Tom Engsted


Tom Engsted

Professor, Ph.d.
CREATES, Department of Economics and Business
Aarhus University, Denmark

Academic Work Experience

•Professor of Economics, Aarhus University, 2007-
•Head of Department of Finance, The Aarhus School of Business, 2001-2003.
•Professor of Finance, The Aarhus School of Business, 1999-2007.
•Associate professor, The Aarhus School of Business, 1994-1999.
•Assistant professor, The Aarhus School of Business 1992-1994.


I. Publications in international refereed journals and books:

•Tom Engsted: A note on the rationality of survey inflation expectations in the United Kingdom. Applied Economics 23, July 1991, pp. 1269-75.

•Tom Engsted: The term structure of interest rates in Denmark 1982-89: testing the rational expectations/constant liquidity premium theory. Bulletin of Economic Research 45:1, January 1993, pp. 19-37.

•Jan Bentzen and Tom Engsted: Short and long run elasticities in energy demand: A cointegration approach. Energy Economics, January 1993, pp. 9-16.

•Tom Engsted: Testing for rational inflationary bubbles: The case of Argentina, Brazil and Israel. Applied Economics 25, May 1993, pp. 667-74.

•Tom Engsted: Cointegration and Cagan's model of hyperinflation under rational expectations. Journal of Money, Credit and Banking 25, August 1993, pp. 350-60.

•Tom Engsted and Jan Bentzen: Expectations, adjustment costs, and energy demand. Resource and Energy Economics 15, December 1993, pp. 371-85.

•Tom Engsted and Carsten Tanggaard: Cointegration and the US term structure. Journal of Banking and Finance 18, January 1994, pp. 167-181.

•Tom Engsted: The classic European hyperinflations revisited: Testing the Cagan-model using a cointegrated VAR-approach. Economica 61, August 1994, pp. 331-344.

•Tom Engsted and Carsten Tanggaard: A cointegration analysis of Danish zero-coupon bond yields. Applied Financial Economics 4, August 1994, pp. 265-278.

•Tom Engsted and Niels Haldrup: The linear quadratic adjustment cost model and the demand for labour. Journal of Applied Econometrics 9 (supplement), December 1994, pp. S145-S160.

•Tom Engsted and Niels Haldrup: Testing quadratic adjustment cost models within a cointegrated VAR. In: Katarina Juselius (eds): Econometric Modelling of Long-Run Relations and Common Trends: Theory and Applications, Vol. 4, Part II, pp. 269-95. University of Copenhagen, 1994.

•Tom Engsted: Does the long-term interest rate predict future inflation? A multi-country analysis. Review of Economics and Statistics 77(1), February 1995, pp. 42-56.

•Tom Engsted and Carsten Tanggaard: The predictive power of yield spreads for future interest rates: Evidence from the Danish term structure. Scandinavian Journal of Economics 97(1), March 1995, pp. 145-159.

•Jan Bentzen and Tom Engsted: On the estimation of short and long run elasticities in U.S. petroleum consumption: Comment. Southern Economic Journal 62, January 1996, pp. 783-787.

•Tom Engsted: The monetary model of the exchange rate under hyperinflation: New encouraging evidence. Economics Letters 51, April 1996., pp.37-44.

•Tom Engsted and Jan Bentzen: Common trends in energy consumption in nine OECD countries. OPEC Review, June 1996, pp.149-63.

•Tom Engsted: The predictive power of the money market term structure. International Journal of Forecasting 12, June 1996, pp.289-95.

•Tom Engsted: Non-stationarity and tax-effects in the long-term Fisher hypothesis. Applied Economics 28, July 1996, pp.883-87.

•Jesper Lund and Tom Engsted: GMM and present value tests of the C-CAPM: Evidence from the Danish, German, Swedish, and UK stock markets. Journal of International Money and Finance 15, August 1996, pp.497-521.

•Tom Engsted and Niels Haldrup: Money demand, adjustment costs, and forward-looking behaviour. Journal of Policy Modeling 19, april 1997, pp.153-173.

•Tom Engsted, Jersus Gonzalo, and Niels Haldrup: Testing for multicointegration. Economics Letters 56, November 1997, pp.259-266.

•Tom Engsted and Jesper Lund: Common stochastic trends in international stock prices and dividends: An example of testing overidentifying restrictions on multiple cointegration Vectors. Applied Financial Economics 7, December 1997, pp.659-665.

•Tom Engsted and Jan Bentzen: Dynamic modelling of energy demand. A guided tour through the jungle of unit roots and cointegration. Opec Review 21, December 1997, pp.261-294.

•Tom Engsted: Review of Keith Cuthbertson: Quantitative Financial Economics, Wiley, 1996. Journal of Banking and Finance 22, January 1998, pp.121-124.

