NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Geert Bekaert

Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: Columbia University

NBER Working Papers and Publications

May 2020The Variance Risk Premium in Equilibrium Models
with Eric Engstrom, Andrey Ermolov: w27108
March 2019The Time Variation in Risk Appetite and Uncertainty
with Eric C. Engstrom, Nancy R. Xu: w25673
January 2019Currency Factors
with Arash Aloosh: w25449
Good Carry, Bad Carry
with George Panayotov: w25420

Published: Geert Bekaert & George Panayotov, 2020. "Good Carry, Bad Carry," Journal of Financial and Quantitative Analysis, vol 55(4), pages 1063-1094. citation courtesy of

February 2017On the Global Financial Market Integration “Swoosh” and the Trilemma
with Arnaud Mehl: w23124

Published: Geert Bekaert & Arnaud Mehl, 2019. "On the Global Financial Market Integration “Swoosh” and the Trilemma," Journal of International Money and Finance, . citation courtesy of

November 2016Macro Risks and the Term Structure of Interest Rates
with Eric Engstrom, Andrey Ermolov: w22839
June 2015Who is Internationally Diversified? Evidence from 296 401(k)
with Kenton Hoyem, Wei-Yin Hu, Enrichetta Ravina: w21236

Published: Geert Bekaert, Kenton Hoyem, Wei-Yin Hu, Enrichetta Ravina, Who is internationally diversified? Evidence from the 401(k) plans of 296 firms, Journal of Financial Economics, Volume 124, Issue 1, 2017, Pages 86-112, ISSN 0304-405X, https://doi.org/10.1016/j.jfineco.2016.12.010.

January 2014Political Risk Spreads
with Campbell R. Harvey, Christian T. Lundblad, Stephan Siegel: w19786

Published: Geert Bekaert & Campbell R Harvey & Christian T Lundblad & Stephan Siegel, 2014. "Political risk spreads," Journal of International Business Studies, Palgrave Macmillan, vol. 45(4), pages 471-493, May. citation courtesy of

May 2013Flights to Safety
with Lieven Baele, Koen Inghelbrecht, Min Wei: w19095

Published: Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei & Andrew Karolyi, 2020. "Flights to Safety," The Review of Financial Studies, vol 33(2), pages 689-746. citation courtesy of

April 2013The VIX, the Variance Premium and Stock Market Volatility
with Marie Hoerova: w18995

Published: Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192. citation courtesy of

November 2012On the Link Between the Volatility and Skewness of Growth
with Alexander Popov: w18556

Published: Geert Bekaert & Alexander Popov, 2019. "On the Link Between the Volatility and Skewness of Growth," IMF Economic Review, vol 67(4), pages 746-790. citation courtesy of

June 2011Global Crises and Equity Market Contagion
with Michael Ehrmann, Marcel Fratzscher, Arnaud J. Mehl: w17121

Published: Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Journal of Finance, American Finance Association, vol. 69(6), pages 2597-2649, December. citation courtesy of

May 2011Macroeconomic Regimes
with Lieven Baele, Seonghoon Cho, Koen Inghelbrecht, Antonio Moreno: w17090

Published: Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015. "Macroeconomic regimes," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71. citation courtesy of

December 2010The European Union, the Euro, and Equity Market Integration
with Campbell R. Harvey, Christian T. Lundblad, Stephan Siegel: w16583

Published: Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2013. "The European Union, the Euro, and equity market integration," Journal of Financial Economics, Elsevier, vol. 109(3), pages 583-603. citation courtesy of

September 2010Risk, Uncertainty and Monetary Policy
with Marie Hoerova, Marco Lo Duca: w16397

Published:

June 2010Aggregate Idiosyncratic Volatility
with Robert J. Hodrick, Xiaoyan Zhang: w16058

Published: Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1155-1185, December. citation courtesy of

August 2009Asset Return Dynamics under Bad Environment Good Environment Fundamentals
with Eric Engstrom: w15222

Published: Geert Bekaert & Eric Engstrom, 2017. "Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals," Journal of Political Economy, vol 125(3), pages 713-760.

