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TheEconomists

Photo of Olesya V. Grishchenko
202-452-2981
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
    • Economist

      Board of Governors of the Federal Reserve System

    • 2011 - present
    • Assistant Professor of Finance

      Pennsylvania State University

    • 2005 - 2011
    • Visiting Professor of Finance

      New Economic School, Moscow, Russia

    • 2006 - 2010
    • Adjunct Professor of Finance

      University of Maryland at College Park

    • 2013 - present
  • 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.).
  • 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 Analysis," 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.).
  • 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.
  • 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

    1st USC Moore School of Business Fixed Income Conference

    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

  • conference

    June 29, 2012

    18th International Conference on Computing in Economics and Finance

    Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

  • conference

    December 20, 2012

    10th International Paris Finance Meeting

    Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

  • conference

    December 14, 2012

    New Economic School 20th Anniversary Conference

    Taylor rule at work: Evidence from disaggregated data

  • conference

    March 15, 2013

    Midwest Finance Meetings

    Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

  • conference

    March 16,2013

    Midwest Finance Meetings

    The Inflation Risk Premium: Evidence from the TIPS Market

  • conference

    March 16,2013

    Midwest Finance Meetings

    The Informational Content of the Deflation Option Embedded in TIPS

  • discussion

    March 16, 2013

    Midwest Finance Meetings

    Pricing TIPS and Treasuries with Linear Regressions

  • conference

    April 20, 2013

    2nd USC Moore School of Business Fixed Income Conference

    The Informational Content of the Deflation Option Embedded in TIPS

  • seminar

    April 29, 2013

    Penn State University

    Long-run Bond Risk Premia

  • discussion

    August 29, 2013

    40th European Finance Association Meetings

    Capital Controls and International Financial Stability

  • discussion

    October 17, 2013

    Financial Management Association Meetings

    Corporate Bond Credit Spreads and FOMC Announcements

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

  • March 2014 Orlando, FL

    Midwest Finance 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 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

Professional Affiliation

  • American Finance Association
  • European Finance Association
  • Financial Management Association
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Last update: December 9, 2013