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/

SCHOLARLY PAPERS

34

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343

CROSSREF CITATIONS

244

Scholarly Papers (34)

Interest Rate Targeting and the Dynamics of Short-Term Rates

Number of pages: 30 Posted: 01 Feb 1997
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 4,502 (3,401)
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 68 (535,026)

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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: 30 Sep 2022
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 48 (635,375)

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Interest Rate Targeting and the Dynamics of Short-Term Rates

Posted: 22 Mar 1998
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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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 1,718 (16,216)
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 174 (273,959)

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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 136 (336,438)

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Downloads 1,073 (33,283)
Citation 8

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 897 (42,132)
Citation 8

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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 Oct 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 54 (602,013)

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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 51 (618,458)

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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 37 (704,995)

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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 34 (726,342)

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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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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 213 (227,965)
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 150 (310,884)

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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 126 (356,787)

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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 75 (506,294)
Citation 1

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

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 450 (102,644)
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: 17 May 2023
Pierluigi Balduzzi and Jonathan Reuter
Boston College - Carroll School of Management and Boston College - Department of Finance
Downloads 48 (635,375)
Citation 3

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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 489 (93,853)
Citation 11

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macroeconomic announcements, mimicking portfolios, economic risk premia

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 281 (173,322)

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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 197 (245,119)
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 445 (105,024)
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 391 (122,084)

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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 376 (127,623)
Citation 85

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Social Security, Retirement, 401(k), Portfolio

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 217 (224,055)
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 71 (522,473)
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 47 (641,203)
Citation 16

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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 278 (176,247)
Citation 4

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vector autoregression, vector moving average, covariance decomposition

13.

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 269 (182,195)

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14.

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 266 (184,242)
Citation 5

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Populism, Political Risk and the Economy: Lessons from Italy

IZA Discussion Paper No. 12929
Number of pages: 60 Posted: 10 Feb 2020
Boston College - Carroll School of Management, Sapienza University of Rome, Boston College and Boston College - Department of Economics
Downloads 253 (193,692)
Citation 6

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

16.

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 250 (195,972)
Citation 1

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cash-in-advance constraint

17.

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 247 (198,355)

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

18.

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 216 (225,634)

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macroeconomic fundamentals, CDS spreads, LASSO

19.

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 211 (230,624)

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

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
Boston College - Carroll School of Management, Sapienza University of Rome, Boston College and Boston College - Department of Economics
Downloads 166 (285,204)

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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 and Alan J. Marcus
Boston College - Carroll School of Management, Colgate University and Boston College - Department of Finance
Downloads 150 (310,428)

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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 108 (397,379)
Citation 35

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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 55 (596,832)

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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: 19 Nov 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 38 (698,136)

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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 83 (471,795)

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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 53 (595,918)
Citation 5

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

26.

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 50 (611,649)

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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 49 (616,791)

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"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 48 (622,197)
Citation 1

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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 42 (656,038)

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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 31 (727,457)

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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

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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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Downloads 0 (981,418)

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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'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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