Luca Benzoni

Federal Reserve Bank of Chicago - Research Department

230 South LaSalle Street

Chicago, IL 60604

United States

http://lbenzoni.frbchi.googlepages.com/

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 5,219

SSRN RANKINGS

Top 5,219

in Total Papers Downloads

11,506

SSRN CITATIONS
Rank 2,816

SSRN RANKINGS

Top 2,816

in Total Papers Citations

210

CROSSREF CITATIONS

260

Scholarly Papers (27)

1.

Realized Volatility

FRB of Chicago Working Paper No. 2008-14
Number of pages: 29 Posted: 12 Feb 2008 Last Revised: 05 Dec 2008
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 2,186 (9,739)
Citation 9

Abstract:

Loading...

Realized Volatility, Stochastic Volatility, Quadratic Variation, Bipower Variation, Variance Swap, Impled Volatility

2.
Downloads 1,327 ( 21,300)
Citation 5

Stochastic Volatility

Number of pages: 55 Posted: 21 Dec 2007 Last Revised: 16 Jul 2010
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 1,075 (28,587)
Citation 1

Abstract:

Loading...

Stochastic Volatility, Realized Volatility, Impled Volatility, Options, Smirk, Smile, Term Structure of Interest Rates, Affine Models

Stochastic Volatility

CREATES Research Paper No. 2010-10
Number of pages: 57 Posted: 28 Feb 2010
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 252 (169,590)
Citation 4

Abstract:

Loading...

Stochastic Volatility, Realized Volatility, Implied Volatility, Options, Volatility Smirk, Volatility Smile, Dynamic Term Structure Models, Affine Models

3.

Portfolio Choice Over the Life-Cycle when the Stock and Labor Markets are Cointegrated

FRB of Chicago Working Paper No. 2007-11
Number of pages: 52 Posted: 16 Jan 2006
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,065 (29,407)
Citation 101

Abstract:

Loading...

Human Capital, Risky Labor Income, Limited Stock Market Participation, Portfolio Choice, Life Cycle

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Number of pages: 61 Posted: 15 Mar 2006 Last Revised: 25 Jun 2008
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 710 (50,736)
Citation 2

Abstract:

Loading...

Interest Rate Volatility, Hedging, Volatility Risk, Unspanned Stochastic Volatility, Affine Models, Term Structure Models

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

NBER Working Paper No. w12962
Number of pages: 59 Posted: 15 Mar 2007 Last Revised: 03 Jun 2022
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 39 (590,667)
Citation 4

Abstract:

Loading...

Why Does the Yield-Curve Slope Predict Recessions?

Number of pages: 17 Posted: 15 Nov 2018 Last Revised: 14 Dec 2018
Luca Benzoni, Olena Chyruk and David Kelley
Federal Reserve Bank of Chicago - Research Department, Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 496 (80,261)

Abstract:

Loading...

yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path

Why Does the Yield-Curve Slope Predict Recessions?

FRB of Chicago Working Paper No. WP-2018-15
Number of pages: 18 Posted: 10 Dec 2018 Last Revised: 29 Apr 2020
Luca Benzoni, Olena Chyruk and David Kelley
Federal Reserve Bank of Chicago - Research Department, Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 170 (243,960)

Abstract:

Loading...

Interest rates, yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path

6.

Can Standard Preferences Explain the Prices of Out-of-The-Money S&P 500 Put Options?

Number of pages: 43 Posted: 11 Aug 2005
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 607 (62,950)

Abstract:

Loading...

Volatility smile, volatility smirk, implied volatility, option pricing, portfolio insurance, market risk

7.

Conflict of Interest or Certification? Evidence from IPOs Underwritten by the Firm's Relationship Bank

FRB of Chicago Working Paper No. 2007-09
Number of pages: 37 Posted: 15 Oct 2004 Last Revised: 03 Jun 2009
Luca Benzoni and Carola Schenone
Federal Reserve Bank of Chicago - Research Department and University of Virginia - McIntire School
Downloads 535 (73,820)
Citation 2

Abstract:

Loading...

Conflicts of interest, lending relationships, IPOs, Glass Steagall Act

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Number of pages: 51 Posted: 23 Jan 2005
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 390 (106,439)

Abstract:

Loading...

Labor Income Risk, Optimal Portfolio Choice, Limited Stock Market Participation, Human Capital

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

NBER Working Paper No. w11247
Number of pages: 51 Posted: 18 May 2005 Last Revised: 27 Mar 2022
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 60 (490,716)

Abstract:

Loading...

9.

Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework

Number of pages: 47 Posted: 05 Feb 2007 Last Revised: 01 Jul 2011
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 437 (94,050)
Citation 11

Abstract:

Loading...

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk, Individual Stock Options

10.

Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates

Number of pages: 50 Posted: 29 May 2011 Last Revised: 23 Dec 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 433 (95,121)
Citation 11

Abstract:

Loading...

term structure of interest rates, real rates, inflation, inflation risk premium, real rate risk premium

Modeling Credit Contagion via the Updating of Fragile Beliefs

Number of pages: 65 Posted: 05 Mar 2012 Last Revised: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 321 (132,148)
Citation 8

Abstract:

Loading...

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

Modeling Credit Contagion Via the Updating of Fragile Beliefs

Netspar Discussion Paper No. 12/2011-123 - revised version February 2014
Number of pages: 54 Posted: 24 Nov 2012 Last Revised: 13 Jan 2016
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 93 (382,865)
Citation 17

Abstract:

Loading...

12.

Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

Number of pages: 49 Posted: 27 Jan 2010 Last Revised: 01 Jul 2011
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 411 (100,981)
Citation 50

Abstract:

Loading...

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk

13.

Debt Dynamics with Fixed Issuance Costs

Number of pages: 76 Posted: 25 Sep 2019 Last Revised: 15 Jul 2022
Federal Reserve Bank of Chicago - Research Department, University of British Columbia (UBC) - Sauder School of Business, University of Minnesota - Twin Cities - Carlson School of Management and Chinese University of Hong Kong
Downloads 400 (104,222)
Citation 6

Abstract:

Loading...

Capital structure; Debt dynamics; Commitment; Issuance costs; Debt maturity

Investing over the Life Cycle with Long-Run Labor Income Risk

Number of pages: 28 Posted: 24 Jul 2008 Last Revised: 14 Jun 2009
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 261 (163,761)
Citation 6

Abstract:

Loading...

Human Capital, Labor Income Risk, Long-Run Risk, Limited Stock Market Participation, Portfolio Choice, Life Cycle

Investing Over the Life Cycle with Long-Run Labor Income Risk

Economic Perspectives, Vol. 33, No. 3, 2009
Number of pages: 15 Posted: 15 Oct 2009
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 95 (377,616)

Abstract:

Loading...

Monetary Policy, Inflation Outlook, and Recession Probabilities

FEDS Notes No. 2022-07-12
Posted: 21 Jul 2022
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Independent, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

Monetary Policy, Inflation Outlook, and Recession Probabilities

Number of pages: 18 Posted: 22 Jul 2022
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 190 (223,483)

Abstract:

Loading...

yield-curve slope, recession forecasts, near-term forward spread, monetary policy, bond risk premia, policy path

Monetary Policy, Inflation Outlook, and Recession Probabilities

FRB of Chicago Working Paper No. 2022-31
Number of pages: 19 Posted: 13 Jul 2022
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 23 (699,615)

Abstract:

Loading...

yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path, inflation forecasts, near-term forward spread

Monetary Policy, Inflation Outlook, and Recession Probabilities

Economic Perspectives, No. 4, 2022
Number of pages: 14 Posted: 03 Aug 2022
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 16 (760,571)

Abstract:

Loading...

yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path, inflation forecasts, near-term forward spread, Asset Markets and Pricing, Equities, Fixed Income Securities, Business Fluctuations, Cycles, Prices

Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads

Number of pages: 65 Posted: 25 Sep 2019 Last Revised: 28 Sep 2020
Federal Reserve Bank of Chicago - Research Department, University of British Columbia (UBC) - Sauder School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 168 (247,582)

Abstract:

Loading...

Bond pricing; Credit spreads; Jumps to Default

Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads

FRB of Chicago Working Paper No. WP-2019-8
Number of pages: 62 Posted: 27 Nov 2019 Last Revised: 17 Mar 2022
Federal Reserve Bank of Chicago - Research Department, University of British Columbia (UBC) - Sauder School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 53 (520,270)

Abstract:

Loading...

Credit spreads, Capital structure, Corporate Default, Debt, Jumps to Default, Investments

17.
Downloads 215 (197,928)
Citation 8

The Value and Risk of Human Capital

FRB of Chicago Working Paper No. WP-2015-6
Number of pages: 34 Posted: 20 Aug 2015 Last Revised: 27 Oct 2015
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 215 (197,688)
Citation 8

Abstract:

Loading...

human capital, labor income, employment

The Value and Risk of Human Capital

Annual Review of Financial Economics, Vol. 7, pp. 179-200, 2015
Posted: 11 Dec 2015
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago

Abstract:

Loading...

