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Piazzesi Monika

Обновлено: 09-12-2010
Образование специалист: economics [University of Bonn, 1994]
PhD: economics [Stanford University, 2000]
Место работы Graduate School of Business (Chicago GSB) / Professor of finance

Профессиональные интересы:
Asset prices and the macroeconomy; fixed income securities, real estate and equity.

Публикации:
1. “Futures Prices as Risk-Adjusted Forecasts of Monetary Policy” (with Eric Swanson), Journal of Monetary Economics April 2008 (forthcoming)
2. “Asset Prices and Quantities” (with Martin Schneider), Journal of the European Economic Association (forthcoming)
3. “Inflation Illusion, Credit, and Asset Prices” (with Martin Schneider) in John Campbell (ed.) Asset Pricing and Monetary Policy (Forthcoming)
4. “Equilibrium Yield Curves” (with Martin Schneider) in Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, NBER Macroeconomics Annual 2006, Cambridge MA: MIT press p. 389-442.
5. “Housing, Consumption, and Asset Pricing” (with Martin Schneider and Selale Tuzel), Journal of Financial Economics 83, March 2007, pp. 531-569, lead article
6. “Modeling Bond Yields in Finance and Macroeconomics” (with Francis X. Diebold and Glenn Rudebusch) American Economic Review P&P, May 2005, pp. 415-420
7. “What does the Yield Curve tell us about GDP growth?” (with Andrew Ang & Min Wei), Journal of Econometrics 131, Issues 1-2, March-April 2006, pp. 359-403.
8. “Bond risk premia” (with John Cochrane) American Economic Review Volume 95, Issue 1, Mar 2005, pp. 138-160
9. “Bond Yields and the Federal Reserve". Journal of Political Economy Volume 113, Issue 2, Apr 2005, pp. 311-344.
10. “Corporate Earnings and the Equity Premium” (with Francis Longstaff), lead article, Journal of Financial Economics Volume 74, Issue 3, Dec 2004, pp. 401-421.
11. “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, 745-787.
12. “The Fed and interest rates: A high-frequency identification” (with John Cochrane), American Economic Review P&P, May 2002, 92, pp. 90-95


Публикации на портале:
Статьи
  • Monika Piazzesi Bond Risk Premia // American Economic Review. 2005.  Vol. 95. No. 1. P. 138-160. 
Домашняя страница http://faculty.chicagogsb.edu/monika.piazzesi/research/
E-mail piazzesi@uchicago.edu
Телефон 612) 204-5487
Адрес 5807 South Woodlawn Avenue Chicago, IL 60637
Ключевые слова

См. также:
Robert A. Jarrow, David Lando, Stuart M. Turnbull
Review of Financial Studies. 1997.  Vol. 10. No. 2. P. 481-523. 
[Статья]
Pierre-Daniel G. Sarte
Federal Reserve Bank of Richmond Economic. 1998.  Vol. Volume 84/4 . P. 53-72. 
[Статья]
Warren B. Bailey
Canadian Journal of Economics. 1989.  Vol. 22. No. 3. P. 607-618. 
[Статья]
Richard Roll
Journal of Financial Economics. 1977.  Vol. 4. No. 2. P. 129-176. 
[Статья]
John H. Cochrane
Economics Perspectives, Federal Reserve Bank of Chicago. 1999.  Vol. 23. No. 3. P. 36-58. 
[Статья]
Robert Geske, Herbert E. Johnson
Journal of Finance. 1984.  Vol. 39. No. 5. P. 1511-1524. 
[Статья]