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Jonas Nygaard Eriksen

Personal Details

First Name:Jonas Nygaard
Middle Name:
Last Name:Eriksen
Suffix:
RePEc Short-ID:per157
[This author has chosen not to make the email address public]
http://www.jeriksen.dk

Affiliation

Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://econ.au.dk/
RePEc:edi:ifoaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
  2. Jonas Nygaard Eriksen, 2015. "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers 2015-44, Department of Economics and Business Economics, Aarhus University.
  3. Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
  2. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.
  3. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
  4. Eriksen, Jonas N., 2017. "Expected Business Conditions and Bond Risk Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1667-1703, August.
  5. Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014. "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jonas Nygaard Eriksen, 2015. "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers 2015-44, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
    2. Su, Hao & Ying, Chengwei & Zhu, Xiaoneng, 2022. "Disaster risk matters in the bond market," Finance Research Letters, Elsevier, vol. 47(PA).
    3. Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
    4. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    5. Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.
    6. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    7. Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
    8. João F. Caldeira, 2020. "Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil," Empirical Economics, Springer, vol. 59(1), pages 395-412, July.
    9. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.

  2. Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Federico Guglielmo Morelli & Michael Benzaquen & Marco Tarzia & Jean-Philippe Bouchaud, 2020. "Confidence collapse in a multihousehold, self-reflexive DSGE model," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 117(17), pages 9244-9249, April.
    2. Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
    3. Rachidi Kotchoni & Dalibor Stevanovic, 2020. "GDP Forecast Accuracy During Recessions," Working Papers 20-06, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    4. Rachidi Kotchoni & Dalibor Stevanovic, 2016. "Forecasting U.S. Recessions and Economic Activity," Working Papers hal-04141569, HAL.
    5. Lauri Nevasalmi, 2022. "Recession forecasting with high‐dimensional data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 752-764, July.
    6. Hwang, Youngjin, 2019. "Forecasting recessions with time-varying models," Journal of Macroeconomics, Elsevier, vol. 62(C).
    7. Sander, Magnus, 2018. "Market timing over the business cycle," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 130-145.
    8. Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.
    9. Harri Pönkä, 2018. "Sentiment and sign predictability of stock returns," Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
    10. Hamid Baghestani & Polly Palmer, 2017. "On the dynamics of U.S. consumer sentiment and economic policy assessment," Applied Economics, Taylor & Francis Journals, vol. 49(3), pages 227-237, January.
    11. , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
    12. Kevin Moran & Simplice Aimé Nono & Imad Rherrad, 2018. "Forecasting with Many Predictors: How Useful are National and International Confidence Data?," Cahiers de recherche 1814, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    13. Liu, Jingzhen & Kemp, Alexander, 2019. "Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables," Energy Economics, Elsevier, vol. 81(C), pages 672-686.
    14. Shyam Gouri Suresh & Mark Setterfield, 2015. "Firm performance, macroeconomic conditions, and “animal spirits” in a Post Keynesian model of aggregate fluctuations," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 38(1), pages 38-63, July.
    15. Yang Aijun & Xiang Ju & Yang Hongqiang & Lin Jinguan, 2018. "Sparse Bayesian Variable Selection in Probit Model for Forecasting U.S. Recessions Using a Large Set of Predictors," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 1123-1138, April.
    16. Huiwen Lai & Eric C. Y. Ng, 2020. "On business cycle forecasting," Frontiers of Business Research in China, Springer, vol. 14(1), pages 1-26, December.
    17. Erik Christian Montes Schütte, 2018. "In Search of a Job: Forecasting Employment Growth in the US using Google Trends," CREATES Research Papers 2018-25, Department of Economics and Business Economics, Aarhus University.
    18. Melanie Koch & Thomas Scheiber, 2022. "Household savings in CESEE: expectations, experiences and common predictors," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/22, pages 29-54.
    19. Aneta Maria Kłopocka, 2017. "Does Consumer Confidence Forecast Household Saving and Borrowing Behavior? Evidence for Poland," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 133(2), pages 693-717, September.
    20. Hamid Baghestani & Ajalavat Viriyavipart, 2019. "Do factors influencing consumer home-buying attitudes explain output growth?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1104-1115, August.
    21. Pönkä, Harri & Stenborg, Markku, 2018. "Forecasting the state of the Finnish business cycle," MPRA Paper 91226, University Library of Munich, Germany.
    22. Matthieu Bussière & Stéphane Lhuissier, 2024. "What does an inversion of the yield curve tell us? [Que signifie l’inversion d’une courbe des taux ?]," Bulletin de la Banque de France, Banque de France, issue 250.
    23. Mustafa Caglayan & Mustafa Caglayan & Bing Xu, 2016. "Sentiment Volatility and Bank Lending Behavior," EcoMod2016 9206, EcoMod.
    24. Alexandre Bonnet R. Costa & Pedro Cavalcanti G. Ferreira & Wagner Piazza Gaglianone & Osmani Teixeira C. Guillén & João Victor Issler & Artur Brasil Fialho Rodrigues, 2023. "Predicting Recessions in (almost) Real Time in a Big-data Setting," Working Papers Series 587, Central Bank of Brazil, Research Department.
    25. Robert Lehmann & Magnus Reif, 2020. "Tracking and Predicting the German Economy: ifo vs. PMI," CESifo Working Paper Series 8145, CESifo.
    26. Soybilgen, Baris, 2018. "Identifying US business cycle regimes using dynamic factors and neural network models," MPRA Paper 94715, University Library of Munich, Germany.
    27. Byrne, Joseph P. & Lorusso, Marco & Xu, Bing, 2019. "Oil prices, fundamentals and expectations," Energy Economics, Elsevier, vol. 79(C), pages 59-75.
