TheEconomists
202-452-2981
olesya.v.grishchenko@frb.gov
olesya.v.grishchenko@frb.gov
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
- Term Structure, Inflation Sensitive Assets
- Consumption-Based Asset Pricing Models
Fields of Interest
Professional Experience
Economist
Board of Governors of the Federal Reserve System
- 2011 - present
Assistant Professor of Finance
Penn State University
- 2005 - 2011
Visiting Professor of Finance
New Economic School, Moscow, Russia
- 2006 - 2010
Publications
- 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 (Forthcoming). "The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Analysis," Journal of Business and Economic Statistics.
- 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.).
- 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.).
- 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.).
- 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. (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.
Presentations
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
conference
September 17, 2011
Northern Finance Meetings
The Informational Content of the Deflation Option Embedded in TIPS
discussion
December 20, 2011
9th International Paris Finance Meeting
An Analysis of Ultra Long-Term Yields
discussion
April 21, 2012
Fixed Income Conference: Navigating Cathartic Change in Fixed Income
The Effects of the Treasury Fails Charge on Market Functioning
conference
June 28, 2012
18th International Conference on Computing in Economics and Finance
The Informational Content of the Deflation Option Embedded in TIPS
Other Activities
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
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
Professional Affiliation
- American Finance Association
- European Finance Association
- Financial Management Association
Last update:
August 13, 2012