Monika Piazzesi
Click
here on how to pronounce
my last name
Stanford
University
Department
of Economics
579
Serra Mall
Stanford,
CA 94305-6072
(650)
723 9289
Working
papers
“Payments,
Credit and Asset Prices” (with Martin Schneider), April 2018
“Banks’ Risk
Exposures” (with Juliane Begenau and Martin
Schneider), under revision for Econometrica
“Segmented Housing Search” (with Martin Schneider and Johannes
Stroebel), June 2017, revised
for the American Economic Review.
“Trend and
Cycle in Bond Premia” (with Juliana Salomao and Martin
Schneider), March 2015
“Decomposing the Yield Curve” (with John
Cochrane), March 2008
“Inflation and the Price of Real Assets” (with
Martin Schneider), March 2012
“Monetary Policy Tick-by-Tick” (with Michael
Fleming)
“No Arbitrage Taylor Rules” (with Andrew Ang)
Published papers
“Housing and Macroeconomics” (with Martin Schneider), our chapter for the new Handbook of Macroeconomics edited by John Taylor and Harald Uhlig, July 2016
“The Housing
Market(s) of San Diego” (with Tim Landvoigt and Martin
Schneider), American Economic Review, April 2015, 105(4),
1371-1407. The pdf posted here is the NBER
working paper version which is much easier to read, because we can refer
to the colors in the
Figures.
“Housing assignment with restrictions: theory and evidence from Stanford
campus.” (with Martin Schneider and Tim Landvoigt), AEA
P&P, Volume 104(5), pp. 67-72.
“Remapping
the Flow of Funds” (with Juliane Begenau and Martin Schneider), in “Risk
Topography: Systemic Risk and Macro Modeling” 2014,
Markus K. Brunnermeier and Arvind Krishnamurthy editors, pp. 57-64, University
of Chicago Press.
“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), 2008, 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 working paper 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.
Comment on Giannaioli, Ma and Shleifer “Expectations and Investment”, NBER Macro Annual 2015.
“Should the Monetary Policy Rule Be Different in a Financial Crisis?”, Forthcoming in the Journal of Economic Dynamics and Control.
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 “Yield
Curve Premia by Brooks and Moskowitz, NBER SI 2017.
Discussion of
“Socioeconomic Status and Macroeconomic Expectations” by Das, Kuhnen and
Nagel, NBER SI 2017.
Discussion of “The Mortgage Credit Channel of Monetary Policy” by Dan Greenwald, MFM Conference 2017.
Discussion of Glaeser and Nathanson “An Extrapolative Model of House
Price Dynamics”, NBER Summer Institute 2015.
Discussion of Haddad and Sraer “The Banking View of Bond Risk Premia”,
NBER Summer Institute 2015.
Discussion of Justiniano, Primiceri and Tambalotti “Credit Supply and the
Housing Boom” ECB & Federal Reserve Bank of Atlanta December
2014
Discussion of Campbell, Pflueger and Viceira “Monetary Policy Drivers of
Bond and Equity Risks”, NBER AP Meeting, Summer
Institute 2014
Discussion of Malmendier and Nagel, “Learning from Inflation Experiences”, Spring EFG Meeting 2012
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