SSRN logo
Public User
Advanced Search

Pierluigi Balduzzi

Boston College - Carroll School of Management

Associate Professor of Finance

Department of Finance

140 Commonwealth Avenue - Fulton Hall 438

Chestnut Hill, MA 02467

United States

http://www.bc.edu/bc_org/avp/csom/faculty/

  • Boston College - Carroll School of Management

    • Email
    • Tel: 617-552-3976
    • Fax: 617-552-0431
SCHOLARLY PAPERS

30

DOWNLOADS
Rank 2,576

SSRN RANKINGS

Top 2,576

in Total Papers Downloads

11,369

CITATIONS
Rank 2,057

SSRN RANKINGS

Top 2,057

in Total Papers Citations

273

Scholarly Papers (30)

Actions:
Email selected abstracts
1.

Interest Rate Targeting and the Dynamics of Short-Term Rates

Downloads 4,466 ( 1,366)
Citation 19

Interest Rate Targeting and the Dynamics of Short-Term Rates

Number of pages: 30 Posted: 01 Feb 1997
Pierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi and Leora F. Klapper
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 4,389 (1,378)
Citation 19

Abstract:

Interest Rate Targeting and the Dynamics of Short-Term Rates

NYU Working Paper No. FIN-94-011
Number of pages: 18 Posted: 11 Nov 2008
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 50 (334,317)
Citation 18

Abstract:

fed funds rates, expectation hypothesis, autocovariance functions

Interest Rate Targeting and the Dynamics of Short-Term Rates

NBER Working Paper No. w5944
Number of pages: 36 Posted: 25 May 2006
Pierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi and Leora F. Klapper
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 27 (422,611)
Citation 19

Abstract:

Interest Rate Targeting and the Dynamics of Short-Term Rates

Journal of Money, Credit and Banking, Vol. 30, No. 1 (1998)
Posted: 22 Mar 1998
Pierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi and Leora F. Klapper
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank

Abstract:

2.

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

Downloads 1,751 ( 7,039)
Citation 32

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

Number of pages: 48 Posted: 15 Mar 1998
Pierluigi Balduzzi, T. Clifton Green and Edwin J. Elton
Boston College - Carroll School of Management, Emory University - Goizueta Business School and New York University (NYU) - Department of Finance
Downloads 1,527 (8,652)
Citation 32

Abstract:

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

NYU Working Paper No. FIN-98-005
Number of pages: 49 Posted: 07 Nov 2008
Pierluigi Balduzzi, Edwin J. Elton and Clifton Green
Boston College - Carroll School of Management, New York University (NYU) - Department of Finance and affiliation not provided to SSRN
Downloads 117 (200,082)
Citation 31

Abstract:

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

NYU Working Paper No. FIN-96-013
Number of pages: 36 Posted: 07 Nov 2008
Pierluigi Balduzzi, Edwin J. Elton and T. Clifton Green
Boston College - Carroll School of Management, New York University (NYU) - Department of Finance and Emory University - Goizueta Business School
Downloads 107 (213,779)
Citation 31

Abstract:

3.

The Central Tendency: A Second Factor in Bond Yields

Downloads 935 ( 19,076)
Citation 53

The Central Tendency: A Second Factor in Bond Yields

Number of pages: 26 Posted: 26 Oct 1995
Silverio Foresi, Pierluigi Balduzzi and Sanjiv Ranjan Das
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Boston College - Carroll School of Management and Santa Clara University - Leavey School of Business
Downloads 825 (22,572)
Citation 53

Abstract:

The Central Tendency: A Second Factor in Bond Yields

NBER Working Paper No. w6325
Number of pages: 28 Posted: 27 Jun 2000
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 36 (382,653)
Citation 53

Abstract:

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-94-009
Number of pages: 14 Posted: 11 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 33 (394,916)
Citation 53

Abstract:

term structure

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-96-012
Number of pages: 29 Posted: 07 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 22 (450,317)
Citation 53

Abstract:

term structure

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-95-007
Number of pages: 23 Posted: 11 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 19 (467,784)
Citation 53

Abstract:

term structure

The Central Tendency: A Second Factor in Bond Yields

Review of Economics and Statistics, Vol. 80, No. 1, 1998
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group

Abstract:

4.

