Monika Piazzesi

University of Chicago - Booth School of Business

Assistant Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

23

DOWNLOADS
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6,956

CITATIONS
Rank 293

SSRN RANKINGS

Top 293

in Total Papers Citations

1,332

Scholarly Papers (23)

1.

Decomposing the Yield Curve

AFA 2010 Atlanta Meetings Paper
Number of pages: 54 Posted: 26 Jan 2009 Last Revised: 19 Mar 2009
John H. Cochrane and Monika Piazzesi
Hoover Institution and University of Chicago - Booth School of Business
Downloads 1,952 (7,363)
Citation 106

Abstract:

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affine model, term structure

2.
Downloads 1,690 ( 9,365)
Citation 6

What Does the Yield Curve Tell Us About GDP Growth?

AFA 2005 Philadelphia Meetings; Columbia Business School Working Paper
Number of pages: 40 Posted: 23 Jan 2005
Andrew Ang, Monika Piazzesi and Min Wei
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 1,444 (11,809)
Citation 6

Abstract:

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GDP Forecasting; Short Rate; Term Spread; Arbitrage-Free Term Structure Models; Out-of-Sample Forecast

What Does the Yield Curve Tell Us About GDP Growth?

NBER Working Paper No. w10672
Number of pages: 59 Posted: 02 Sep 2004 Last Revised: 31 Aug 2010
Andrew Ang, Monika Piazzesi and Min Wei
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 246 (121,605)
Citation 232

Abstract:

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A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

Number of pages: 44 Posted: 22 Nov 1999
Andrew Ang and Monika Piazzesi
BlackRock, Inc and University of Chicago - Booth School of Business
Downloads 768 (30,409)
Citation 557

Abstract:

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A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

NBER Working Paper No. w8363
Number of pages: 51 Posted: 28 Jun 2001 Last Revised: 20 Aug 2001
Andrew Ang and Monika Piazzesi
BlackRock, Inc and University of Chicago - Booth School of Business
Downloads 260 (114,834)

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4.
Downloads 549 ( 48,333)
Citation 5

No-Arbitrage Taylor Rules

Number of pages: 56 Posted: 21 Nov 2004
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 474 (57,581)
Citation 5

Abstract:

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Affine term structure model, monetary policy, interest rate risk

No-Arbitrage Taylor Rules

NBER Working Paper No. w13448
Number of pages: 51 Posted: 28 Sep 2007 Last Revised: 03 Nov 2010
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 75 (314,869)
Citation 11

Abstract:

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5.
Downloads 487 ( 56,215)
Citation 2

Modeling Bond Yields in Finance and Macroeconomics

PIER Working Paper No. 05-008
Number of pages: 20 Posted: 21 Jan 2005
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Downloads 434 (64,157)

Abstract:

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term structure, yield curve, Nelson-Siegel model, affine equilibrium model

Modeling Bond Yields in Finance and Macroeconomics

NBER Working Paper No. w11089
Number of pages: 20 Posted: 23 Feb 2005
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Downloads 53 (377,967)
Citation 73

Abstract:

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6.

Bond Risk Premia

NBER Working Paper No. w9178
Number of pages: 45 Posted: 15 Sep 2002 Last Revised: 29 Oct 2010
John H. Cochrane and Monika Piazzesi
Hoover Institution and University of Chicago - Booth School of Business
Downloads 253 (118,727)
Citation 223

Abstract:

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Futures Prices as Risk-Adjusted Forecasts of Monetary Policy

Federal Reserve Bank of San Francisco Working Paper No. 2006-23
Number of pages: 40 Posted: 28 Jul 2007
Monika Piazzesi and Eric T. Swanson
University of Chicago - Booth School of Business and University of California, Irvine - Department of Economics
Downloads 158 (184,375)
Citation 72

Abstract:

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monetary policy

Futures Prices as Risk-Adjusted Forecasts of Monetary Policy

NBER Working Paper No. w10547
Number of pages: 32 Posted: 18 Jun 2004
Monika Piazzesi and Eric T. Swanson
University of Chicago - Booth School of Business and University of California, Irvine - Department of Economics
Downloads 67 (335,574)
Citation 43

Abstract:

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8.
Downloads 184 (161,104)
Citation 1

Segmented Housing Search

Number of pages: 55 Posted: 28 Dec 2014 Last Revised: 29 Dec 2014
Monika Piazzesi, Martin Schneider and Johannes Stroebel
University of Chicago - Booth School of Business, Stanford University and New York University (NYU)
Downloads 174 (169,486)

Abstract:

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Search, Housing, Market Segmentation

Segmented Housing Search

NBER Working Paper No. w20823
Number of pages: 88 Posted: 12 Jan 2015
Monika Piazzesi, Martin Schneider and Johannes Stroebel
University of Chicago - Booth School of Business, Stanford University and New York University (NYU)
Downloads 10 (595,277)
Citation 6

Abstract:

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9.

