Monika Piazzesi
Stanford
University
Department
of Economics
579
Serra Mall
Stanford,
CA 94305-6072
(650)
723-9289
CV , Disclosure of
outside activities
Working
papers
“Housing Market(s) in
San Diego” (with Tim Landvoigt and Martin
Schneider), December 2011
“Trend and Cycle in Bond
Premia” (with Martin Schneider), January
2011
“Decomposing
the Yield Curve” (with John Cochrane), March 2008
“Inflation and the
Price of Real Assets” (with Martin Schneider), January 2010
“Monetary Policy Tick-by-Tick” (with Michael
Fleming)
“No Arbitrage
Taylor Rules” (with Andrew Ang)
Published papers
“Interest Rate
Risk in Credit Markets” (with Martin Schneider), American Economic
Review P&P, Volume 100, Issue 2, 2010, pp. 579-584.
“Momentum traders in the
housing market: survey evidence and a search model”
(with Martin Schneider), American Economic Review P&P, Volume 99, Issue 2,
2009, pp. 406-411.
“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.
“Inflation Illusion,
Credit, and Asset Pricing” (with Martin Schneider), in Asset Pricing
and Monetary Policy, John Y. Campbell (ed.), Chicago IL, Chicago University
Press, pp. 147-181. Article in the Region: Masters of Illusion.
“Asset Prices and Asset
Quantities” (with Martin Schneider) Journal of the European Economic
Association 2007, 5, p. 380-389.
“Equilibrium Yield
Curves” (with Martin Schneider), 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, 2005, pp. 415-520, 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 2005, Volume 94, Issue 1, pp. 138-160. The NBER working paper
draft shows that our factor predicts GDP growth 2-3 years from now (Figure 4)
and is positively related to the unemployment rate (Figure 3).
“Bond
Yields and the Federal Reserve”, Journal of Political Economy, Volume 113,
Issue 2, April 2005, pp. 311-344.
Additional results in the earlier 2001 version: “An Econometric Model of
the Yield Curve with Macroeconomic Jump Effects”, NBER Working paper no 8246: theoretical results for deterministic jump
times and state-dependent jump size distributions, linear-quadratic
jump-diffusion model; empirical results with macro news releases that change
the conditional distribution of a future Fed move.
“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 Regression 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.
Program
Report for the NBER Asset Pricing Program, NBER Reporter 2010, Number 2,
July 2010.
Estimating
Rational Expectations Models”, prepared for the
New Palgrave, May 2007.
“Affine Term Structure Models”
in the Handbook of Financial Econometrics, Elsevier, zip-file
with MATLAB programs.
“The Role of Policy Rules
in Inflation Targeting, Commentary”, Federal Reserve Bank of Saint Louis,
2004, Volume 86, Issue 4, pp. 113-15.
The 6-D Bias and the
Equity Premium Puzzle: Comment” in B.S. Bernanke and K. Rogoff,
NBER Macroeconomics Annual 2011, Volume 16, Cambridge and London: MIT Press,
2020, pp. 317-329.
“Note
on exponential-affine stock prices” answers questions raised at the NBER
asset pricing meeting 2002 in Chicago about the functional form result in Mamaysky (2001).
CEPR
Focus Session Overview Slides
Comment slides
Discussion
of Krishnamurthy and Vissing-Jorgensen, Hamilton and
Wu, d’Amico and King at the San Francisco Fed
Conference, February 2011
Discussion
of Brunnermeier and Yannikov June 2010, “A Macroeconomic Model with a Financial Sector”,
Monetary Economics Conference, Bank of Portugal.
Discussion of Jermann and Quadrini, April 2010, Macroeconomic
Effects of Financial Shocks, Conference at the Federal Reserve Bank of
Minneapolis.
EFG 2010 Spring
Meeting Discussion Slides of Favilukis, Ludvigson and van Nieuwerburgh
“The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited
Risk-Sharing in General Equilibrium”
AFA
2010 Atlanta Discussion Slides of Lustig, Koijen, and van Nieuwerburgh
“The Cross Section and Times Series of Stock and Bond Returns”, graphs taken
from the NBER working paper version
of Cochrane and Piazzesi 2005.
EFG 2009 Spring Meeting
Discussion Slides of Glenn Rudebusch and Eric Swanson
“The Bon Premium in a DSGE Model with Long Run Real and Nominal Risks”
EFG 2009 Meeting at
the Summer Institute Discussion Slides of James Kahn “What Drives House
Prices?” Fall Schedule 2010
Stanford Reading group on Financial Markets