada, Ottawa, Canada

    Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press

  • discussion

    August 20, 2018

    2018 Annual Meeting of the Central Bank Research Association, Frankfurt, Germany

    Global Inflation Dynamics and Inflation Expectations

  • conference

    August 20, 2018

    2018 Annual Meeting of the Central Bank Research Association, Frankfurt, Germany

    Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison

  • seminar

    June 14, 2018

    University of Rennes

    Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press

  • discussion

    June 6, 2018

    Inflation: New Insights for Central Banks, St Petersburg, Russia

    Computing Long-term Market Inflation Expectations for Countries without Inflation Expectations Markets

  • discussion

    May 25, 2018

    7th ITAM Finance Conference 2018, Mexico City, Mexico

    Government Policy Uncertainty and the Yield Curve

  • conference

    May 16, 2018

    Day-ahead at Cleveland Fed Inflation: Drivers & Dynamics Conference 2018

    Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison

  • conference

    April 19, 2018

    FRB San Francisco System Committee on Macroeconomics

    Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison

  • conference

    April 6, 2018

    21st Annual Conference of the Swiss Society for Financial Market Research

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

  • discussion

    April 6, 2018

    21st Annual Conference of the Swiss Society for Financial Market Research

    Extreme Inflation and Time-Varying Disaster Risk

  • conference

    April 6, 2018

    21st Annual Conference of the Swiss Society for Financial Market Research

    Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison

  • discussion

    April 6, 2018

    21st Annual Conference of the Swiss Society for Financial Market Research

    The TIPS Liquidity Premium

  • discussion

    December 21, 2017

    15th EUROFIDAI and ESSEC Paris December Finance Meeting

    Option Implied Dividends

  • conference

    December 21, 2017

    15th EUROFIDAI and ESSEC Paris December Finance Meeting

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

  • conference

    December 18, 2017

    New Economic School 25th Anniversary Conference in Economics and Finance

    Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison

  • discussion

    September 22, 2017

    Swiss National Bank

    The Term Structure of Expectations and Bond Yields

  • seminar

    July 7, 2017

    Central Bank of Lithuania

    Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison

  • conference

    June 6, 2017

    Financial Intermediation Research Society conference*, Hong Kong, HK

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

  • seminar

    April 19, 2017

    New Economic School

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

  • seminar

    April 6, 2017

    University of Rennes

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

  • seminar

    March 31, 2017

    Swiss National Bank

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

  • seminar

    March 24, 2017

    University of Zurich

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

  • seminar

    January 31, 2017

    University of Muenster

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

  • conference

    January 6-8, 2017

    American Finance Association Meetings, Chicago, IL

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

  • conference

    December 20, 2017

    14th EUROFIDAI and ESSEC Paris December Finance Meeting*

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

  • 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
  • June 2020 | Beijing, China

    China Financial Research Conference

    Program Committee

  • April 2019 | Zurich, Switzerland

    Swiss Finance Association Annual meetings

    Reviewer

  • September 2019 | Vancouver, Canada

    Northern Finance Association

    Program Committee

  • August 2019 | Lisbon, Portugal

    European Finance Association Doctoral Tutorial

    Program Committee

  • September 2018 | Charlevoix, Quebec

    Northern Finance Association

    Program Committee

  • August 2018 | Warsaw, Poland

    European Finance Association Doctoral Tutorial

    Program Committee

  • July 2018 | Beijing, China

    China Financial Research Conference

    Program Committee

  • April 2018 | Zurich, Switzerland

    Conference of the Swiss Society for Financial Market Research

    Reviewer

  • July 2017 | Hangzhou, China

    Chinese International Finance Conference

    Program Committee

  • 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 Banking and Finance
  • Money and Finance
  • International Journal of Central Banking
  • Journal of Finance
  • Journal of Empirical Finance
  • 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
  • Journal of Investing
  • Annals of Finance
  • Empirical Economics
  • Journal of Finance and Data Science
  • Economics Bulletin
Professional Affiliation
  • American Finance Association
  • European Finance Association
  • Financial Management Association
  • Midwest Finance Association
Last update: September 28, 2020