NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Geert Bekaert

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

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
April 2013The VIX, the Variance Premium and Stock Market Volatility
with Marie Hoerova: w18995
November 2012On the Link Between the Volatility and Skewness of Growth
with Alexander Popov: w18556
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," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.

May 2011Macroeconomic Regimes
with Lieven Baele, Seonghoon Cho, Koen Inghelbrecht, Antonio Moreno: w17090
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: Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788. citation courtesy of

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
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: Rev. Financ. Stud. (2011) 24 (12): 3841-3890. doi: 10.1093/rfs/hhr082 First published online: October 7, 2011

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

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
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

April 1999Target 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

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:

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.

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

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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