    28. Čižmešija Mirjana & Lukač Zrinka & Novoselec Tomislav, 2019. "Nonlinear optimisation approach to proposing novel Croatian Industrial Confidence Indicator," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 5(2), pages 17-26, December.
    29. Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
    30. Beetsma, Roel & Furtuna, Oana & Giuliodori, Massimo & Mumtaz, Haroon, 2017. "Revenue- versus spending-based fiscal consolidation announcements: follow-up, multipliers and confidence," CEPR Discussion Papers 12133, C.E.P.R. Discussion Papers.
    31. Mikhail E. MAMONOV, Anna A. PESTOVA, Vera PANKOVA, Renat Akhmetov, 2020. "Digital Transformation of Capital Market Infrastructure [Цифровая Трансформация Инфраструктуры Рынка Капитала]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 5, pages 130-159, November.
    32. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    33. Camila Figueroa & Michael Pedersen, 2019. "Extracting Information of the Economic Activity from Business and Consumer Surveys in an Emerging Economy (Chile)," Working Papers Central Bank of Chile 832, Central Bank of Chile.
    34. Hashmat Khan & Santosh Upadhayaya, 2017. "Does Business Confidence Matter for Investment?," Carleton Economic Papers 17-13, Carleton University, Department of Economics, revised 20 Mar 2019.
    35. Barış Soybilgen, 2020. "Identifying US business cycle regimes using dynamic factors and neural network models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 827-840, August.
    36. Knut Lehre Seip & Yunus Yilmaz & Michael Schröder, 2019. "Comparing Sentiment- and Behavioral-Based Leading Indexes for Industrial Production: When Does Each Fail?," Economies, MDPI, vol. 7(4), pages 1-18, October.
    37. Baghestani, Hamid, 2016. "Do gasoline prices asymmetrically affect US consumers’ economic outlook?," Energy Economics, Elsevier, vol. 55(C), pages 247-252.
    38. Hector H. Sandoval & Anita N. Walsh, 2021. "The role of consumer confidence in forecasting consumption, evidence from Florida," Southern Economic Journal, John Wiley & Sons, vol. 88(2), pages 757-788, October.
    39. Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
    40. Marius M. Mihai, 2020. "Do credit booms predict US recessions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 887-910, September.
    41. Nissilä, Wilma, 2020. "Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland," BoF Economics Review 7/2020, Bank of Finland.
    42. Harri Ponka, 2017. "The Role of Credit in Predicting US Recessions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 469-482, August.
    43. Kevin Moran & Simplice Aime Nono, 2016. "Using Confidence Data to Forecast the Canadian Business Cycle," Cahiers de recherche 1606, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    44. Jean-Baptiste Hasse & Quentin Lajaunie, 2020. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis," Working Papers halshs-02549044, HAL.
    45. Anastasiou, Dimitris & Kallandranis, Christos & Drakos, Konstantinos, 2022. "Borrower discouragement prevalence for Eurozone SMEs: Investigating the impact of economic sentiment," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 161-171.
    46. Oscar Claveria & Enric Monte & Salvador Torra, 2019. "Empirical modelling of survey-based expectations for the design of economic indicators in five European regions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(2), pages 205-227, May.
    47. Brown, Sarah & Harris, Mark N. & Spencer, Christopher & Taylor, Karl, 2020. "Financial Expectations and Household Consumption: Does Middle Inflation Matter?," IZA Discussion Papers 13023, Institute of Labor Economics (IZA).
    48. Adrian Fernandez‐Perez & Raquel López, 2023. "The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1499-1530, November.
    49. Sorić, Petar & Lolić, Ivana & Claveria, Oscar & Monte, Enric & Torra, Salvador, 2019. "Unemployment expectations: A socio-demographic analysis of the effect of news," Labour Economics, Elsevier, vol. 60(C), pages 64-74.
    50. Bornali Bhandari & Samarth Gupta & Ajaya K. Sahu & K. S. Urs, 2021. "Business sentiments during India’s national lockdown: Lessons for second and potential third wave," Indian Economic Review, Springer, vol. 56(2), pages 335-350, December.
    51. Pestova, Anna, 2020. "“Credit view” on monetary policy in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 72-88.
    52. Tsung-Hsien Michael Lee & Wenjuan Chen, 2015. "Is There an Asymmetric Impact of Housing on Output?," SFB 649 Discussion Papers SFB649DP2015-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    53. Baris Soybilgen, 2017. "Identifying Us Business Cycle Regimes Using Factor Augmented Neural Network Models," Working Papers 1703, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    54. Pönkä, Harri & Zheng, Yi, 2019. "The role of oil prices on the Russian business cycle," Research in International Business and Finance, Elsevier, vol. 50(C), pages 70-78.
    55. Beetsma, Roel & Furtuna, Oana & Giuliodori, Massimo, 2018. "Revenue- versus spending-based consolidation plans: the role of follow-up," Working Paper Series 2178, European Central Bank.
    56. Máximo Camacho & Gonzalo Palmieri, 2021. "Evaluating the OECD’s main economic indicators at anticipating recessions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 80-93, January.
    57. Joseph P. Byrne & Marco Lorusso & Bing Xu, 2017. "Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations," CEERP Working Paper Series 006, Centre for Energy Economics Research and Policy, Heriot-Watt University.
    58. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.
    59. Baumann, Ursel & Gomez-Salvador, Ramon & Seitz, Franz, 2019. "Detecting turning points in global economic activity," Working Paper Series 2310, European Central Bank.
    60. Min Seong Kim, 2021. "Robust Inference for Diffusion-Index Forecasts with Cross-Sectionally Dependent Data," Working papers 2021-04, University of Connecticut, Department of Economics.
    61. Anna Pestova, 2015. "Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia," HSE Working papers WP BRP 94/EC/2015, National Research University Higher School of Economics.
    62. Dimitriou Dimitrios & Pappas Anastasios & Kazanas Thanassis & Kenourgios Dimitris, 2021. "Do confidence indicators lead Greek economic activity?," Bulletin of Applied Economics, Risk Market Journals, vol. 8(2), pages 1-15.
    63. Baghestani, Hamid & AbuAl-Foul, Bassam M., 2017. "Comparing Federal Reserve, Blue Chip, and time series forecasts of US output growth," Journal of Economics and Business, Elsevier, vol. 89(C), pages 47-56.
    64. Hamid Baghestani, 2017. "Do US consumer survey data help beat the random walk in forecasting mortgage rates?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343017-134, January.