•Tom Engsted: Do farmland prices reflect rationally expected future rents? Applied Economics Letters 5, February 1998, pp.75-79.

•Tom Engsted: Money demand during hyperinflation: Cointegration, rational expectations, and the importance of money demand shocks. Journal of Macroeconomics 20, August 1998, pp.533-552.

•Tom Engsted: Evaluating the Consumption-Capital Asset Pricing Model using Hansen-Jagannathan bounds: Evidence from the UK. International Journal of Finance and Economics 3, October 1998, pp.291-302.

•Tom Engsted and Niels Haldrup: Estimating the LQAC model with I(2) variables. Journal of Applied Econometrics 14, March-April 1999, pp.155-170.

•Tom Engsted and Niels Haldrup: Multicointegration in stock-flow models. Oxford Bulletin of Economics and Statistics 61, May 1999, pp.237-254.

•Tom Engsted: Comment (discussion of "Macroeconomic perspectives on stock and bond investments in Denmark since the First World War" by S. Nielsen and O. Risager). In: Andersen, T.M., S.E.H. Nielsen, and O. Risager (eds.): Macroeconomic Perspectives on the Danish Economy, MacMillan Press, June 1999, pp.92-98.

•Tom Engsted and Søren Johansen: Granger's representation theorem and multicointegration. In: Engle, R.F. and H. White (eds.): Cointegration, Causality, and Forecasting. A Festschrift in Honour of Clive W.J. Granger. Oxford University Press, 1999, pp.200-211.

•Tom Engsted and Ken Nyholm: Regime shifts in the Danish term structure of interest rates. Empirical Economics 25, March 2000, pp.1-13.

•Jan Bentzen and Tom Engsted: A revival of the autoregressive distributed lag model in estimating energy demand relationships. Energy 26, January 2001, pp.45-55.

•Tom Engsted and Carsten Tanggaard: The Danish stock and bond markets: Comovement, return predictability and variance decomposition. Journal of Empirical Finance 8, June 2001, pp.243-271.

•Tom Engsted and Carsten Tanggaard: The relation between asset returns and inflation at short and long horizons. Journal of International Financial Markets, Institutions, and Money 12, March 2002, pp. 101-118.

•Tom Engsted: Measures of fit for rational expectations models. Journal of Economic Surveys 16, August 2002, pp.301-355. (Also published in Contributions to Financial Econometrics, edited by M. McAleer and L. Oxley, Blackwell Publishers, 2002).

•Tom Engsted: Measuring noise in the Permanent Income Hypothesis. Journal of Macroeconomics 24, August 2002, pp.353-370.

•Tom Engsted: Misspecification versus bubbles in hyperinflation data: Comment. Journal of International Money and Finance 22, August 2003, pp. 441-451.

•Boriss Siliverstovs, Tom Engsted, and Niels Haldrup: Long-run forecasting in multicointegrated systems. Journal of Forecasting 23, August 2004, pp.315-335

•Tom Engsted and Carsten Tanggaard: The comovement of US and UK stock markets. European Financial Management 10, December 2004, pp.593-607.

•Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard: Denmark (a chapter on the Danish bond market). In: J. Batten, T. Featherston and P. Szilagyi (eds.): "European Fixed Income Markets: An Analysis of the Region's Money, Bond, and Interest Rate Derivatives Markets". John Wiley & Sons, 2004.

•Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard: An empirical study of the term structure of interest rates in Denmark, 1993-2002. In: J. Batten, T. Featherston and P. Szilagyi (eds.): "European Fixed Income Markets: An Analysis of the Region's Money, Bond, and Interest Rate Derivatives Markets". John Wiley & Sons, 2004.

•Klaus Belter, Tom Engsted, and Carsten Tanggaard: A new daily dividend-adjusted index for the Danish stock market, 1985-2002: Construction, statistical properties, and return predictability. Research in International Business and Finance 19, January 2005, pp.53-70.

•Tom Engsted: Explosive bubbles in the US stock market, 1871-2000. Finance Letters 3, February 2005, pp.113-116.

•Tom Engsted: Explosive bubbles in the cointegrated VAR model. Finance Research Letters 3, June 2006, pp.154-162.

•Tom Engsted and Carsten Tanggaard: The comovement of US and German bond markets. International Review of Financial Analysis 16, 2007, pp. 172-182.

•Tom Engsted: Statistical vs. economic significance in economics and econometrics: Further comments on McCloskey and Ziliak. Journal of Economic Methodology 16, December 2009, pp. 393-408.

•Tom Engsted and Stig V. Møller: An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns. International Journal of Finance and Economics 15, April 2010, pp. 213-227.

•Tom Engsted and Thomas Q. Pedersen: The dividend-price ratio does predict dividend growth: International evidence. Journal of Empirical Finance 17, September 2010, pp. 585-605.

