Monika Piazzesi

CV (pdf file),

Papers

“No-Arbitrage Taylor Rules” (with Andrew Ang and Sen Dong) updated September 2007, NBER Working paper 13448.

"Futures Prices as Risk-adjusted Forecasts of Monetary Policy" (with Eric Swanson) Journal of Monetary Economics 2008, 55, May issue, pp. 677-691. New York Times 7/11/04

“Asset Prices and Asset Quantities” (with Martin Schneider), Journal of the European Economic Association 2007, 5, p. 380-389.

“Inflation Illusion, Credit, and Asset Pricing’’ (with Martin Schneider), forthcoming in John Y. Campbell (ed.) ”Asset Prices and Monetary Policy”, 2006. Article in the Region: “Masters of Illusion”

“Equilibrium Yield Curves” (with Martin Schneider) and zip-file with MATLAB programs, in Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, NBER Macroeconomics Annual 2006 , published in 2007, Cambridge MA: MIT press p. 389-442.

"Housing, consumption, and asset pricing" (with Martin Schneider and Selale Tuzel), Journal of Financial Economics 83, March 2007 (lead article), pp. 531-569. Economist 4/20/06.

“Modeling Bond Yields in Finance and Macroeconomics” (with Francis X. Diebold and Glenn Rudebusch), American Economic Review P&P Volume 95, Issue 2, May 2005, pp. 415-420. Appendix.

“What does the yield curve tell us about GDP growth?" (with Andrew Ang and Min Wei), Journal of Econometrics 2006, 131, pp. 359-403. Economist 6/2/05. Businessweek 01/09/06. Out of sample forecasts, Dec 2005
"Bond risk premia" (with John Cochrane), Appendix and zip-file with MATLAB programs, American Economic Review Volume 95, Issue 1, March 2005, pp. 138-160. Out of sample forecasts, Feb 2007

"Bond yields and the Federal Reserve", Journal of Political Economy Volume 113, Issue 2, April 2005 pp. 311-344.

Earlier 2001 version: "An econometric model of the yield curve with macroeconomic jump effects", NBER Working paper no 8246.

"Corporate earnings and the equity premium" (with Francis Longstaff), 2004, Journal of Financial Economics Volume 74 (lead article), Issue 3, pp. 401-421.

"A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables" (with Andrew Ang), Journal of Monetary Economics Volume 50, Issue 4, May 2003, pp. 745-787.
"The Fed and Interest Rates: A High-frequency Identification" (with John Cochrane), American Economic Review P&P, May 2002, Volume 92, Issue 2, pp. 90-95. zip-file with MATLAB programs.

“Estimating Rational Expectations Models”, prepared for the New Palgrave, May 2007.

"Affine term structure models" prepared for the Handbook of Financial Econometrics. zip-file with MATLAB programs.
“The Role of Policy Rules in Inflation Targeting, Commentary”, Federal Reserve Bank of St. Louis Review, 2004, Volume 86, Issue 4, pp. 113-15.

“The 6D Bias and the Equity-Premium Puzzle: Comment," B. S. Bernanke and K. Rogoff, NBER macroeconomics annual 2001. Volume 16. Cambridge and London: MIT Press, 2002, pp. 317-29.

"Note on exponential-affine stock prices" answers questions raised at the NBER asset pricing spring conference 2002 in Chicago about the functional form result in Mamaysky (2001).

CEPR Focus Session Overview Slides

Reading group