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Piazzesi, Monika

Overview
Works: 29 works in 127 publications in 1 language and 880 library holdings
Genres: Rules 
Roles: Thesis advisor
Classifications: HB1, 330.072
Publication Timeline
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Publications about Monika Piazzesi
Publications by Monika Piazzesi
Most widely held works by Monika Piazzesi
Modeling bond yields in finance and macroeconomics by Francis X Diebold( Book )
9 editions published in 2005 in English and held by 81 libraries worldwide
"From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint macro-finance modeling strategy will provide the most comprehensive understanding of the term structure of interest rates. We discuss various questions that arise in this research, and we also present a new examination of the relationship between two prominent dynamic, latent factor models in this literature: the Nelson-Siegel and affne no-arbitrage term structure models"--National Bureau of Economic Research web site
The Fed and interest rates : a high-frequency identification by John H Cochrane( Book )
10 editions published in 2002 in English and held by 71 libraries worldwide
We measure monetary policy shocks as changes in the Fed funds target rate that surprise bond markets in daily data. These shock series avoid the omitted variable, time-varying parameter, and orthogonalization problem of monthly VARs, and do not impose the expectations hypothesis. We find surprisingly large and persistent responses of bond yields to these shocks. 10 year rates rise as much as 8/10 of a percent to a one percent target shock. The usual view that monetary policy only temporarily raises long term rates and influences inflation would lead one to predict a negative long rate response
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables by Andrew Ang( Book )
8 editions published in 2001 in English and held by 71 libraries worldwide
This paper describes the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a term structure model with inflation and economic growth factors, we investigate how macro variables affect bond prices and the dynamics of the yield curve. The setup accommodates higher order autoregressive lags for the macro factors. The macro variables are augmented by traditional unobserved term structure factors. We find that the forecasting performance of a VAR improves when no-arbitrage restrictions are imposed. Models that incorporate macro factors forecast better than traditional term structure models with only unobservable factors. Variance decompositions show that macro factors explain up to 85% of the variation in bond yields. Macro factors primarily explain movements at the short end and middle of the yield curve while unobservable factors still account for most of the movement at the long end of the yield curve
An econometric model of the yield curve with macroeconomic jump effects by Monika Piazzesi( Book )
9 editions published in 2001 in English and held by 71 libraries worldwide
The National Bureau of Economic Research, Inc. presents an abstract of the article entitled "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," by Monika Piazzesi and published April 2001. The article discusses an arbitrage-free time-series model of yields in continuous time that incorporates U.S. central bank policy
Bond risk premia by John H Cochrane( Book )
7 editions published in 2002 in English and held by 71 libraries worldwide
This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on forward rates. We find that a single factor predicts 1-year excess returns on 1-5 year maturity bonds with an R2 up to 43%. The single factor is a tent-shaped linear function of forward rates. The return forecasting factor has a clear business cycle correlation: Expected returns are high in bad times, and low in good times, and the return-forecasting factor forecasts long-run output growth. The return-forecasting factor also forecasts stock returns, suggesting a common time-varying premium for real interest rate risk. The return forecasting factor is poorly related to level, slope, and curvature movements in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models. Though the return-forecasting factor accounts for more than 99% of the time-variation in expected excess bond returns, we find additional, very small factors that forecast equally small differences between long term bond returns, and hence statistically reject a one-factor model for expected returns
Futures prices as risk-adjusted forecasts of monetary policy by Monika Piazzesi( Book )
7 editions published between 2004 and 2006 in English and held by 67 libraries worldwide
"Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment to account for these premia. In this paper, we document that excess returns on federal funds futures have been positive on average and strongly countercyclical. In particular, excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and financial business-cycle indicators such as Treasury yield spreads and corporate bond spreads. Excess returns on eurodollar futures display similar patterns. We document that simply ignoring these risk premia has important consequences for the expected future path of monetary policy. We also show that risk premia matter for some futures-based measures of monetary policy surprises used in the literature"--National Bureau of Economic Research web site
What does the yield curve tell us about GDP growth? by Andrew Ang( Book )
5 editions published in 2004 in English and held by 66 libraries worldwide
"A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The model does not permit arbitrage. Contrary to previous findings, we predict that the short rate has more predictive power than any term spread. We confirm this finding by forecasting GDP out-of-sample. The model also recommends the use of lagged GDP and the longest maturity yield to measure slope. Greater efficiency enables the yield-curve model to produce superior out-of-sample GDP forecasts than unconstrained OLS regressions at all horizons"--NBER website
Corporate earnings and the equity premium by Francis A Longstaff( Book )
7 editions published in 2003 in English and held by 63 libraries worldwide
"Corporate cash flows are highly volatile and strongly procyclical. We examine the asset-pricing implications of the sensitivity of corporate cash flows to economic shocks within a continuous-time model in which dividends are a stochastic fraction of aggregate consumption. We provide closed-form solutions for stock values and show that the equity premium can be represented as the sum of three components which we call the consumption-risk, event-risk, and corporate-risk premia. Calibrating to historical data, we show that the model implies a total equity premium many times larger than in the standard model. The model also generates levels of equity volatility consistent with those experienced in the stock market"--NBER website
