Lorenzo Bretscher

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 26,708

SSRN RANKINGS

Top 26,708

in Total Papers Downloads

1,845

SSRN CITATIONS
Rank 37,986

SSRN RANKINGS

Top 37,986

in Total Papers Citations

4

CROSSREF CITATIONS

12

Scholarly Papers (8)

1.

Interest Rate Risk Management in Uncertain Times

Number of pages: 58 Posted: 18 Jan 2016 Last Revised: 05 Dec 2017
Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin
London Business School - Department of Finance, Duke University - The Fuqua School of Business and Boston University - Department of Finance & Economics
Downloads 706 (37,376)
Citation 4

Abstract:

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interest rate uncertainty, volatility, risk management, interest rate swaps, financial frictions, corporate investment, leverage, credit risk

2.

Fiscal Policy Driven Bond Risk Premia

Number of pages: 100 Posted: 15 Sep 2016 Last Revised: 10 Apr 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 392 (78,610)
Citation 4

Abstract:

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Bond Risk Premia, Fiscal Policy, Uncertainty

3.

News, Beliefs, and Aggregate Risk

Number of pages: 62 Posted: 14 Dec 2013 Last Revised: 16 Oct 2019
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
London Business School - Department of Finance, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 224 (143,542)
Citation 4

Abstract:

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News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

4.

The Real Response to Uncertainty Shocks: the Risk Premium Channel

Georgia Tech Scheller College of Business Research Paper No. 17-13
Number of pages: 61 Posted: 22 Mar 2017 Last Revised: 16 Oct 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 221 (145,495)
Citation 3

Abstract:

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

5.

Implementing Stochastic Volatility in DSGE Models: A Comment

Georgia Tech Scheller College of Business Research Paper No. 17-40
Number of pages: 22 Posted: 21 Oct 2017 Last Revised: 01 Jul 2018
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 117 (249,576)

Abstract:

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

6.

From Local to Global: Offshoring and Asset Prices

Number of pages: 98 Posted: 10 Nov 2018 Last Revised: 24 Mar 2020
Lorenzo Bretscher
London Business School - Department of Finance
Downloads 99 (280,418)
Citation 1

Abstract:

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Asset Prices, Import Competition, Offshoring

7.

Long-Run Economic Uncertainty

Number of pages: 55 Posted: 14 Oct 2018 Last Revised: 24 Nov 2018
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, London Business School - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 86 (306,634)

Abstract:

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financial uncertainty, policy uncertainty, macro uncertainty, the long run, the real economy

8.

Limits to Arbitrage and Mispricing in TIPS

Posted: 29 Dec 2014
Lorenzo Bretscher
London Business School - Department of Finance

Abstract:

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TIPS, Mispricing, Limits to Arbitrage, Flight-to-Liquidity