Author Page for Pierluigi Balduzzi

Interest Rate Targeting and the Dynamics of Short-Term Rates

Downloads 4,532 ( 2,023)

Citation 2

4

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 4,447 (2,048)

Citation 1

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 54 (411,829)

Abstract:

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: 09 Apr 2010

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 31 (512,662)

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 1,840 ( 9,309)

Citation 18

3

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 1,574 (11,712)

Citation 27

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 - Department of Finance

Downloads 144 (219,859)

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 122 (250,489)

Abstract:

3.

The Central Tendency: A Second Factor in Bond Yields

Downloads 952 ( 25,574)

Citation 5

6

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 831 (30,622)

Citation 5

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 38 (477,380)

Abstract:

The Central Tendency: A Second Factor in Bond Yields

NBER Working Paper No. w6325

Number of pages: 28 Posted: 27 Jun 2000 Last Revised: 04 Apr 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 36 (486,906)

Abstract:

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 25 (548,763)

Abstract:

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 22 (568,988)

Abstract:

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 471 ( 65,409)

Citation 2

4

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 171 (189,967)

Citation 2

Abstract:

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 131 (237,256)

Abstract:

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 109 (272,148)

Abstract:

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 60 (390,977)

Citation 1

Abstract:

5.

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

Downloads 458 ( 67,701)

Citation 8

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 425 (73,417)

Citation 9

Abstract:

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 33 (502,050)

Abstract:

6.

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

AFA 2012 Chicago Meetings Paper

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 437 (71,654)

Citation 10

Abstract:

7.

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

Downloads 407 ( 77,992)

Citation 10

2

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 244 (135,989)

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

Warwick Business School and Boston College - Carroll School of Management

Downloads 163 (198,057)

Citation 7

Abstract:

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 385 (83,175)

Citation 8

Abstract:

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 372 (86,611)

Abstract:

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 349 (93,128)

Citation 68

Abstract:

11.

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

Downloads 260 (128,088)

Citation 20

3

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 181 (180,680)

Citation 10

Abstract:

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 51 (422,818)

Citation 6

Abstract:

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 28 (529,979)

Citation 4

Abstract:

12.

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 252 (132,210)

Abstract:

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 250 (133,304)

Citation 5

Abstract:

14.

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 245 (135,961)

Citation 4

Abstract:

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 228 (145,847)

Abstract:

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 212 (156,294)

Citation 3

Abstract:

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 167 (193,786)

Abstract:

18.

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 73 (347,973)

Citation 34

Abstract:

19.

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 67 (364,575)

Abstract:

20.

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

Downloads 62 (379,394)

Citation 34

2

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 (468,279)

Abstract:

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: 18 Apr 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 22 (568,988)

Abstract:

21.

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

Number of pages: 60 Posted: 15 Apr 2020 Last Revised: 26 May 2020

Alessi Lucia, Pierluigi Balduzzi and Roberto Savona

Joint Research Center of the European Commission, Boston College - Carroll School of Management and University of Brescia

Downloads 48 (426,737)

Abstract:

22.

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 44 (442,110)

Abstract:

23.

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 39 (462,841)

Abstract:

24.

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 34 (485,160)

Citation 5

Abstract:

25.

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 31 (499,741)

Abstract:

26.

"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 31 (499,741)

Citation 1

Abstract:

27.

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 29 (510,187)

Abstract:

28.

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 16 (589,082)

Abstract:

29.

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:

30.

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:

31.

Risk Premia and Variance Bounds

Downloads 0 (721,207)

2

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:

32.

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

Downloads 0 (721,207)

2

'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

Pierluigi Balduzzi

Boston College - Carroll School of Management

Associate Professor of Finance

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Scholarly Papers (32)

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