Asset Pricing Models and Economic Risk Premia: A Decomposition

Downloads 424 ( 55,462)
Citation 5

Asset Pricing Models and Economic Risk Premia: A Decomposition

Number of pages: 53 Posted: 14 Feb 2008
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Imperial College Business School
Downloads 149 (164,824)
Citation 5

Abstract:

economic factors, risk premia, pricing kernel, maximum-correlation portfolio

Asset Pricing Models and Economic Risk Premia: A Decomposition

Journal of Empirical Finance, Forthcoming
Number of pages: 43 Posted: 06 Mar 2008 Last Revised: 10 Sep 2009
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Imperial College Business School
Downloads 118 (198,808)
Citation 5

Abstract:

economic factors, risk premia, pricing kernel, maximum-correlation portfolio

Asset-Pricing Models and Economic Risk Premia: A Decomposition

FRB of Atlanta Working Paper No. 2005-13
Number of pages: 55 Posted: 17 Aug 2005
Cesare Robotti and Pierluigi Balduzzi
Imperial College Business School and Boston College - Carroll School of Management
Downloads 100 (224,426)
Citation 5

Abstract:

economic risk premia, non-traded factors, maximum-correlation portfolios

Asset-pricing Models and Economic Risk Premia: A Decomposition

Number of pages: 55 Posted: 14 Apr 2006
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Imperial College Business School
Downloads 57 (313,604)
Citation 5

Abstract:

economic risk premia, non-traded factors, maximum-correlation portfolios

5.

Heterogeneity in Target-Date Funds: Optimal Risk-Taking or Risk Matching?

Downloads 418 ( 56,436)
Citation 2

Heterogeneity in Target-Date Funds: Optimal Risk-Taking or Risk Matching?

Number of pages: 75 Posted: 15 Mar 2012 Last Revised: 06 Jul 2015
Pierluigi Balduzzi and Jonathan Reuter
Boston College - Carroll School of Management and Boston College - Department of Finance
Downloads 392 (60,470)
Citation 1

Abstract:

Default investments, retirement savings, asset allocation, flow-performance, regulation

Heterogeneity in Target-Date Funds: Optimal Risk-Taking or Risk Matching?

NBER Working Paper No. w17886
Number of pages: 76 Posted: 02 Mar 2012
Pierluigi Balduzzi and Jonathan Reuter
Boston College - Carroll School of Management and Boston College - Department of Finance
Downloads 26 (427,909)
Citation 2

Abstract:

6.

Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models

Downloads 368 ( 65,752)
Citation 11

Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 54 Posted: 08 Dec 2007
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Imperial College Business School
Downloads 215 (117,559)
Citation 11

Abstract:

Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-beta Models

FRB of Atlanta Working Paper No. 2005-4
Number of pages: 56 Posted: 15 Jun 2005
Cesare Robotti and Pierluigi Balduzzi
Imperial College Business School and Boston College - Carroll School of Management
Downloads 153 (161,011)
Citation 11

Abstract:

mimicking portfolios, economic risk premia, multi-beta models

7.

Testing Heterogeneous-Agent Models: An Alternative Aggregation Approach

Journal of Monetary Economics, Forthcoming
Number of pages: 54 Posted: 01 Nov 2006
Pierluigi Balduzzi and Tong Yao
Boston College - Carroll School of Management and University of Iowa - Henry B. Tippie College of Business
Downloads 350 (67,467)
Citation 14

Abstract:

pricing kernel, heterogeneity

8.

Portfolio Choice, Trading, and Returns in a Large 401(k) Plan

Center for Retirement Research Working Paper No. 2000-06
Number of pages: 49 Posted: 29 Nov 2000
Pierluigi Balduzzi, Julie R. Agnew and Annika E. Sundén
Boston College - Carroll School of Management, College of William and Mary - Mason School of Business and Stockholm University - Swedish Institute for Social Research (SOFI)
Downloads 321 (76,442)
Citation 19

Abstract:

Social Security, Retirement, 401(k), Portfolio

9.

Asset Values and Policy Changes: The Case of Denmark

Number of pages: 22 Posted: 18 Sep 1996
Silverio Foresi, Pierluigi Balduzzi and Giancarlo Corsetti
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Boston College - Carroll School of Management and European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)
Downloads 241 (103,009)

Abstract:

10.

Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence

AFA 2012 Chicago Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 16 Mar 2011 Last Revised: 10 Jun 2017
Pierluigi Balduzzi and Fabio Moneta
Boston College - Carroll School of Management and Queen's University - Smith School of Business
Downloads 237 (69,955)
Citation 1

Abstract:

macroeconomic announcements, mimicking portfolios, economic risk premia

11.

