Monika Piazzesi
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Stanford
University
Department
of Economics
579
Serra Mall
Stanford,
CA 94305-6072
(650)
723 9289
Working
papers
“Money and Banking in a New Keynesian Model” (with
Ciaran Rogers and Martin Schneider) March 2019
“The Short Rate
Disconnect in a Monetary Economy” (with Moritz Lenel
and Martin
Schneider ) under
revision for Journal of Monetary
Economics March 2019
“Payments, Credit and
Asset Prices” (with Martin Schneider), November 2018
“Banks’ Risk Exposures”
(with Juliane Begenau
and Martin
Schneider), under revision for Econometrica
“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
“Segmented Housing
Search” (with Martin Schneider and Johannes
Stroebel), 2019, Forthcoming
American Economic Review.
“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. Appendix.
“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