Articles

  1. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).

    Cited by:

    1. Arai, Natsuki, 2023. "The FOMC’s new individual economic projections and macroeconomic theories," Journal of Banking & Finance, Elsevier, vol. 151(C).

  2. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.

    Cited by:

    1. Pönkä, Harri & Stenborg, Markku, 2018. "Forecasting the state of the Finnish business cycle," MPRA Paper 91226, University Library of Munich, Germany.
    2. Jie Wang & Biyu Peng & Xiaohua Xia & Zhu Ma, 2021. "Are Housing Prices Sustainable in 35 Large and Medium-Sized Chinese Cities? A Study Based on the Cheap Talk Game and Dynamic GMM," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
    3. Rangan Gupta & Hardik A. Marfatia & Christian Pierdzioch & Afees A. Salisu, 2022. "Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty," The Journal of Real Estate Finance and Economics, Springer, vol. 64(4), pages 523-545, May.
    4. Sheng, Xin & Marfatia, Hardik A. & Gupta, Rangan & Ji, Qiang, 2021. "House price synchronization across the US states: The role of structural oil shocks," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    5. Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers 202401, University of Pretoria, Department of Economics.

  3. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.

    Cited by:

    1. Kobana Abukari & Isaac Otchere, 2020. "Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 471-505, December.
    2. Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
    3. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).

  4. Eriksen, Jonas N., 2017. "Expected Business Conditions and Bond Risk Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1667-1703, August.
    See citations under working paper version above.
  5. Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014. "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (3) 2013-05-24 2015-10-04 2020-08-17
  2. NEP-MAC: Macroeconomics (3) 2013-05-24 2015-10-04 2020-08-17
  3. NEP-BEC: Business Economics (1) 2013-05-24
  4. NEP-FMK: Financial Markets (1) 2020-08-17
  5. NEP-ORE: Operations Research (1) 2020-08-17
  6. NEP-UPT: Utility Models and Prospect Theory (1) 2015-10-04

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