A Ang… - Journal of Monetary economics, 2003 - Elsevier
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using
a term structure model with inflation and economic growth factors, together with latent ...
JH Cochrane… - 2002 - nber.org
This paper studies time variation in expected excess bond returns. We run regressions of
annual excess returns on forward rates. We find that a single factor predicts 1-year excess
returns on 1-5 year maturity bonds with an R2 up to 43%. The single factor is a tent- ...
A Ang, M Piazzesi… - Journal of Econometrics, 2006 - Elsevier
A lot, including a few things you may not expect. Previous studies find that the term spread
forecasts GDP but these regressions are unconstrained and do not model regressor
endogeneity. We build a dynamic model for GDP growth and yields that completely ...
M Piazzesi, M Schneider… - Journal of Financial Economics, 2007 - Elsevier
This paper considers a consumption-based asset pricing model where housing is explicitly
modeled both as an asset and as a consumption good. Nonseparable preferences describe
households' concern with composition risk, that is, fluctuations in the relative share of ...
M Piazzesi - Journal of Political Economy, 2005 - JSTOR
Bond yields respond to policy decisions by the Federal Reserve and vice versa. To learn
about these responses, I model a high-frequency policy rule based on yield curve
information and an arbitrage-free bond market. In continuous time, the Fed's target is a ...
M Piazzesi - Handbook of financial econometrics, 2003 - 77.221.84.123
The quest for understanding what moves bond yields has produced an enormous literature
with its own journals and graduate courses. Those who want to join the quest are faced with
considerable obstacles. The literature has evolved mostly in continuous time, where ...
A Ang, S Dong… - 2007 - nber.org
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage
pricing techniques. Long-term interest rates are risk-adjusted expected values of future short
rates and thus provide strong over-identifying restrictions about the policy rule used by the ...
M Piazzesi… - 2007 - nber.org
The main theme of this paper is that investors dislike surprise inflation not only because it
lowers the payoff on nominal bonds, but also because it is bad news for future consumption
growth. The fact that nominal bonds pay off little precisely when the outlook on the future ...
FX Diebold, M Piazzesi… - 2005 - nber.org
From a macroeconomic perspective, the short-term interest rate is a policy instrument under
the direct control of the central bank. From a finance perspective, long rates are risk-adjusted
averages of expected future short rates. Thus, as illustrated by much recent research, a ...
M Piazzesi… - Journal of Monetary Economics, 2008 - Elsevier
Many researchers have used federal funds futures rates as measures of financial markets'
expectations of future monetary policy. However, to the extent that federal funds futures
reflect risk premia, these measures require some adjustment. In this paper, we document ...
JH Cochrane… - 2002 - nber.org
We measure monetary policy shocks as changes in the Fed funds target rate that surprise
bond markets in daily data. These shock series avoid the omitted variable, time-varying
parameter, and orthogonalization problem of monthly VARs, and do not impose the ...
M Piazzesi - 2001 - nber.org
This paper develops an arbitrage-free time-series model of yields in continuous time that
incorporates central bank policy. Policy-related events, such as FOMC meetings and
releases of macroeconomic news the Fed cares about, are modeled as jumps. The model ...
JH Cochrane… - Graduate School of Business, …, 2008 - papers.ssrn.com
Abstract: We construct an affine model that incorporates bond risk premia. By understanding
risk premia, we are able to use a lot of information from well-measured risk-neutral dynamics
to characterize real expectations. We use the model to decompose the yield curve into ...
FA Longstaff… - Journal of Financial Economics, 2004 - Elsevier
Corporate cash flows are highly volatile and strongly procyclical. We examine the asset-
pricing implications of the sensitivity of corporate cash flows to economic shocks within a
continuous-time model in which dividends are a stochastic fraction of aggregate ...
M Piazzesi… - 2009 - nber.org
This paper studies household beliefs during the recent US housing boom. The first part
presents evidence from the Michigan Survey of Consumers. To characterize the
heterogeneity in households' views about housing and the economy, we perform a cluster ...
