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

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

34

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249

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245

Scholarly Papers (34)

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1.

Interest Rate Targeting and the Dynamics of Short-Term Rates

Downloads 4,564 ( 2,840)
Citation 3

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 4,473 (2,918)
Citation 3

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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 56 (502,046)

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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 Last Revised: 31 Mar 2022
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 35 (607,764)

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Interest Rate Targeting and the Dynamics of Short-Term Rates

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

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2.

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

Downloads 1,957 ( 11,571)
Citation 18

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 - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,673 (14,573)
Citation 28

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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 - Department of Finance
Downloads 160 (254,179)

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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 124 (310,814)

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3.

The Central Tendency: A Second Factor in Bond Yields

Downloads 1,004 ( 31,624)
Citation 7

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 873 (37,975)
Citation 7

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The Central Tendency: A Second Factor in Bond Yields

NBER Working Paper No. w6325
Number of pages: 28 Posted: 27 Jun 2000 Last Revised: 15 Apr 2022
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 42 (568,267)

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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 39 (584,575)

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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 27 (660,788)

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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 23 (691,601)

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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

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4.

Asset Pricing Models and Economic Risk Premia: A Decomposition

Downloads 505 ( 78,290)
Citation 2

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 Warwick Business School
Downloads 194 (215,000)
Citation 2

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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 Warwick Business School
Downloads 137 (288,205)

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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
Warwick Business School and Boston College - Carroll School of Management
Downloads 113 (332,380)

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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 Warwick Business School
Downloads 61 (481,747)
Citation 1

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

5.

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

Downloads 477 ( 83,909)
Citation 12

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 438 (91,934)
Citation 9

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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 Last Revised: 16 May 2022
Pierluigi Balduzzi and Jonathan Reuter
Boston College - Carroll School of Management and Boston College - Department of Finance
Downloads 39 (584,575)
Citation 3

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6.

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 Telfer School of Management, University of Ottawa
Downloads 469 (85,630)
Citation 11

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macroeconomic announcements, mimicking portfolios, economic risk premia

7.

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

Downloads 440 ( 92,218)
Citation 14

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 Warwick Business School
Downloads 258 (163,848)

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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
Warwick Business School and Boston College - Carroll School of Management
Downloads 182 (227,465)
Citation 12

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mimicking portfolios, economic risk premia, multi-beta models

8.

Real Exchange Rates and Currency Risk Premia

Number of pages: 125 Posted: 26 May 2014 Last Revised: 15 Dec 2017
Pierluigi Balduzzi and I-Hsuan Ethan Chiang
Boston College - Carroll School of Management and University of North Carolina (UNC) at Charlotte
Downloads 427 (95,510)
Citation 9

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

9.

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 380 (109,241)

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pricing kernel, heterogeneity

10.

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 359 (116,432)
Citation 85

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Social Security, Retirement, 401(k), Portfolio

11.

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

Downloads 278 (152,496)
Citation 24

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, Sapienza University of Rome and Boston College - Department of Economics
Downloads 195 (214,027)
Citation 11

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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, Sapienza University of Rome and Boston College - Department of Economics
Downloads 53 (514,968)
Citation 9

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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, Sapienza University of Rome and Boston College - Department of Economics
Downloads 30 (639,640)
Citation 7

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

12.

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 263 (161,343)
Citation 3

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vector autoregression, vector moving average, covariance decomposition

13.

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 256 (165,777)
Citation 5

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14.

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 University of Cambridge
Downloads 254 (167,060)

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15.

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 240 (176,393)
Citation 1

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cash-in-advance constraint

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 University of New Brunswick - Fredericton
Downloads 229 (184,478)
Citation 2

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

17.

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 Telfer School of Management, University of Ottawa
Downloads 190 (220,062)

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

18.

Populism, Political Risk and the Economy: Lessons from Italy

IZA Discussion Paper No. 12929
Number of pages: 60 Posted: 10 Feb 2020
Pierluigi Balduzzi, Emanuele Brancati, Marco Brianti and Fabio Schiantarelli
Boston College - Carroll School of Management, Sapienza University of Rome, Boston College and Boston College - Department of Economics
Downloads 183 (226,367)
Citation 2

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populism, political risk, policy uncertainty, sovereign debt, fiscal policy, CDS spread

19.

Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-time Macro Fundamentals, and CDS Spreads

Journal of Financial Econometrics
Number of pages: 74 Posted: 15 Apr 2020 Last Revised: 21 Jun 2022
Pierluigi Balduzzi, Roberto Savona and Alessi Lucia
Boston College - Carroll School of Management, University of Brescia - Department of Economics and Management and Joint Research Center of the European Commission
Downloads 173 (238,614)

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macroeconomic fundamentals, CDS spreads, LASSO

20.

The Economic Effects of COVID-19 and Credit Constraints: Evidence from Italian Firms' Expectations and Plans

IZA Discussion Paper No. 13629
Number of pages: 64 Posted: 31 Aug 2020
Pierluigi Balduzzi, Emanuele Brancati, Marco Brianti and Fabio Schiantarelli
Boston College - Carroll School of Management, Sapienza University of Rome, Boston College and Boston College - Department of Economics
Downloads 111 (334,673)

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COVID-19, pandemic, firms' expectations, firms' plans, credit constraints, prices, employment, investment, sales, orders

21.

Greek-based Bond Factors

Number of pages: 51 Posted: 22 Mar 2021 Last Revised: 18 Feb 2022
Pierluigi Balduzzi, Michael Connolly, Michael Connolly and Alan J. Marcus
Boston College - Carroll School of Management, Colgate UniversityBoston College, College of Arts and Sciences, Department of Economics and Boston College - Department of Finance
Downloads 97 (365,930)

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bond Greeks, factor models, duration, convexity

22.

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 93 (375,752)
Citation 35

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23.

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 71 (439,431)

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24.

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

Downloads 66 (456,491)
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 40 (579,150)

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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 Last Revised: 20 May 2022
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 26 (668,337)

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25.

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 43 (551,727)

Abstract:

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26.

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 38 (577,091)
Citation 5

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

27.

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 37 (582,461)

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28.

"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 35 (593,684)
Citation 1

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29.

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 32 (610,860)

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30.

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, University of Cambridge and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 18 (709,311)

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

31.

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:

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401(k) plans

32.

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

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33.

Risk Premia and Variance Bounds

Downloads 0 (892,192)

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.

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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.

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34.

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

Downloads 0 (892,192)

'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

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'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

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