The Determinants of Stock and Bond Return Comovements
with Lieven Baele, Koen Inghelbrecht: w15260

Published: Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 23(6), pages 2374-2428, June. citation courtesy of

June 2009Inflation and the Stock Market:Understanding the "Fed Model"
with Eric Engstrom: w15024

Published:

April 2009Financial Openness and Productivity
with Campbell R. Harvey, Christian Lundblad: w14843

Published: Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2011. "Financial Openness and Productivity," World Development, Elsevier, vol. 39(1), pages 1-19, January. citation courtesy of

March 2009What Segments Equity Markets?
with Campbell R. Harvey, Christian Lundblad, Stephan Siegel: w14802

Published: Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2011. "What Segments Equity Markets?," Review of Financial Studies, vol 24(12), pages 3841-3890.

February 2007The Term Structure of Real Rates and Expected Inflation
with Andrew Ang, Min Wei: w12930

Published:

May 2006Stock and Bond Returns with Moody Investors
with Eric Engstrom, Steven R. Grenadier: w12247

Published: Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December. citation courtesy of

Risk, Uncertainty and Asset Prices
with Eric Engstrom, Yuhang Xing: w12248

Published: Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January. citation courtesy of

December 2005International Stock Return Comovements
with Robert J. Hodrick, Xiaoyan Zhang: w11906

Published: Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December. citation courtesy of

August 2005Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
with Andrew Ang, Min Wei: w11538

Published: Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May. citation courtesy of

June 2005Liquidity and Expected Returns: Lessons From Emerging Markets
with Campbell R. Harvey, Christian Lundblad: w11413

Published: Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007. "Liquidity and Expected Returns: Lessons from Emerging Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 20(6), pages 1783-1831, November. citation courtesy of

May 2005New-Keynesian Macroeconomics and the Term Structure
with Seonghoon Cho, Antonio Moreno: w11340

Published: Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, 02. citation courtesy of

December 2004Global Growth Opportunities and Market Integration
with Campbell R. Harvey, Christian Lundblad, Stephan Siegel: w10990

Published: Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2007. "Global Growth Opportunities and Market Integration," Journal of Finance, American Finance Association, vol. 62(3), pages 1081-1137, 06. citation courtesy of

June 2004Growth Volatility and Financial Liberalization
with Campbell R. Harvey, Christian Lundblad: w10560

Published: Journal of International Money and Finance, Vol. 25, no. 3 (April 2006): 379-403 citation courtesy of

November 2003How do Regimes Affect Asset Allocation?
with Andrew Ang: w10080

Published: Ang, Andrew and Geert Bekaert. "How Regimes Affect Asset Allocation," Financial Analsts Journal, 2004, v60(2,Mar/Apr), 86-99.

February 2003Market Integration and Contagion
with Campbell R. Harvey: w9510

Published: Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January. citation courtesy of

February 2002Uncovered Interest Rate Parity and the Term Structure
with Min Wei, Yuhang Xing: w8795

Published: Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1038-1069, October. citation courtesy of

April 2001Stock Return Predictability: Is it There?
with Andrew Ang: w8207

Published: Ang, Andrew and Geert Bekaert. "Stock Return Predictability: Is it There?" Review of Financial Studies 20, 3 (2007): 651-707.

Does Financial Liberalization Spur Growth?
with Campbell R. Harvey, Christian Lundblad: w8245

Published: Journal of Financial Economics, Vol. 77, no. 1 (July 2005): 3-55 citation courtesy of

March 2001Economic Growth and Financial Liberalization
with Campbell R. Harvey NBER Reporter Spring 01
July 2000Why Stocks May Disappoint
with Andrew Ang, Jun Liu: w7783

Published: Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June. citation courtesy of

June 2000Emerging Equity Markets and Economic Development
with Campbell R. Harvey, Christian Lundblad: w7763

Published: Bekaert, Geert, Campbell R. Harvey and Christian Lundblad. "Emerging Equity Markets And Economic Development," Journal of Development Economics, 2001, v66(2,Dec), 465-504. citation courtesy of

March 2000Expectations Hypotheses Tests
with Robert J. Hodrick: w7609

Published: Bekaert, Geert and Robert J. Hodrick. "Expectations Hypotheses Tests," Journal of Finance, 2001, v56(4,Aug), 1357-1394. citation courtesy of

January 2000Capital Flows and the Behavior of Emerging Market Equity Returns
with Campbell R. Harvey
in Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, Sebastian Edwards, editor
December 1999Emerging Equity Markets and Market Integration
NBER Reporter Winter 00
September 1999Stock and Bond Pricing in an Affine Economy
with Steven R. Grenadier: w7346
July 1999The Dynamics of Emerging Market Equity Flows
with Campbell R. Harvey, Robin L. Lumsdaine: w7219

Published: Bekaert, G. & Harvey, C. R. & Lumsdaine, R. L., 2002. "The dynamics of emerging market equity flows," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 295-350, June. citation courtesy of

March 1999International Asset Allocation with Time-Varying Correlations
with Andrew Ang: w7056

Published: Ang, A. and G. Bekaert. "International Asset Allocation With Regime Shifts," Review of Financial Studies, 2002, v15(4), 1137-1187.

