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

25

DOWNLOADS
Rank 7,033

SSRN RANKINGS

Top 7,033

in Total Papers Downloads

8,073

SSRN CITATIONS
Rank 412

SSRN RANKINGS

Top 412

in Total Papers Citations

872

CROSSREF CITATIONS

1,426

Scholarly Papers (25)

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 2,521 (6,769)
Citation 131

Abstract:

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affine model, term structure

2.
Downloads 1,750 ( 12,201)
Citation 242

What Does the Yield Curve Tell Us About GDP Growth?

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 System
Downloads 1,470 (15,795)
Citation 22

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: 30 Aug 2021
Andrew Ang, Monika Piazzesi and Min Wei
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve System
Downloads 280 (137,112)
Citation 37

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 797 (38,525)
Citation 122

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 285 (134,651)
Citation 1

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4.
Downloads 572 ( 60,451)
Citation 24

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 485 (73,458)
Citation 22

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: 07 Oct 2021
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 87 (362,752)
Citation 2

Abstract:

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5.
Downloads 509 ( 69,997)
Citation 76

Modeling Bond Yields in Finance and Macroeconomics

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 447 (81,111)

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 Last Revised: 21 Oct 2021
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 62 (440,152)
Citation 11

Abstract:

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6.

Bond Risk Premia

NBER Working Paper No. w9178
Number of pages: 45 Posted: 15 Sep 2002 Last Revised: 01 Aug 2021
John H. Cochrane and Monika Piazzesi
Hoover Institution and University of Chicago - Booth School of Business
Downloads 326 (117,314)
Citation 65

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 170 (220,556)
Citation 27

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 Last Revised: 28 Apr 2021
Monika Piazzesi and Eric T. Swanson
University of Chicago - Booth School of Business and University of California, Irvine - Department of Economics
Downloads 84 (370,873)
Citation 17

Abstract:

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8.
Downloads 214 (179,400)
Citation 20

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) - Leonard N. Stern School of Business
Downloads 194 (196,196)
Citation 2

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 Last Revised: 26 May 2021
Monika Piazzesi, Martin Schneider and Johannes Stroebel
University of Chicago - Booth School of Business, Stanford University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 20 (663,335)
Citation 19

Abstract:

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9.

Banks&Apos; Risk Exposures

NBER Working Paper No. w21334
Number of pages: 48 Posted: 13 Jul 2015 Last Revised: 18 Apr 2021
Juliane Begenau, Monika Piazzesi and Martin Schneider
Stanford University - Graduate School of Business, University of Chicago - Booth School of Business and Stanford University
Downloads 117 (295,735)
Citation 1

Abstract:

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10.

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 90 (352,171)
Citation 3

Abstract:

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11.

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 86 (362,136)
Citation 8

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

12.

Equilibrium Yield Curves

NBER Working Paper No. w12609
Number of pages: 54 Posted: 27 Oct 2006 Last Revised: 16 Jun 2021
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Independent
Downloads 81 (375,486)
Citation 24

Abstract:

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13.

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 73 (398,410)
Citation 11

Abstract:

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

14.

Housing, Consumption, and Asset Pricing

NBER Working Paper No. w12036
Number of pages: 56 Posted: 04 May 2006 Last Revised: 23 May 2021
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 67 (417,244)
Citation 42

Abstract:

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15.

Corporate Earnings and the Equity Premium

NBER Working Paper No. w10054
Number of pages: 30 Posted: 28 Oct 2003 Last Revised: 23 Jun 2021
Francis A. Longstaff and Monika Piazzesi
University of California, Los Angeles (UCLA) - Finance Area and University of Chicago - Booth School of Business
Downloads 63 (430,667)
Citation 12

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: 31 Jan 2021
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University
Downloads 62 (440,152)
Citation 82

Abstract:

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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

17.
Downloads 51 (475,307)
Citation 39

Housing and Macroeconomics

NBER Working Paper No. w22354
Number of pages: 91 Posted: 20 Jun 2016 Last Revised: 01 Aug 2021
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Stanford University
Downloads 50 (487,699)
Citation 4

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 (829,489)
Citation 21
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18.

Inflation Illusion, Credit, and Asset Pricing

NBER Working Paper No. w12957
Number of pages: 45 Posted: 15 Mar 2007 Last Revised: 29 May 2021
Monika Piazzesi and Martin Schneider
University of Chicago - Booth School of Business and Independent
Downloads 50 (479,395)
Citation 1

Abstract:

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19.

The Fed and Interest Rates: A High-Frequency Identification

NBER Working Paper No. w8839
Number of pages: 17 Posted: 23 Mar 2002 Last Revised: 28 Aug 2021
John H. Cochrane and Monika Piazzesi
Hoover Institution and University of Chicago - Booth School of Business
Downloads 49 (483,445)
Citation 54

Abstract:

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20.

The Housing Market(S) of San Diego

NBER Working Paper No. w17723
Number of pages: 56 Posted: 06 Jan 2012 Last Revised: 06 Jun 2021
Tim Landvoigt, Monika Piazzesi and Martin Schneider
University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Stanford University
Downloads 39 (528,615)
Citation 23

Abstract:

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21.
Downloads 11 (709,621)
Citation 1

Inflation and the Price of Real Assets

NBER Working Paper No. w26740
Number of pages: 51 Posted: 11 Feb 2020
Stanford University, University of Chicago - Booth School of Business, Stanford University and Stanford University
Downloads 11 (737,126)
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Inflation and the Price of Real Assets

CEPR Discussion Paper No. DP14390
Number of pages: 53 Posted: 11 Feb 2020
Stanford University, University of Chicago - Booth School of Business, Stanford University and Stanford University
Downloads 0
Citation 1
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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

Abstract:

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

22.
Downloads 6 (749,149)
Citation 10

The Short Rate Disconnect in a Monetary Economy

NBER Working Paper No. w26102
Number of pages: 43 Posted: 02 Aug 2019 Last Revised: 28 Apr 2021
Moritz Lenel, Monika Piazzesi and Martin Schneider
Princeton University - Bendheim Center for Finance, University of Chicago - Booth School of Business and Stanford University
Downloads 5 (788,447)

Abstract:

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The Short Rate Disconnect in a Monetary Economy

CEPR Discussion Paper No. DP13947
Number of pages: 45 Posted: 07 Oct 2019
Moritz Lenel, Monika Piazzesi and Martin Schneider
Princeton University - Bendheim Center for Finance, University of Chicago - Booth School of Business and Stanford University
Downloads 1 (829,489)
Citation 10
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Learning About Housing Cost: Survey Evidence from the German House Price Boom

CEPR Discussion Paper No. DP16223
Number of pages: 80 Posted: 14 Jul 2021
University of Bonn - Faculty of Law & Economics, European Commission-Joint Research Centre, University of Chicago - Booth School of Business and Stanford University
Downloads 0
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Learning About Housing Cost: Survey Evidence from the German House Price Boom

NBER Working Paper No. w28895
Number of pages: 78 Posted: 07 Jun 2021 Last Revised: 20 Jul 2021
University of Bonn - Faculty of Law & Economics, University of Chicago - Booth School of Business, Stanford University and Joint Research Centre, Italy
Downloads 0
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24.

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

25.

Bond Yields and the Federal Reserve

Posted: 29 Mar 2005
Monika Piazzesi
University of Chicago - Booth School of Business

Abstract:

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