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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

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11,338

CITATIONS
Rank 2,055

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Top 2,055

in Total Papers Citations

273

Scholarly Papers (30)

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1.

Interest Rate Targeting and the Dynamics of Short-Term Rates

Downloads 4,464 ( 1,358)
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 4,387 (1,366)
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 (332,330)
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 (420,196)
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 1,750 ( 6,983)
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 1,526 (8,597)
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 (198,858)
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 (212,438)
Citation 31

Abstract:

3.

The Central Tendency: A Second Factor in Bond Yields

Downloads 935 ( 18,946)
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 (22,416)
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 (380,368)
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 (392,589)
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 (447,812)
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 (465,251)
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 423 ( 55,253)
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 148 (164,732)
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 (197,614)
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 (223,067)
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 (311,749)
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 ( 56,078)
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 (60,035)
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 (425,412)
Citation 2

Abstract:

6.

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

Downloads 368 ( 65,305)
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 (116,812)
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 (160,044)
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 (67,030)
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 (75,969)
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 (102,395)

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 (71,611)
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 (105,880)
Citation 2

Abstract:

12.

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

Downloads 206 (122,248)

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 143 (169,547)

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 (358,326)

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 21 (453,492)

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 (122,808)
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 (142,146)

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 (96,148)

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 (139,979)

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 (285,451)
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 (285,451)

Abstract:

19.

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

Downloads 56 (310,034)
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 (376,548)
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 (465,251)
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 (372,141)

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 (395,631)
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 (413,633)
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 (413,633)
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 (475,228)

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 (438,868)
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 (211,375)

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 (557,846)

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 (557,846)

'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:

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