Parameter Uncertainty and International Investment in a Multi-Period Setting

EFA 2001 Barcelona
Number of pages: 53 Posted: 11 Jul 2001
Pierluigi Balduzzi and Ludan Liu
Boston College - Carroll School of Management and affiliation not provided to SSRN
Downloads 222 (106,592)
Citation 2

Abstract:

12.

Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises

Downloads 210 (120,773)

Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises

Number of pages: 75 Posted: 10 Jan 2014 Last Revised: 07 Jan 2016
Pierluigi Balduzzi, Emanuele Brancati and Fabio Schiantarelli
Boston College - Carroll School of Management, LUISS Guido Carli University and Boston College - Department of Economics
Downloads 146 (167,735)

Abstract:

Financial crisis, sovereign debt crisis, credit default swaps, investment, employment

Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises

IZA Discussion Paper No. 7872
Number of pages: 62 Posted: 11 Jan 2014
Pierluigi Balduzzi, Emanuele Brancati and Fabio Schiantarelli
Boston College - Carroll School of Management, LUISS Guido Carli University and Boston College - Department of Economics
Downloads 42 (360,348)

Abstract:

financial market shocks, banks, credit-default swaps, volatility, investment, employment, lending

Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises

CESifo Working Paper Series No. 5669
Number of pages: 74 Posted: 28 Jan 2016
Pierluigi Balduzzi, Emanuele Brancati and Fabio Schiantarelli
Boston College - Carroll School of Management, LUISS Guido Carli University and Boston College - Department of Economics
Downloads 22 (450,317)

Abstract:

financial crisis, sovereign debt crisis, credit default swaps, investment, employment

13.

Stock Returns, Inflation, and the 'Proxy Hypothesis:' a New Look at the Data

NYU Working Paper No. FIN-94-008
Number of pages: 14 Posted: 11 Nov 2008
Pierluigi Balduzzi
Boston College - Carroll School of Management
Downloads 162 (123,567)
Citation 7

Abstract:

vector autoregression, vector moving average, covariance decomposition

14.

Money and Asset Prices in a Continuous-Time Lucas and Stokey Cash-in-Advance Economy

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 35 Posted: 01 Nov 2006
Pierluigi Balduzzi
Boston College - Carroll School of Management
Downloads 159 (143,046)

Abstract:

cash-in-advance constraint

15.

Real Exchange Rates and Currency Risk Premia

Number of pages: 129 Posted: 26 May 2014 Last Revised: 04 Feb 2017
Pierluigi Balduzzi and I-Hsuan Ethan Chiang
Boston College - Carroll School of Management and University of North Carolina (UNC) at Charlotte
Downloads 137 (95,662)

Abstract:

foreign currency returns, predictability, real exchange rates, variance decomposition, bootstrap

16.

Survey Forecasts and the Time-Varying Second Moments of Stock and Bond Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 93 Posted: 15 Mar 2012 Last Revised: 26 Jul 2016
Pierluigi Balduzzi and Chunhua Lan
Boston College - Carroll School of Management and UNSW Business School
Downloads 121 (140,176)

Abstract:

Campbell-Shiller decomposition, time-varying second moments, stock-bond covariance

17.

Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior

NYU Working Paper No. FIN-98-049
Number of pages: 65 Posted: 11 Nov 2008
Anthony W. Lynch and Pierluigi Balduzzi
New York University (NYU) - Department of Finance and Boston College - Carroll School of Management
Downloads 63 (284,858)
Citation 39

Abstract:

18.

The Reluctant Retirement Trader: Do Asset Returns Overcome Inertia?

Networks Financial Institute: Working Paper Series: 2012-WP-01
Number of pages: 36 Posted: 21 Jun 2012
Julie R. Agnew and Pierluigi Balduzzi
College of William and Mary - Mason School of Business and Boston College - Carroll School of Management
Downloads 60 (287,153)

Abstract:

19.

A Model of Target Changes and the Term Structure of Interest Rates

Downloads 56 (311,928)
Citation 34

A Model of Target Changes and the Term Structure of Interest Rates

NYU Working Paper No. FIN-94-012
Number of pages: 34 Posted: 11 Nov 2008
Pierluigi Balduzzi, Giuseppe Bertola and Foresi Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and affiliation not provided to SSRN
Downloads 37 (378,734)
Citation 34

Abstract:

monetary regimes, expectaions hypothesis, peso problem

A Model of Target Changes and the Term Structure of Interest Rates

NBER Working Paper No. w4347
Number of pages: 38 Posted: 28 Dec 2006
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 19 (467,784)
Citation 34

Abstract:

20.

