Research

Mohammad Ghaderi, Sang Byung Seo, and Ivan Shaliastovich, 2025, “Learning and Subjective Beliefs about Good and Bad Inflation Ranges”

Tetiana Davydiuk, Tatyana Marchuk, and  Ivan Shaliastovich, 2024, “Corporate Bond Issuance by Financial Institutions and  Economic Cycle”

Johannes Poeschl, Ivan Shaliastovich, and Ram Yamarthy, 2024, “Sovereign Credit Risk, U.S. Monetary Policy, and the Role of Financial Intermediaries”

Vito Gala, Giovanni Pagliardi, Ivan Shaliastovich, and Stavros Zenios, 2024, “Political Risk Everywhere”

Yang Liu and Ivan Shaliastovich, 2026, “Political Announcement Return,” Forthcoming in Journal of Finance.

Gill Segal and Ivan Shaliastovich, 2025, “Uncertainty, Risk, and Capital Growth,” The Review of Financial Studies, hhaf088.

Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2025, “Volatility (Dis)Connect in International Markets,” Management Science, 72(6): 4697–4714.

Tetiana Davydiuk, Scott Richard, Ivan Shaliastovich, and Amir Yaron, 2023, “How Risky is the U.S. Corporate Sector?” Journal of Finance, 78(1): 141--208

Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2022, “Volatility Risk Pass-Through,” The Review of Financial Studies, 35(5): 2345--85

Lin Gao, Steffen Hitzemann, Ivan Shaliastovich, and Lai Xu, 2022, “Oil Volatility Risk,” Journal of Financial Economics, 144: 456--91

Yang Liu and Ivan Shaliastovich, 2022, “Government Policy Approval and Exchange Rates,” Journal of Financial Economics 143: 303--31

Darien Huang, Christian Schlag,  Ivan Shaliastovich, and Julian Thimme, 2019, “Volatility of Volatility Risk,” Journal of Financial and Quantitative Analysis 54(6): 2423 -- 52

Mete Kilic and Ivan Shaliastovich, 2019, “Good and Bad Variance Premia and Expected Returns,” Management Science 65(6): 2522--44

Bjørn Eraker, Ivan Shaliastovich, and Wenyu Wang, 2016, “Durable Goods, Inflation Risk, and Equilibrium Asset Prices,” The Review of Financial Studies 29(1): 193—231

Ivan Shaliastovich, 2015, “Learning, Confidence, and Option Prices,” Journal of Econometrics, 187(1): 18—42

Gill Segal, Ivan Shaliastovich, and Amir Yaron, 2015, “Good and Bad Uncertainty: Macroeconomic and Financial Market Implications,” Journal of Financial Economics, 117(2): 369—97

Ravi Bansal, Dana Kiku, Ivan Shaliastovich, and Amir Yaron, 2014, “Volatility, the Macroeconomy, and Asset Prices,” Journal of Finance, 69(6): 2471—511

Ravi Bansal and Ivan Shaliastovich, 2013, “A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets,” The Review of Financial Studies, 26(1): 1 –33

Ravi Bansal and Ivan Shaliastovich, 2011, “Learning and Asset-Price Jumps,” The Review of Financial Studies, 24(8): 2738 – 80

Ivan Shaliastovich and George Tauchen, 2011, “Pricing of Time-Change Risks,” Journal of Economic Dynamics and Control, 35(6): 843—58

Ravi Bansal and Ivan Shaliastovich, 2010, “Confidence Risks and Asset Prices,” American Economic Review, papers and proceedings, 100(2): 537—41

Bjørn Eraker and Ivan Shaliastovich, 2008, “An Equilibrium Guide to Designing Affine Pricing Models,” Mathematical Finance 18, 519 -- 43

Nicole Branger, Christian Schlag, Ivan Shaliastovich, and Dongho Song, 2017, “Macroeconomic Bond Risks at the Zero Lower Bound”

Ivan Shaliastovich and Ram Yamarthy, 2015,”Monetary Policy Risks in the Bond Markets and Macroeconomy”

Darien Huang and Ivan Shaliastovich, 2013, “Risk Adjustment and Temporal Resolution of Uncertainty: Evidence from Option Markets”

Ravi Bansal and Ivan Shaliastovich, 2009, “Confidence Risks and Asset Prices,” NBER Working Paper w14815