Meet the Researchers
Olesya V. Grishchenko
[email protected]
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
- Interest Rates, Volatility, Surveys,
- Inflation Expectations, Textual Analysis
Principal Economist
Board of Governors of the Federal Reserve System
2019 - presentSenior Economist
Board of Governors of the Federal Reserve System
2015 - 2018Visiting Professor of Finance
University of Zurich
2016 - 2017Economist
Board of Governors of the Federal Reserve System
2011 - 2014Visiting Scholar
Banque De France
2014Adjunct Professor of Finance
University of Maryland at College Park
2013 - 2014Assistant Professor of Finance
Pennsylvania State University
2005 - 2011Visiting Professor of Finance
New Economic School, Moscow, Russia
2006 - 2010
- What Is Certain about Uncertainty?
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan M. Londono, Bo Sun, Deepa Datta, Thiago Ferreira, Olesya Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez, Ilknur Zer, and John Rogers
Journal of Economic Literature (2023)
https://doi.org/10.1257/jel.20211645
See also » FRB Working Paper (2020) - Term structure of interest rates with short-run and long-run risks
Olesya V. Grishchenko, Zhaogang Song, and Hao Zhou
Journal of Finance and Data Science (2022)
https://doi.org/10.1016/j.jfds.2022.09.001
See also » FRB Working Paper (2015) - Fuel Up With OATmeals! The Case of the French Nominal Yield Curve
Olesya V. Grishchenko, Franck Moraux, and Olga Pakulyak
Journal of Finance and Data Science (2020)
https://doi.org/10.1016/j.jfds.2020.07.001 - A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model
Olesya V. Grishchenko, Xiao Han, and Victor Nistor
International Journal of Theoretical and Applied Finance (2020)
https://doi.org/10.1142/S0219024920500181 - Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison
Olesya Grishchenko, Sarah Mouabbi, and Jean-Paul Renne
Journal of Money, Credit and Banking (2019)
https://doi.org/10.1111/jmcb.12622
See also » FRB Working Paper (2017) - Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
Eduard Dubin, Olesya V. Grishchenko, and Vasily Kartashov
Revue Finance (2017)
See also » FRB Working Paper (2012) - The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty
Olesya Grishchenko, Sarah Mouabbi, and Jean-Paul Renne
Banque de France Working Paper Series (2017) - Has the Inflation Risk Premium Fallen? Is it Now Negative?
Andrew Y. Chen, Eric C. Engstrom, and Olesya V. Grishchenko
FEDS Notes (2016)
https://doi.org/10.17016/2380-7172.1720 - The Informational Content of the Embedded Deflation Option in TIPS
Olesya V. Grishchenko, Joel M. Vanden, and Jianing Zhang
Journal of Banking & Finance (2016)
https://doi.org/10.1016/j.jbankfin.2015.12.004
See also » FRB Working Paper (2012) - Term Structure of Interest Rates with Short-run and Long-run Risks
Olesya Grishchenko, Zhaogang Song, and Hao Zhou
Finance and Economics Discussion Series (2015)
https://doi.org/10.17016/FEDS.2015.095 - An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation
Qiang Dai and Olesya V. Grishchenko
Quarterly Journal of Finance (2014)
https://doi.org/10.1142/S2010139214500050
See also » FRB Working Paper (2012) - Inflation Risk Premium: Evidence from the TIPS Market
Olesya V. Grishchenko and Jing-zhi Huang
Journal of Fixed Income (2013)
https://doi.org/10.3905/jfi.2013.22.4.005#sthash.wCuZu6P0.dpuf
See also » FRB Working Paper (2012) - The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach
Olesya V. Grishchenko and Marco Rossi
Journal of Business & Economic Statistics (2012)
https://doi.org/10.1080/07350015.2012.670544 - Market Inflation Expectations and the Term Structure of Interest Rates
Olesya V. Grishchenko and Jing zhi Huang
Inflation Sensitive Assets: Instruments and Strategies (2012) - Asset Pricing in the Production Economy Subject to Monetary Shocks
Olesya V. Grishchenko
Journal of Economics & Business (2011)
https://doi.org/10.1016/j.jeconbus.2011.01.003 - Internal vs. External Habit Formation: The Relative Importance for Asset Pricing
Olesya V. Grishchenko
Journal of Economics & Business (2010)
https://doi.org/10.1016/j.jeconbus.2009.12.002
conference
July 5, 2023Computing in Economics and Finance Annual Meeting, Nice, France
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
conference
July 4, 2023Computing in Economics and Finance Annual Meeting, Nice, France
Inflation, Real Interest Rates, and the Bond Market: A Study of French Index-Linked Government Bonds
conference
July 4, 2023Computing in Economics and Finance Annual Meeting, Nice, France
Tale about Inflation Tails
discussion
June 7, 202339th French Finance Association Annual Meeting, Bordeaux, France
Firm Foreign Activity and the Geography of Exchange Rate Risk
conference
June 7, 202339th French Finance Association Annual Meeting, Bordeaux, France
Inflation, Real Interest Rates, and the Bond Market: A Study of French Index-Linked Government Bonds
conference
May 11, 2023ECONDAT 2023 spring Meeting: Economics with Nontraditional Data and Analytical Tools, London, UK
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
discussion
October 4, 20224th Conference on Non-traditional Data, Machine Learning, and Natural Language Processing in Macroeconomics, Stockholm, Sweden
Climate Risk and Commodity Currencies
discussion
May 23, 202238th French Finance Association Annual Meeting, St-Malo, France
Lost in a Negative Territory? Search for Yield!