An Econometric Model of the Yield Curve with Macroeconomic Jump Effects

NBER Working Paper No. w8246
Number of pages: 83 Posted: 20 Apr 2001 Last Revised: 21 Oct 2010
Monika Piazzesi
University of Chicago - Booth School of Business
Downloads 85 (289,287)
Citation 14

Abstract:

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10.

Equilibrium Yield Curves

NBER Working Paper No. w12609
Number of pages: 54 Posted: 27 Oct 2006 Last Revised: 14 Mar 2007
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Independent
Downloads 67 (331,527)
Citation 117

Abstract:

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11.

Corporate Earnings and the Equity Premium

NBER Working Paper No. w10054
Number of pages: 30 Posted: 28 Oct 2003
Francis A. Longstaff and Monika Piazzesi
University of California, Los Angeles (UCLA) - Finance Area and University of Chicago - Booth School of Business
Downloads 58 (356,551)
Citation 71

Abstract:

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12.

Bond Positions, Expectations, and the Yield Curve

FRB Atlanta Working Paper No. 2008-2
Number of pages: 49 Posted: 16 Mar 2015
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University
Downloads 54 (368,928)
Citation 13

Abstract:

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expectations, surveys, interest rates, portfolio choice, asset positions, term structure, yield curve

13.

Housing, Consumption, and Asset Pricing

NBER Working Paper No. w12036
Number of pages: 56 Posted: 04 May 2006 Last Revised: 02 Jul 2009
University of Chicago - Booth School of Business, Stanford University, Independent and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 54 (368,928)
Citation 193

Abstract:

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Momentum Traders in the Housing Market: Survey Evidence and a Search Model

NBER Working Paper No. w14669
Number of pages: 20 Posted: 25 Jan 2009 Last Revised: 04 Aug 2010
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University
Downloads 52 (381,277)
Citation 1

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Momentum Traders in the Housing Market: Survey Evidence and a Search Model

Federal Reserve Bank of Minneapolis Staff Paper No. 422
Posted: 29 Jun 2009
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University

Abstract:

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housing boom, inflation, interest rates

15.

Banks' Risk Exposures

NBER Working Paper No. w21334
Number of pages: 48 Posted: 13 Jul 2015
Juliane Begenau, Monika Piazzesi and Martin Schneider
Stanford University - Graduate School of Business, University of Chicago - Booth School of Business and Stanford University
Downloads 45 (398,808)

Abstract:

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16.

Inflation Illusion, Credit, and Asset Pricing

NBER Working Paper No. w12957
Number of pages: 45 Posted: 15 Mar 2007 Last Revised: 23 Apr 2007
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Independent
Downloads 42 (409,667)
Citation 21

Abstract:

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17.

The Fed and Interest Rates: A High-Frequency Identification

NBER Working Paper No. w8839
Number of pages: 17 Posted: 23 Mar 2002 Last Revised: 26 Oct 2010
John H. Cochrane and Monika Piazzesi
Hoover Institution and University of Chicago - Booth School of Business
Downloads 41 (413,328)
Citation 121

Abstract:

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18.
Downloads 33 (445,601)
Citation 2

Housing and Macroeconomics

NBER Working Paper No. w22354
Number of pages: 91 Posted: 20 Jun 2016
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University
Downloads 32 (461,019)

Abstract:

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Housing and Macroeconomics

CEPR Discussion Paper No. DP11519
Number of pages: 93 Posted: 26 Sep 2016
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University
Downloads 1 (671,314)
Citation 14
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19.

Payments, Credit and Asset Prices

BIS Working Paper No. 734
Number of pages: 66 Posted: 16 Jul 2018
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University
Downloads 30 (459,184)
Citation 1

Abstract:

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Payments, monetary policy, liquidity trap, liquidity, asset prices, collateral premium, leverage, leverage costs, convenience yield, banking, scarce reserves, abundant reserves

20.

The Housing Market(S) of San Diego

NBER Working Paper No. w17723
Number of pages: 56 Posted: 06 Jan 2012 Last Revised: 17 Jan 2012
Tim Landvoigt, Monika Piazzesi and Martin Schneider
University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Stanford University
Downloads 27 (473,920)
Citation 60

Abstract:

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21.

Inflation and the Price of Real Assets

Federal Reserve Bank of Minneapolis Staff Report No. 423
Posted: 24 Jun 2009
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University

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Vertical integration, Outsourcing, Labor share, Unions, Capital intensity, Multiple equilibria

22.

Trend and Cycle in Bond Premia

Federal Reserve Bank of Minneapolis Staff Report No. 424
Posted: 18 Jun 2009
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University

Abstract:

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bond premia, asset pricing, risk premia

23.

Bond Yields and the Federal Reserve

Journal of Political Economy, Vol. 113, pp. 311-344, April 2005
Posted: 29 Mar 2005
Monika Piazzesi
University of Chicago - Booth School of Business

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