M Piazzesi… - 2009 - bankofcanada.ca
Abstract In the 1970s, US asset markets witnessed (i) a 25% dip in the ratio of aggregate
household wealth relative to GDP and (ii) negative comovement of house and stock prices
that drove a 20% portfolio shift out of equity into real estate. This study uses an ...
M Fleming… - Unpublished manuscript, August, 2005 - cereg.dauphine.fr
Abstract Analysis of high-frequency data shows that Treasury note yields are highly volatile
around FOMC announcements, even though the average effects of fed funds target rate
surprises on such yields are fairly modest. We partially resolve this puzzle by showing that ...
M Piazzesi, M Schneider… - 2009 - foster.washington.edu
Abstract Common statistical measures of bond risk premia are volatile and countercyclical.
This paper uses survey data on interest rate forecasts to construct subjective bond risk
premia. Subjective premia are less volatile and not very cyclical; instead they are high ...
M Piazzesi… - 2008 - nber.org
Modigliani and Cohn (1979) argue that investors who suffer from inflation illusion price
assets as if real payoffs are discounted at the nominal interest rate. They use this idea to
rationalize the stock market slump of the 1970s, which coincided with high inflation and ...
[CITATION] Macroeconomic jump effects and the yield curve
M Piazzesi - 2001 - Working paper, UCLA
M Piazzesi - NBER Macroeconomics Annual, 2001 - stanford.edu
1 Discussion An economy populated by a representative agent with power utility predicts an
equity premium which is far below the realized equity premium in postwar data, at least for
“reasonable parameters” for the endowment process and the coefficient of relative risk ...
M Piazzesi, M Schneider… - 2008 - Citeseer
Abstract This paper implements a structural model of the yield curve with data on nominal
positions and survey forecasts. Bond prices are characterized in terms of investors' current
portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia ...
[CITATION] A linear-quadratic jump-diffusion model with scheduled and unscheduled announcements
M Piazzesi - … of Economics, Stanford University, Stanford, CA), 1999
[CITATION] Monetary policy and macroeconomic variables in a model of the term structure of interest rates
M Piazzesi - Manuscript, Stanford University, 1998
[CITATION] VWhat does the Yield Curve tell us about GDP Growth? V
A Ang, M Piazzesi… - Forthcoming Journal of Econometrics, 2003
T Landvoigt, M Piazzesi… - 2012 - nber.org
This paper uses an assignment model to understand the cross section of house prices within
a metro area. Movers' demand for housing is derived from a lifecycle problem with credit
market frictions. Equilibrium house prices adjust to assign houses that differ by quality to ...
[CITATION] Affine Term Structure Models, forthcoming Handbook of Financial Econometrics
M Piazzesi - 2002
M Piazzesi… - Proceedings, 2004 - ideas.repec.org
Many researchers have used federal funds futures rates as measures of financial markets'
expectations of future monetary policy. However, to the extent that federal funds futures
reflect risk premia, these measures require some adjustment for risk premia. In this paper, ...
M Piazzesi… - Journal of the European Economic …, 2007 - Wiley Online Library
Abstract We propose an organizing framework that determines asset prices by equating
household sector asset demand derived from an economic model to the observed supply of
assets provided by other sectors. We then use a specific model of household asset ...
[CITATION] Essays on monetary policy and asset pricing, unpublished Ph. D
M Piazzesi - 2000 - dissertation, Stanford University
JH Cochrane… - Internet Appendix, 2004 - aeaweb.org
Table A1 reports the point estimates of the unrestricted regression (1) together with standard
errors and test statistics. The coefficient estimates in Table A1 are plotted in the top panel of
Figure 1, and the R2 and some of the statistics from Table A1 are reported in the right side ...
[CITATION] VBond Risk premiums
JH Cochrane… - V American Economic Review, 2005
[CITATION] A no-arbitrage vector autoregression of term
A Ang… - 2003
[CITATION] mA No&Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables, nJournal of Monetary Economics, 50 (4), …
A Ang… - Macroeconomic Dynamics, and the Term Structure of …, 2003
[CITATION] Forthcoming.“Comment on Gabaix and Laibson,'The 6D Bias and the Equity Premium Puzzle.'”