conference
May 23, 202238th French Finance Association Annual Meeting, St-Malo, France
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
seminar
December 5, 2019University of Rennes, Rennes, France
The Term Structure of French Nominal Debt
conference
June 17-19, 201936th International Conference of the French Finance Association, Quebec City, Canada
The Term Structure of the French Nominal Debt
conference
May 29, 20192019 GCER Bienniel Alumni Conference, Georgetown University, Washington D.C., USA
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
discussion
April 5, 201922nd Annual Conference of the Swiss Society for Financial Market Research, Zurich, Switzerland
What Drives Risk Perception?
conference
April 5, 201922nd Annual Conference of the Swiss Society for Financial Market Research, Zurich, Switzerland
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
seminar
January 18, 2019Brock University, St-Catherine, Canada
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
conference
December 18, 20182018 Paris Financial Management Conference, Paris, France
The Term Structure of the French Nominal Debt
seminar
November 30, 2018University of Queensland, Australia
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
conference
November 26-28, 2018Research School of Finance, Actuarial Studies and Statistics 2018 Summer Camp, Australia
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
seminar
November 23, 2018University of Wellington, Wellington, New Zealand
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
conference
September 14, 2018Central 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, 20182018 Annual Meeting of the Central Bank Research Association, Frankfurt, Germany
Global Inflation Dynamics and Inflation Expectations
conference
August 20, 20182018 Annual Meeting of the Central Bank Research Association, Frankfurt, Germany
Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison
seminar
June 14, 2018University of Rennes, Rennes, France
Gauging the Sentiment of FOMC Communications through the Eyes of the Financial Press
discussion
June 6, 2018Inflation: New Insights for Central Banks, St Petersburg, Russia
Computing Long-term Market Inflation Expectations for Countries without Inflation Expectations Markets
discussion
May 25, 20187th ITAM Finance Conference 2018, Mexico City, Mexico
Government Policy Uncertainty and the Yield Curve
conference
April 19, 2018FRB San Francisco System Committee on Macroeconomics, San Francisco, CA, USA
Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison
conference
April 6, 201821st Annual Conference of the Swiss Society for Financial Market Research, Zurich, Switzerland
Term Structure of Interest Rates with Short-run and Long-run Risks
discussion
April 6, 201821st Annual Conference of the Swiss Society for Financial Market Research, Zurich. Switzerland
Extreme Inflation and Time-Varying Disaster Risk
conference
April 6, 201821st Annual Conference of the Swiss Society for Financial Market Research, Zurich, Switzerland
Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison
discussion
April 6, 201821st Annual Conference of the Swiss Society for Financial Market Research, Zurich, Switzerland
The TIPS Liquidity Premium
discussion
December 21, 201715th EUROFIDAI and ESSEC Paris December Finance Meeting
Option Implied Dividends
conference
December 21, 201715th EUROFIDAI and ESSEC Paris December Finance Meeting
Term Structure of Interest Rates with Short-run and Long-run Risks
conference
December 18, 2017New Economic School 25th Anniversary Conference in Economics and Finance
Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison
discussion
September 22, 2017Swiss National Bank Research Conference, Zurich, Switzerland
The Term Structure of Expectations and Bond Yields
seminar
July 7, 2017Central Bank of Lithuania, Vilnius, Lithuania
Measuring Inflation Anchoring and Uncertainty: A US and Euro-Area Comparison
conference
June 6, 2017Financial Intermediation Research Society conference*, Hong Kong, HK
Term Structure of Interest Rates with Short-run and Long-run Risks
seminar
April 19, 2017New Economic School, Moscow, Russia
The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty
seminar
April 6, 2017University of Rennes, Rennes, France
The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty
seminar
March 31, 2017Swiss National Bank, Zurich, France
The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty
seminar
March 24, 2017University of Zurich, Zurich, France
Term Structure of Interest Rates with Short-run and Long-run Risks
seminar
January 31, 2017University of Muenster, Muenster, Germany
Term Structure of Itnerest Rates with Short-run and Long-run Risks
conference
January 6-8, 2017American Finance Association Meetings, Chicago, IL, USA
Term Structure of Interest Rates with Short-run and Long-run Risks
conference
December 20, 201714th EUROFIDAI and ESSEC Paris December Finance Meeting*, Paris, France
