ALEXANDER LEBEDINSKY

January 2005

Address

Economics Department

GH 417

Western Kentucky University

E-mail: alex.lebedinsky@wku.edu

Visa Status in USA: Legal Permanent Resident (Green Card)

Citizenship: Ukrainian

Research Interest

Applied Econometrics, Asset Pricing, International Finance, Development

Education

Ph. D. Economics, Georgetown University, Washington, D.C. 1997-2004

Dissertation title: Stochastic Discount Factor Models of Currency Pricing (defended with distinction)

Dissertation Committee: Martin D.D. Evans, Robert Hussey, Paul McNelis.

M. A. Economics, Western Kentucky University, Bowling Green, Ky., 1995-1997.

Thesis title: A Study of The Stochastic Behavior of Durable Goods Consumption

B. A. Business Administration, Ternopil Academy of National Economy, Ternopil, Ukraine,

1991-1995.

Professional Experience

TEACHING

Assistant Professor, Western Kentucky University, Microeconomics, Macroeconomics, Statistics, Econometrics. 2003-present.

Teaching Assistant, World Bank, IMF, Macroeconometrics Using Eviews Software. 2001-2003.

Instructor, Georgetown University, Microeconomics Principles, American Business and Economics. Summer 2002.

Teaching Assistant, Georgetown University, Macroeconomics and Microeconomics Principles, 1997-2001.

RESEARCH

Research Assistant, Georgetown University, McDonough School of Business, Washington, D.C., 2001-2003.

Research Assistant, World Bank, Office of Senior Vice President and Chief Economist, Washington, D.C., 1999.

Research Assistant, World Bank, Capital Markets Development Department, Washington, D.C., 1998-1999.

Research Assistant, Georgetown University, Office of Student Financial Services, Washington, D.C., 1997-1998.

Graduate Assistant, Western Kentucky University, Department of Economics, Bowling Green, KY, August 1995- June 1997.

Awards

1998 - 2003 University Fellowship (Georgetown University)

1997 - Outstanding Graduate Student Award in Economics (Western Kentucky University)

1997 - College of Business Administration Award for Academic and Leadership Accomplishments (Western Kentucky University)

1995-97 - Graduate Assistantship, Western Kentucky University

1994-95 - United States Information Agency Student Exchange Scholarship

Dissertation Abstract

Affine stochastic discount factor models of currency pricing.

In this paper I examine the affine model of currency pricing proposed by Backus, Foresi and Telmer (2001). Although they showed that affine models can reproduce the forward premium anomaly, I present evidence that this type of models deliver the anomaly at the cost of making assumptions inconsistent with the data. The affine model used by Backus, Foresi and Telmer assumes that conditional second moments are linear functions of the state variables. Their model relies on this assumption to reproduce the forward premium anomaly. I find that this type of conditional heteroskedasticity is not supported by the data. I also find that, when this assumption is relaxed, the model fails to reproduce the forward premium anomaly.

Stochastic discount factor models with regime switching.

Recent empirical studies show that, while uncovered interest parity(UIP) fails at short horizons, there is more support for UIP at longer horizons. In this paper I show how these different results for UIP can be explained with a single model. The proposed model is a discrete-time affine stochastic discount factor model that allows for switching in mean and variance of the pricing kernel. Estimates of the model show that it can reproduce complex dynamics observed in the data.