M Piazzesi - NBER Macroeconomics Annual
M Piazzesi - 2000 - amstat.org
In factor models of the term structure, bond yields are taken to be functions of a Markov state
process which are restricted to satisfy no arbitrage conditions. The traditional approach is to
assume that the factors are unobservable and to infer their dynamics from either selected ...
[CITATION] VEquilibrium Yield Curves, V in Daron Acemoglu, Kenneth Rogoff, and Michael Woodford
M Piazzesi… - NBER Macroeconomics Annual, 2006
[CITATION] Reply to Dai, Singleton
JH Cochrane… - 2004 - and Yang, Working paper, University …
M Piazzesi… - 2004 Meeting Papers, 2004 - ideas.repec.org
This paper compares wealth portfolios across countries. The household sector in the US and
Canada owns much more financial wealth, and much less housing wealth, than the
household sector in most of Europe. We address this fact using a calibrated two sector ...
[CITATION] Bond risk premia
M Piazzesi… - NBER Working Paper, 2002
[CITATION] A Linear-quadratic Jump-diffusion Model with Scheduled and Unscheduled Announcements
P Monika - 1999 - Working Paper, The Anderson …
[CITATION] kWhat Does the Yield Curve tell us about GDP Growth? lJournal of Econometrics 131
A Ang, M Piazzesi… - 2006
[CITATION] mInflation and the Price of Real Assets. nUniversity of Chicago
M Piazzesi… - 2006 - mimeo
[CITATION] Bond Positions
M Piazzesi… - Expectations and the Yield Curve, Federal Reserve …, 2008
M Piazzesi - NBER Macroeconomics Annual, 2001 - JSTOR
Duffie, D., and T. Sun. 1990. Transaction costs and portfolio choice in a discrete-
continuous-time setting. Journal of Economic Dynamics and Control 14:35-51. Grossman,
S., and G. Laroque. 1990. Asset pricing and optimal portfolio choice in the presence of ...
[CITATION] Decomposing the Yield Curve
M Piazzesi - 2008
[CITATION] Decomposing the Yield Curve.” faculty. chicagogsb. edu/john. cochrane/research
JH Cochrane… - Papers/interest_rate_revised. pdf, 2008
[CITATION] sBond Risk Premia, t American Eco# nomic Review 95
J Cochrane… - 2005
[CITATION] An Econometric Model of the Yield Curve With Macroeconomic Jump Effects, NBER, Working Paper 8246
M Piazzesi - 2001
[CITATION] Bond yields and the Bundesbank
M Piazzesi - 2002 - Working paper, UCLA
[CITATION] mAffi ne Term Structure Models. nprepared for Handbook of Financial Econometrics
M Piazzesi - 2003 - March
[CITATION] Affine term structure models, Handbook of Financial Econometrics, edited by Yacine Aıt-Sahalia and Lars Peter Hansen
M Piazzesi - 2005 - Elsevier
M Piazzesi… - 2007 - smtp.atl-res.com
Abstract This paper studies the joint dynamics of the term structure of interest rates and US
household holdings of fixed-income securities. It uses an affine term structure model to
describe observed household positions by portfolios with a small number of zero-coupon ...
M Piazzesi… - American Economic Review, 2010 - course.lixin.edu.cn
Abstract Recent events have stimulated interest in the joint behavior of prices and quantities
in credit markets. Data sources such as the Flow of Funds Accounts provide statistics on a
rich set of credit market instruments. The challenge in interpreting these data is that there ...
M Piazzesi, P Kurlat, D Kan, C Jones, A Crockett… - Policy, 2010 - media.hoover.org
Viral Acharya, Finance Professor at NYU Stern, outlined his conclusions on the efficacy of the
Dodd-Frank Act, recently summarized in “Regulating Wall Street: The Dodd-Frank Act and the
New Architecture of Global Finance.” Acharya began by describing the importance of ...