•Tom Engsted, Stuart Hyde, and Stig V. Møller: Habit formation, surplus consumption and return predictability: International evidence. Journal of International Money and Finance 29, November 2010, pp. 1237-1255.

•Tom Engsted, Thomas Q. Pedersen, and Carsten Tanggaard: The log-linear return approximation, bubbles, and predictability. Journal of Financial and Quantitative Analysis 47(3), 2012, pp. 643-665.

•Tom Engsted, Thomas Q. Pedersen, and Carsten Tanggaard: Pitfalls in VAR based return decompositions: A clarification. Journal of Banking and Finance 36(5), 2012, pp. 1255-1265.

•Tom Engsted and Bent Nielsen: Testing for rational bubbles in a co-explosive vector autoregression. Econometrics Journal 15(2), 2012, pp. 226-254.

•Tom Engsted and Thomas Q. Pedersen: Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. Journal of Empirical Finance 19(2), 2012, pp. 241-253.

•Tom Engsted and Thomas Q. Pedersen: Bias-correction in vector autoregressive models: A simulation study. Econometrics 2(1), 2014, pp. 45-71.


•Tom Engsted and Thomas Q. Pedersen: Housing market volatility in the OECD area: Evidence from VAR based return decompositions. Journal of Macroeconomics 42, 2014, pp. 91-103.


•Tom Engsted and Thomas Q. Pedersen: Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries. Journal of International Money and Finance 53, 2015, pp.257-275.


•Tom Engsted and Stig V. Møller: Cross-sectional consumption-based asset pricing: A reappraisal. Economics Letters 132, 2015, pp.101-104.


•Tom Engsted: Fama on bubbles. Journal of Economic Surveys 30, 2016, pp.370-376.


•Tom Engsted, Simon J. Hviid, and Thomas Q. Pedersen: Explosive bubbles in house prices: Evidence from the OECD countries. Journal of International Financial Markets, Institutions & Money 40, 2016, pp.14-25.

II. Publications in Danish:

•Tom Engsted og Carsten Tanggaard: Den danske rentestruktur og forventningshypotesen: 1976-1991. Finans/Invest, April 1993, pp. 26-30.

•Tom Engsted og Carsten Tanggaard: Rentestrukturen på det danske pengemarked. Nationaløkonomisk Tidsskrift 133(1), 1995, pp. 87-97.

•Tom Engsted: Internationale tidsskrifter i samfundsvidenskaber - nogle kommentarer. Samfundsøkonomen, Februar 1996, pp. 38-40.

•Tom Engsted og Carsten Tanggaard: Opsparing i Danmark - en anmelselse af to rapporter. Finans/Invest, August 1997, pp.14-16.

•Tom Engsted: Rentestrukturen som ledende indikator. Finans/Invest, September 1997, pp.24-27.

•Tom Engsted og Carsten Tanggaard: Aktiemarkedet på længere sigt: Indikationer på faldende fremtidige kurser. Finans/Invest 6, September 1998, pp.15-19.

•Tom Engsted, Jens Perch Nielsen, og Carsten Tanggaard: Horisontens betydning for den institutionelle opsparing. Finans/Invest 8/98, November 1998, pp.29-34.

•Tom Engsted, Jens Perch Nielsen, og Carsten Tanggaard: Horisontens betydning for den institutionelle opsparing - svar. Finans/Invest 3/99, Maj 1999, pp.16-18.

•Tom Engsted og Carsten Tanggaard: Risiko for langsigtet fald i aktiekurserne - svar og duplik. Finans/Invest 3/99, Maj 1999, pp.24-26 og 28.

•Tom Engsted, Anders Grosen, og Carsten Tanggaard: Kan det anbefales at overvægte aktierne i de unge år? Finans/Invest 4/99, Juni 1999, pp.2-4.

•Jan Bentzen og Tom Engsted: Husholdningssektorens energiforbrug 1960-1996. Nationaløkonomisk Tidsskrift 137, Oktober 1999, pp.150-163.

•Tom Engsted og Carsten Tanggaard: Risikopræmien på danske aktier. Nationaløkonomisk Tidsskrift 137, Oktober 1999, pp.164-177.

•Tom Engsted: Risikopræmien på aktier: en boganmeldelse. Finans/Invest 2/2000, Marts 2000, pp.24-28.

•Tom Engsted: Dow-Jones: 36.000 eller 6.000? Finans/Invest 4/2000, Juni 2000, pp.4-5.

•Tom Engsted: Afkast og risiko ved aktieinvesteringer på kort og langt sigt: Kommentar og Replik. Nationaløkonomisk Tidsskrift 139, December 2001, pp.316-319 og 321-322.

•Tom Engsted: Udviklingen på aktiemarkedet: "Mean-reversion" og den finansielle sektors investeringsråd og -anbefalinger. Finans/Invest 8/2002, December 2002, pp.5-9.