January 1999Conditioning Information and Variance Bounds on Pricing Kernels
with Jun Liu: w6880

Published: Bekaert, Geert and Jun Liu. "Conditioning Information And Variance Bounds On Pricing Kernels," Review of Financial Studies, 2004, v17(2,Summer), 339-378. citation courtesy of

September 1998Dating the Integration of World Equity Markets
with Campbell R. Harvey, Robin L. Lumsdaine: w6724

Published: Bekaert, Geert, Campbell R. Harvey and Robin L. Lumsdaine. "Dating The Integration Of World Equity Markets," Journal of Financial Economics, 2002, v65(2,Aug), 203-247. citation courtesy of

July 1998Capital Flows and the Behavior of Emerging Market Equity Returns
with Campbell R. Harvey: w6669

Published:

  • Bekaert, Geert and Campbell R. Harvey. "Foreign Speculators And Emerging Equity Markets," Journal of Finance, 2000, v55(2,Apr), 565-613.
  • Edwards, Sebastian (ed.) Capital Flows and the Emerging Economies: Theory, Evidence and Controversies. Chicago: University of Chicago Press, 2000.

April 1998Regime Switches in Interest Rates
with Andrew Ang: w6508

Published: Ang, Andrew and Geert Bekaert. "Regime Switches In Interest Rates," Journal of Business and Economic Statistics, 2002, v20(2,Apr), 163-182. citation courtesy of

December 1997Foreign Speculators and Emerging Equity Markets
with Campbell R. Harvey: w6312

Published: Journal of Finance, Vol. 55 (April 2000): 565-613. citation courtesy of

August 1997"Peso Problem" Explanations for Term Structure Anomalies
with Robert J. Hodrick, David A. Marshall: w6147

Published: Bekaert, Geert, Robert J. Hodrick and David A. Marshall. "Peso Problem Explanations For Term Structure Anomalies," Journal of Monetary Economics, 2001, v48(2,Oct), 241-270. citation courtesy of

April 1997Asymmetric Volatility and Risk in Equity Markets
with Guojun Wu: w6022

Published: Review of Financial Studies, Vol.13 (Spring 2000): 1-42. citation courtesy of

January 1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
with Robert J. Hodrick, David A. Marshall: t0191

Published: Journal of Financial Economics, Vol.44 (June 1997): 309-348.

Target Zones and Exchange Rates: An Empirical Investigation
with Stephen F. Gray: w5445

Published: Journal of International Economics, Vol. 45 (June 1998): 1-35. citation courtesy of

October 1995Emerging Equity Market Volatility
with Campbell R. Harvey: w5307

Published: Journal of Financial Economics, Vol. 43 (January 1997): 29-77. citation courtesy of

January 1995Diversification, Integration and Emerging Market Closed-End Funds
with Michael S. Urias: w4990

Published: Journal of Finance, Vol. 51, no. 3 (July 1996): 835-869. citation courtesy of

August 1994The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
w4818

Published: Review of Financial Studies, Vol. 9, no. 2 (Summer 1996): 427-470. citation courtesy of

Time-Varying World Market Integration
with Campbell R. Harvey: w4843

Published: Journal of Finance, Vol. 50 (June 1995): 403-444. citation courtesy of

January 1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
with Robert J. Hodrick, David A. Marshall: w4624

Published: Journal of Monetary Economics, Vol. 40 (September 1997): 3-39. citation courtesy of

October 1991On Biases in the Measurement of Foreign Exchange Risk Premiums
with Robert J. Hodrick: w3861

Published: Journal of International Money and Finance, Vol.12, no.2 (April 1993): 115-138. citation courtesy of

July 1991Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
with Robert J. Hodrick: w3790

Published: Journal of Finance, Vol. 47, No. 2 (June 1992): 467-509. citation courtesy of

 
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