Momentum traders in the housing market survey evidence and a search model by Monika Piazzesi( Computer File )
12 editions published in 2009 in English and held by 55 libraries worldwide
This paper studies household beliefs during the recent US housing boom. The first part presents evidence from the Michigan Survey of Consumers. To characterize the heterogeneity in households' views about housing and the economy, we perform a cluster analysis on survey responses at different stages of the boom. The estimation always finds a small cluster of households who believe it is a good time to buy a house because house prices will rise further. The size of this "momentum" cluster doubled towards the end of the boom. The second part of the paper provides a simple search model of the housing market to show how a small number of optimistic investors can have a large effect on prices without buying a large share of the housing stock
Housing, consumption, and asset pricing by Monika Piazzesi( file )
6 editions published between 2005 and 2006 in English and held by 53 libraries worldwide
This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption basket. Since the housing share moves slowly, a concern with composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model predicts that the housing share can be used to forecast excess returns on stocks. We document that this indeed true in the data. The presence of composition risk also implies that the riskless rate is low which further helps the model improve on the standard CCAPM
Equilibrium yield curves by Monika Piazzesi( file )
5 editions published in 2006 in English and held by 51 libraries worldwide
"This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal bonds. We examine a representative agent asset pricing model with recursive utility preferences and exogenous consumption growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad news for consumption growth, the nominal yield curve slopes up. Moreover, the level of nominal interest rates and term spreads are high in times when inflation news are harder to interpret. This is relevant for periods such as the early 1980s, when the joint dynamics of inflation and growth was not well understood"--National Bureau of Economic Research web site
Inflation illusion, credit, and asset pricing by Monika Piazzesi( file )
5 editions published in 2007 in English and held by 45 libraries worldwide
"This paper considers asset pricing in a general equilibrium model in which some, but not all, agents suffer from inflation illusion. Illusionary investors mistake changes in nominal interest rates for changes in real rates, while smart investors understand the Fisher equation. The presence of smart investors ensures that the equilibrium nominal interest rate moves with expected inflation. The model also predicts a nonmonotonic relationship between the price-to-rent ratio on housing and nominal interest rates -- housing booms occur both when the nominal rate is especially low and when it is especially high. In either situation, disagreement about real interest rates between smart and illusionary investors stimulates borrowing and lending and drives up the price of collateral. The resulting housing boom is stronger if credit markets are more developed. We document that many countries experienced a housing boom in the high-inflation 1970s and a second, stronger, boom in the low-inflation 2000s"--National Bureau of Economic Research web site
No-arbitrage Taylor rules by Andrew Ang( file )
5 editions published in 2007 in English and held by 42 libraries worldwide
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The no-arbitrage framework also accommodates backward-looking and forward-looking Taylor rules. We find that inflation and output gap account for over half of the variation of time-varying excess bond returns and most of the movements in the term spread. Taylor rules estimated with no-arbitrage restrictions differ from Taylor rules estimated by OLS, and the resulting monetary policy shocks are somewhat less volatile than their OLS counterparts
The housing market(s) of San Diego by Tim Landvoigt( file )
11 editions published in 2012 in English and held by 33 libraries worldwide
This paper uses an assignment model to understand the cross section of house prices within a metro area. Movers' demand for housing is derived from a lifecycle problem with credit market frictions. Equilibrium house prices adjust to assign houses that differ by quality to movers who differ by age, income and wealth. To quantify the model, we measure distributions of house prices, house qualities and mover characteristics from micro data on San Diego County during the 2000s boom. The main result is that cheaper credit for poor households was a major driver of prices, especially at the low end of the market
Trend and cycle in bond premia by Monika Piazzesi( Book )
4 editions published in 2009 in English and held by 14 libraries worldwide
Inflation and the price of real assets by Monika Piazzesi( Book )
4 editions published in 2009 in English and held by 11 libraries worldwide
Bond positions, expectations, and the yield curve by Monika Piazzesi( Computer File )
1 edition published in 2008 in English and held by 2 libraries worldwide
"This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an econometrician vary because of changes in investors' subjective risk premia that are identified from portfolios and subjective beliefs but also because subjective beliefs differ from those of the econometrician. The main result is that investors' systematic forecast errors are an important source of business cycle variation in measured risk premia. By contrast, subjective risk premia move less and more slowly over time"--Federal Reserve Bank of Atlanta web site
Asset pricing by Monika Piazzesi( Archival Material )
1 edition published in 2010 in English and held by 2 libraries worldwide
Inflation and the price of real assets by Monika Piazzesi( Computer File )
1 edition published in 2009 in English and held by 1 library worldwide
Comments on Piazzesi and Schneider's "Bond positions, expectations, and the yield curveʺ ( Computer File )
1 edition published in 2008 in English and held by 1 library worldwide
 
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Alternative Names
Piazzesi, M.
Languages
English (118)
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