•Tom Engsted: Finansiel økonometri. I: Christensen, M. (red.): Udviklingslinier i Finansiering. Jurist- og Økonomforbundets Forlag, 2005, pp.215-244.

•Tom Engsted: Prisudvikling på aktie- og boligmarkedet: Deja vu. Finans/Invest 5/2005, August 2005, pp.2-4.

•Tom Engsted: Kan afkast forudsiges i et efficient marked? Finans/Invest 6/2006, September 2006, pp.4-8.

•Tom Engsted: Peter Straarup blev skam advaret. Debatindlæg i Politiken, 10 februar 2009.

•Tom Engsted: Spekulative bobler: Kan de identificeres, og hvad skal vi gøre ved dem? Finans/Invest 5/2010, August 2010, pp. 5-16.

•Tom Engsted, Bjarne Graven Larsen, og Michael Møller: Anbefalinger om aktieinvestering. Rapport fra ekspertudvalg under Penge- og Pensionspanelet. Januar 2011.

•Tom Engsted og Michael Møller: Anbefalinger til den 'almindelige forbruger' om aktieinvestering. Finans/Invest 2/2011, marts 2011, pp.5-10.

•Tom Engsted: En pengemaskine for bankerne. Kronik i Weekendavisen (Idéer), 17 juni 2011.

•Tom Engsted: Aktiv vs. passiv forvaltning, held eller dygtighed, og måling af porteføljeforvalteres performance. Finans/Invest 3/2012, pp. 4-11.

•Tom Engsted: Derfor skyder økonomerne forbi. Politiken Analyse, 30 januar 2013.

•Tom Engsted og Carsten Tanggaard: Malurt i bægeret. Børsen, 25 april 2013.

•Tom Engsted: Detailregulering er opskriften på nye kriser. Dagbladet Information, 23 september 2013.

•Morten Balling, Tom Engsted og Carsten Tanggaard: Det finansielle system og krisen. Finans/Invest 4/2013, pp. 2-3, 9.

•Tom Engsted og Johannes Raaballe: Den finansielle krise i Danmark: Diskussion af rapporten fra "Udvalg om årsagerne til finanskrisen". Finans/Invest 8/2013, pp. 4-13.

•Tom Engsted: Nobelprisen i økonomi 2013: Eugene F. Fama, Robert J. Shiller og Lars Peter Hansen. Finans/Invest 8/2013, pp. 26-29.

•Morten Balling, Tom Engsted, Svend Jakobsen, Michael Møller og Carsten Tanggaard: Anders Grosen - redaktør og samfundsdebattør. Finans/Invest 1/2014, pp. 5-9.

•Tom Engsted og Johannes Raaballe: Den finansielle krise i Danmark: Diskussion af rapporten fra Udvalget om årsagerne til finanskrisen: Duplik. Finans/Invest 3/2014, pp. 28-35.


•Tom Engsted og Carsten Tanggaard: Aktiv forvaltning er en dødssejler. (Jyllands-Posten), 29 oktober, 2014.


•Tom Engsted: Bobler. Weekendavisen, 22 maj, 2015.


•Tom Engsted: Forord til "Kom godt i gang med din pension" af Jens Koldbæk. Forlaget Libris, oktober 2015.

•Tom Engsted, Michael Møller og Mogens Steffensen: Supplerende pensionsopsparing. Anbefalinger og gode råd til, hvordan du sammensætter din supplerende pensionsopsparing. Rapport fra ekspertudvalg under Penge- og Pensionspanelet, oktober 2015.


•Tom Engsted og Johannes Raaballe: Gav EU grønt lys til at fusionere to usunde banker? Berlingske Business, 14 december 2015.

•Tom Engsted og Carsten Tanggaard: Morningstar-rapport er fri fantasi., 24 januar 2016.

•Tom Engsted: Bankpakkernes succes er stærkt forskønnet. Politiken, 8 april 2016. 

•Tom Engsted og Carsten Tanggaard: Sådan stopper man højfrekvent handel. Politiken Analyse, 18 marts 2017. 

III. Recent working papers:

•Tom Engsted, Stig V. Møller, and Magnus Sander: Bond return predictability in expansions and recessions. CREATES Research Paper 2013-13, 2013.

•Tom Engsted  and Thomas Q. Pedersen: The predictive power of dividend yields for future inflation: Money illusion or rational causes? CREATES Research Paper 2016-11, 2016.

•Martin M. Andreasen, Tom Engsted, Stig V. Møller, and Magnus Sander: Bond market asymmetries across recessions and expensions: New evidence on risk premia. CREATES Research Paper 2016-26, 2016. 

Awards and honors:

•The Golden Pointer ("Den Gyldne Pegepind"), best teacher of the year awarded by the Econ students at the Department of Economics and Business, Aarhus University, 2014 and 2016.