Money, Transactions, and Portfolio Choice

NYU Working Paper No. FIN-94-007
Number of pages: 16 Posted: 11 Nov 2008
Pierluigi Balduzzi and Silverio Foresi
Boston College - Carroll School of Management and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 34 (374,371)

Abstract:

21.

"Price Barriers" and the Dynamics of Asset Prices in Equilibrium

NYU Working Paper No. FIN-96-011
Number of pages: 27 Posted: 07 Nov 2008
Pierluigi Balduzzi, Silverio Foresi and David J. Hait
Boston College - Carroll School of Management, Goldman Sachs Group, Inc. - Quantitative Strategy Group and OptionMetrics
Downloads 28 (397,925)
Citation 7

Abstract:

22.

Factor Risk Premia and Variance Bounds

NYU Working Paper No. FIN-95-008
Number of pages: 30 Posted: 11 Nov 2008
Pierluigi Balduzzi
Boston College - Carroll School of Management
Downloads 25 (416,042)
Citation 15

Abstract:

23.

Asset Price Dynamics and Infrequent Trades

NYU Working Paper No. FIN-94-013
Number of pages: 24 Posted: 11 Nov 2008
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 24 (416,042)
Citation 8

Abstract:

24.

The Simple Analytics of Assets' Values and Infrequent Policy Changes

NYU Working Paper No. FIN-94-010
Number of pages: 24 Posted: 11 Nov 2008
Pierluigi Balduzzi, Giancarlo Corsetti and Silverio Foresi
Boston College - Carroll School of Management, European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 12 (477,833)

Abstract:

fiscal retrenchments, government spending, policy regime, stock prices, term structure of interst rates, trigger point

25.

Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-Beta Models

FRB Atlanta Working Paper Series No. 2001-24
Number of pages: 45 Posted: 26 Jan 2015
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Imperial College Business School
Downloads 11 (436,213)
Citation 5

Abstract:

minimum-variance kernels, intertemporal capital asset pricing model, economic risk premia

26.

U.S. Treasury Market: The High-Frequency Evidence

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.
Number of pages: 69 Posted: 25 Feb 2016
Pierluigi Balduzzi and Fabio Moneta
Boston College - Carroll School of Management and Queen's University - Smith School of Business
Downloads 0 (201,835)

Abstract:

high-frequency data, economic news, volatility, jumps, high-frequency trading

27.

Transfer Activity in 401(k) Plans

AFA 2003 Washington, DC Meetings
Posted: 26 Nov 2002
Julie R. Agnew and Pierluigi Balduzzi
College of William and Mary - Mason School of Business and Boston College - Carroll School of Management

Abstract:

401(k) plans

28.

Asset Price Dynamics and Infrequent Feedback Trades

J. OF FINANCE, Vol. 50 No. 5, December 1995
Posted: 14 May 1998
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group

Abstract:

29.

Risk Premia and Variance Bounds

Downloads 0 (561,733)

Risk Premia and Variance Bounds

JOURNAL OF FINANCE, VOL. 52, NO. 4, December 1997
Posted: 12 Apr 1998
Pierluigi Balduzzi and Hedi Kallal
Boston College - Carroll School of Management and Salomon Smith Barney, Inc.

Abstract:

Risk Premia and Variance Bounds

Posted: 05 Sep 1996
Pierluigi Balduzzi and Hedi Kallal
Boston College - Carroll School of Management and Salomon Smith Barney, Inc.

Abstract:

30.

'Price Barriers' and the Dynamics of Asset Prices in Equilibrium

Downloads 0 (561,733)

'Price Barriers' and the Dynamics of Asset Prices in Equilibrium

Journal of Financial and Quantitative Analysis, June 1997
Posted: 18 Jun 1997
Pierluigi Balduzzi, Silverio Foresi and David J. Hait
Boston College - Carroll School of Management, Goldman Sachs Group, Inc. - Quantitative Strategy Group and OptionMetrics

Abstract:

'Price Barriers' and the Dynamics of Asset Prices in Equilibrium

Posted: 06 Jun 1995
Pierluigi Balduzzi, Silverio Foresi and David J. Hait
Boston College - Carroll School of Management, Goldman Sachs Group, Inc. - Quantitative Strategy Group and OptionMetrics

Abstract:

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 1.561 seconds

Relx Group logo