The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty
seminar
November 17, 2016European Central Bank, Frankfurt, Germany
The Joint Dynamics of the U.S. and Euro Area Inflation Expectations with Time-Varying Uncertainty
conference
September 26-27, 20163d SAFE Asset Pricing Workshop at the Goethe University, Frankfurt, Germany
Term Structure of Interest Rates with Short-run and Long-run Risks
conference
June 28, 201622nd International CEF Conference, Bordeaux, France
The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty
conference
June 25, 2016Annual Conference of the International Association for Applied Econometrics*, Milan, Italy
The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty
conference
June 24, 2016System 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, 2016Society of Financial Econometrics*, Hong Kong
The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty
conference
June 15, 2016Society of Financial Econometrics (Keynote Speech)*, Hong Kong
Term Structure of Interest Rates with Short-run and Long-run Risks
conference
June 4, 20169th 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, 2016XVIII 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
2015-201632nd 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, 2015Federal Reserve System Macro Workshop, Cleveland, OH, USA
Robust Bond Risk Premia
conference
20145th 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 - 2014Banque 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
2013-2014FMA, Midwest Finance Meetings
Corporate Bond Credit Spreads and FOMC Announcements
discussion
August 29, 201340th European Finance Association Meetings
Capital Controls and International Financial Stability
discussion
March 16, 2013Midwest Finance Meetings, Chicago, IL, USA
Pricing TIPS and Treasuries with Linear Regressions
conference
March 16, 2013Midwest Finance Meetings, Chicago, IL, USA
Inflation Risk Premium: Evidence from the TIPS Market
conference
2012 - 201318th International CEF, Conference, Midwest Finance Meetings, 10th International French Finance Association Conference
Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
conference
2011 - 2013Northern 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, 2012New Economic School 20th Anniversary Conference, Moscow, Russia
Taylor rule at work: Evidence from disaggregated data
discussion
April 21, 20121st USC Moore School of Business Fixed Income Conference, Charleston, SC, USA
The Effects of the Treasury Fails Charge on Market Functioning
discussion
December 20, 20119th French Finance Association Conference, Paris, France
An Analysis of Ultra Long-Term Yields
seminar
September 9, 2011Penn State University, State College, PA, USA
Recent Advances in Computing General Equilibrium Models and Its Application to the Asset Pricing Models with Time Non-separable Preferences
Awards
- 2023
Journal of Finance and Data Science
Best Fixed Income Paper Award for "Term Structure of Interest Rates with Short-run and Long-run Risks" paper
- 2012
Numerical Algorithms Group (NAG), Oxford, UK
Best financial engineering project using NAG algorithms
- 2009
Eastern Finance Association
Outstanding Institutions Paper Award
Conference Organization
November 13-14, 2023 | Washington, DC
5th Conference on Non-traditional Data, Machine Learning, and Natural Language Processing in Macroeconomics
Organizing Committee, Program Committee
August 2023 | Amsterdam, Netherlands
European Finance Association Doctoral Tutorial
Program Committee
July 3-6, 2023 | Nice, France
Computing in Economics and Finance Annual Meeting
Presenter
May 11-12, 2023 | London, UK
ECONDAT 2023 Spring Meeting: Economics with Nontraditional Data and Analytical Tools
Presenter
June 5-7, 2023 | Bordeaux, France
39th International French Finance Association
Program Committee, Session Chair
May 2019, October 2020, October 2021, May 2023 | Washington, DC
Federal Reserve Board Internal Macro-Finance Workshop
Organizing Committee, Program Committee
October 3-4, 2022 | Stockholm, Sweden
4th Conference on Non-traditional Data, Machine Learning, and Natural Language Processing in Macroeconomics
Program Committee
August 2022 | Barcelona, Spain
European Finance Association Doctoral Tutorial
Program Committee
May 23-25, 2022 | Saint-Malo, France
38th International French Finance Association
Program Committee, Session Chair
October 2021 | Denver, CO
Financial Management Association Annual Meeting
Program Committee, Session Chair
June 2020 | Beijing, China
China Financial Research Conference
Program Committee
October 5-6, 2019 | Washington, DC, USA
Alternative Methodologies Session, Nontraditional Data, Machine Learning, and Natural Language Processing in Macroeconomics, Federal Reserve Board, October 2019
Session Chair
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
- French Finance Association
- Financial Management Association
- Midwest Finance Association