18.
Downloads 147 (274,621)
Citation 2

No-Arbitrage Restrictions and the U.S. Treasury Market

Economic Perspectives, Forthcoming
Number of pages: 20 Posted: 08 May 2012 Last Revised: 02 Jun 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 84 (407,909)

Abstract:

Loading...

No-arbitrage restrictions, U.S. Treasury market, dynamic term structure models, affine models, limits to arbitrage

No-Arbitrage Restrictions and the U.S. Treasury Market

Economic Perspectives, Vol. XXXVI, No. 2, p. 55, 2012
Number of pages: 20 Posted: 17 Jul 2012 Last Revised: 20 Jul 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 63 (478,694)

Abstract:

Loading...

no-arbitrage restrictions, U.S. Treasury market, dynamic term structure models, affine models, limits to arbitrage, Asset Pricing, Trading volume, Bond Interest Rates, Interest Rates: Determination, Term Structure, and Effects, Banks, Other Depository Institutions, Micro Finance Institutions

19.

Conflict of Interest and Certification in the U.S. IPO Market

Journal of Financial Intermediation, Forthcoming
Number of pages: 33 Posted: 25 Aug 2009
Luca Benzoni and Carola Schenone
Federal Reserve Bank of Chicago - Research Department and University of Virginia - McIntire School
Downloads 135 (293,460)
Citation 2

Abstract:

Loading...

Glass-Steagall Act, IPOs, Certification, Conflict of Interest, Lending Relationships

An Empirical Investigation of Continuous-Time Equity Return Models

NBER Working Paper No. w8510
Number of pages: 48 Posted: 29 Sep 2001 Last Revised: 06 Apr 2022
Torben G. Andersen, Luca Benzoni and Jesper Lund
Northwestern University - Kellogg School of Management, Federal Reserve Bank of Chicago - Research Department and Copenhagen Business School - Department of Finance
Downloads 135 (294,601)
Citation 18

Abstract:

Loading...

An Empirical Investigation of Continuous-Time Equity Return Models

Posted: 12 Nov 2002
Torben G. Andersen, Luca Benzoni and Jesper Lund
Northwestern University - Kellogg School of Management, Federal Reserve Bank of Chicago - Research Department and Copenhagen Business School - Department of Finance

Abstract:

Loading...

The Interplay between Financial Conditions and Monetary Policy Shocks

FRB of Chicago Working Paper No. WP-2016-11
Number of pages: 51 Posted: 25 Oct 2016
Marco Bassetto, Luca Benzoni and Trevor Serrao
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 57 (502,934)
Citation 1

Abstract:

Loading...

Excess bond premium, financial conditions, monetary policy, zero lower bound

The Interplay between Financial Conditions and Monetary Policy Shocks

Number of pages: 37 Posted: 17 Oct 2016
Marco Bassetto, Luca Benzoni and Trevor Serrao
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 33 (626,784)
Citation 2

Abstract:

Loading...

excess bond premium, financial conditions, monetary policy shocks, zero lower bound

22.

Human Capital and Long-Run Labor Income Risk

Number of pages: 24 Posted: 30 Nov 2013
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 67 (457,691)
Citation 2

Abstract:

Loading...

human capital, labor income risk, portfolio choice, life cycle

Estimating the Tax and Credit-Event Risk Components of Credit Spreads

FRB of Chicago Working Paper No. WP-2017-17
Number of pages: 58 Posted: 08 Nov 2017 Last Revised: 14 Nov 2017
Luca Benzoni and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 35 (614,179)

Abstract:

Loading...

Credit risk, investment grade (IG), tax liability, liquidity risk

24.

Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates -- Online Appendix

Number of pages: 21 Posted: 23 Dec 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 65 (464,707)
Citation 6

Abstract:

Loading...

term structure of interest rates, real rates, inflation, inflation risk premium

25.

Can Standard Preferences Explain the Prices of Out of the Money S&P 500 Put Options

NBER Working Paper No. w11861
Number of pages: 43 Posted: 19 Jan 2006 Last Revised: 30 May 2022
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 59 (487,367)

Abstract:

Loading...

26.

Modeling Credit Contagion Via the Updating of Fragile Beliefs -- Online Appendix

Number of pages: 33 Posted: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 54 (507,397)
Citation 1

Abstract:

Loading...

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

27.

Sources of Fluctuations in Short-Term Yields and Recession Probabilities

Number of pages: 12 Posted: 09 Aug 2022
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 18 (735,038)

Abstract:

Loading...

yield‐curve slope, recession forecasts, monetary policy, bond risk premia, policy path, inflation forecasts, near‐term forward spread