M Piazzesi… - Asset prices and monetary policy, 2008 - books.google.com
Modigliani and Cohn (1979) argue that investors who suffer from inflation illusion price
assets as if real payoffs are discounted at the nominal interest rate. They use this idea to
rationalize the stock market slump of the 1970s, which coincided with high inflation and ...
M Bordo, M Boskin, J Cogan, D Duffie, J Grundfest… - Policy, 2012 - media.hoover.org
The Working Group on Economic Policy met to discuss income distribution in the United
States, as well as income mobility. This included a discussion of facts and data on changes in
the distribution of income by percentiles, potential economic explanations for the changes ...
[CITATION] Bond Risk Premia (Digest Summary)
JH Cochrane… - CFA Digest, 2005 - CFA Institute
EL Klenow, M Piazzesi, M Schneider, K Scott… - Policy, 2010 - media.hoover.org
PARTICIPANTS Leszek Balcerowicz, Ewa Balcerowicz, Michael Boskin, Darrell Duffie, Bob
Hall, Pete Klenow, Ed Lazear, Monika Piazzesi, Martin Schneider, Ken Scott, Maciej
Siekierski, John Taylor, Johannes Stroebel, Mark Hafstead, Tim Landvoigt, Krishna Rao, ...
S Krasner, J Gunn, A Kochar, M Schneider… - Policy, 2009 - media.hoover.org
Rajan then offered his views on the US. In particular, he argued that there was an underlying
problem created by the growing inequality driven by skill-biased technological change. He suggested
that the supply side response to this technological change, in particular from the ...
S Tuzel, A Imrohoroglu… - 2004 Meeting Papers, 2004 - econpapers.repec.org
By Selale Tuzel, Ayse Imrohoroglu and Monika Piazzesi; Abstract: This paper examines
the growth experience of a cross section of US firms, and relates these findings to the. ...
Selale Tuzel, Ayse Imrohoroglu () and Monika Piazzesi (). ...
J Begenau, M Piazzesi… - 2012 - stanford.edu
Abstract This paper studies US banks' exposure to interest rate risk. We exploit the factor
structure in interest rates to represent many bank positions as portfolios in a small number of
bonds. This approach makes exposures comparable across banks and across the ...
M Schneider… - 2007 - deutsche-bundesbank.eu
Abstract This paper studies the effect of household heterogeneity on asset prices in an
overlapping generations model with incomplete markets. The key new feature is that we
focus on a particular trading period and use the Survey of Consumer Finances to directly ...
J Cogan, J Grundfest, S Langlois, R McKinnon… - Policy, 2010 - media.hoover.org
Brian Madigan, former Director of the Division of Monetary Affairs and FOMC Secretary, addressed
the group on the Fed's actions during the financial crisis. He began by reviewing the details of
the programs, in particular focusing on new facilities to lend to banks, and on instances of ...
M Piazzesi - Review, 2004 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Commentary on The role of policy rules in inflation targeting. Monika Piazzesi (). Review, 2004,
issue Jul, pages 113-116. Date: 2004 View list of references Track citations by RSS feed. ...
M Piazzesi - 2003 - research.stlouisfed.org
1 Discussion Taylor rules, or modifications of Taylor rules such as those proposed by
Clarida, Gali and Gertler, provide useful tools to describe the behavior of central banks. A
large literature has estimated these rules and has investigated conditions under which it ...
[CITATION] Corporate Earnings and the Equity Premium (Digest Summary)
FA Longstaff… - CFA Digest, 2005 - CFA Institute
M Piazzesi… - 2007 - bdfbs-ws01.heb3.fr.colt.net
Abstract This paper studies the effect of household heterogeneity on asset prices in an
overlapping generations model with incomplete markets. The key new feature is that we
focus on a particular trading period and use the Survey of Consumer Finances to directly ...
M Piazzesi… - 2011 - papers.ssrn.com
The main theme of this paper is that investors dislike surprise inflation not only because it
lowers the payoff on nominal bonds, but also because it is bad news for future consumption
growth. The fact that nominal bonds pay off little precisely when the outlook on the future ...
[CITATION] Housing, Consumption and Asset Pricing (Digest Summary)
M Piazzesi, M Schneider… - CFA Digest, 2007 - CFA Institute
Y Ait-Sahalia, F Econometrics, R Bansal… - …, 2007 - Wiley Online Library
THE 2007 FAR EASTERN MEETING of the Econometric Society will be held in Taipei,
Taiwan, from July 11 to July 13, 2007. The meeting will be organized by the Institute of
Economics, Academia Sinica. The program will consist of plenary, invited, and contributed ...
M Piazzesi… - 2009 - minneapolisfed.org
ABSTRACT In the 1970s, US asset markets witnessed (i) a 25% dip in the ratio of aggregate
household wealth relative to GDP and (ii) negative comovement of house and stock prices
that drove a 20% portfolio shift out of equity into real estate. This study uses an ...
M Piazzesi - Journal of Finance, 2001 - mendeley.com
Abstract This chapter reportssomerecent successes in the study of affine term structure
models. After explaining the importance of understanding bond yields and the need for cross-
equation restrictions, the paper describes the general technique of pricing bonds in ...
M Piazzesi - 2007 - stanford.edu
Most dynamic models in economics assume that agents form expectations rationally. An
equilibrium of a dynamic model can typically be described by a probability distribution over
sequences of data. The rational expectations assumption says that every agent's ...
M Piazzesi… - 2006 Meeting Papers, 2006 - ideas.repec.org
This paper uses a temporary equilibrium framework to evaluate the impact of expectations
on asset valuation. The model determines asset prices as a function of asset supply as well
as the distribution of household endowments and expectations, which is matched to ...
K Singleton, M Piazzesi, D Diamond,
J Scheinkman… - economics.uchicago.edu
... in financial Markets Kenneth Singleton (stanford University) “Bond Market risk premiums:
accounting for Macroeconomic and liquidity risks” Monika Piazzesi (stanford University) “trend
and cycle in Bond premia” (with Martin Schneider) Douglas Diamond (University of chicago) ...
M Piazzesi… - 2011 - nber.org
This chapter is a preliminary draft unless otherwise noted. It may not have been subjected to
the formal review process of the NBER. This page will be updated as the chapter is revised. ...
This chapter is not currently available on-line. (The paper is new and will be available ...
Y Ait-Sahalia, F Econometrics, R Bansal… - …, 2006 - Wiley Online Library
The Organizing Committee is co-chaired by Christopher J. O'Donnell and Alicia N.
Rambaldi. Submissions will be accepted from 1 December, 2006. Authors must submit full
versions of papers by 9 March, 2007 via the conference website (see below). Each author ...
A Weber, M Boskin, J Cochrane, A Crockett… - Policy, 2011 - media.hoover.org
Weber began by stating the Greek debt crisis is affecting other countries' debt and that this effect
would not stop in Europe. Rather, he argued it will become more costly for many other countries
to issue debt and that we'll see a general re-pricing of sovereign debt worldwide. Further, ...
GK Warsh, J Cogan, J Taylor, M Schneider… - Policy, 2009 - media.hoover.org
Governor Warsh addressed a wide variety of issues, including the current debate on regulating
executive compensation and the outlook on the industrial organization of the financial services
industry. He provided insights into some of the recent proposals regarding a new ...
M PIAZZESI - Nber Macroeconomics Annual 2001, 2002 - books.google.com
318• PIAZZESI mium in postwar data, at least for" reasonable parameters" for the en- dowment
process and the coefficient of relative risk aversion y. This is the equity-premium puzzle stated
by Mehra and Prescott (1985). Simply increasing y (and somehow arguing that this is" ...
J Begenau, M Piazzesi… - 2011 - papers.ssrn.com
Abstract: The financial crisis has highlighted the need for models in which financial
institutions play an important role. These models should describe the trading behavior of
financial institutions and their impact on markets. To develop such models, we need to ...
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