Seth Pruitt

Arizona State University (ASU) - Finance Department

Assistant Professor

W. P. Carey School of Business

PO Box 873906

Tempe, AZ 85287-3906

United States

SCHOLARLY PAPERS

15

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CITATIONS
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34

Scholarly Papers (15)

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 2,314 (4,345)
Citation 2

Abstract:

systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns

Systemic Risk and the Macroeconomy: An Empirical Evaluation

NBER Working Paper No. w20963
Number of pages: 64 Posted: 23 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 16 (490,749)
Citation 2
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Abstract:

2.

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-19
Number of pages: 61 Posted: 22 Jun 2011 Last Revised: 22 Jul 2014
Bryan T. Kelly and Seth Pruitt
University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 1,718 (5,303)
Citation 6

Abstract:

forecast, many predictors, factor model, Kalman filter, constrained least squares, principal components, partial least squares

3.

Market Expectations in the Cross Section of Present Values

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, Fama-Miller Working Paper , AFA 2013 San Diego Meetings Paper
Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012
Bryan T. Kelly and Seth Pruitt
University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 1,538 (7,602)
Citation 12

Abstract:

4.

The Liquidity Effects of Official Bond Market Intervention

FRB International Finance Discussion Paper No. 1138
Number of pages: 51 Posted: 08 Sep 2012 Last Revised: 06 May 2016
Board of Governors of the Federal Reserve System, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 391 (62,238)

Abstract:

Securities Markets Programme, European Central Bank, bond, liquidity risk, search and matching

5.

The Pseudo-Information Filter

Number of pages: 10 Posted: 08 Jun 2012
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 76 (217,217)

Abstract:

Moore-Penrose pseudo-inverse, information filter, Kalman filter, high dimensional, pseudo-information filter

6.

Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero

CAMA Working Paper Series Paper 53/2013
Number of pages: 28 Posted: 21 Aug 2013 Last Revised: 02 Oct 2016
Jinill Kim and Seth Pruitt
Korea University and Arizona State University (ASU) - Finance Department
Downloads 40 (203,417)

Abstract:

monetary policy, policy rule, survey data, market perceptions, censoring, zero lower bound, Blue Chip survey

7.

Uncertainty Over Models and Data: The Rise and Fall of American Inflation

FRB International Finance Discussion Paper No. 962
Number of pages: 43 Posted: 27 Jan 2009
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 35 (354,975)

Abstract:

Data uncertainty, data revisions, real time data, optimal control, parameter uncertainty, learning, extended kalman filter, Markov-chain monte carlo

The Demand for Youth: Implications for the Hours Volatility Puzzle

FRB International Finance Discussion Paper No. 964
Number of pages: 44 Posted: 06 Feb 2009
Seth Pruitt, Nir Jaimovich and Henry Siu
Arizona State University (ASU) - Finance Department, Duke University and University of British Columbia (UBC) - Department of Economics
Downloads 19 (473,378)

Abstract:

Business cycle, demographics, capital-experience complementarity, labor demand

The Demand for Youth: Implications for the Hours Volatility Puzzle

NBER Working Paper No. w14697
Number of pages: 41 Posted: 31 Jan 2009 Last Revised: 30 Aug 2010
Nir Jaimovich, Seth Pruitt and Henry Siu
Duke University, Arizona State University (ASU) - Finance Department and University of British Columbia (UBC) - Department of Economics
Downloads 9 (531,056)

Abstract:

9.

The Market-Perceived Monetary Policy Rule

FRB International Finance Discussion Paper No. 982
Number of pages: 36 Posted: 17 Nov 2009
University of California at San Diego, Arizona State University (ASU) - Finance Department and Department of Homeland Security - Office of Immigration Statistics
Downloads 26 (398,860)
Citation 6

Abstract:

Monetary policy rule, market perceptions, Taylor Rule, Fed funds futures

10.

Markup Variation and Endogenous Fluctuations in the Price of Investment Goods

FRB International Finance Discussion Paper No. 968
Number of pages: 23 Posted: 16 Jun 2009
Max Floetotto, Nir Jaimovich and Seth Pruitt
Stanford University, Duke University and Arizona State University (ASU) - Finance Department
Downloads 23 (390,824)
Citation 1

Abstract:

Price of investment, business cycle, firm dynamics, markup

11.

Estimating the Market-Perceived Monetary Policy Rule

NBER Working Paper No. w16412
Number of pages: 37 Posted: 04 Oct 2010
James D. Hamilton, Seth Pruitt and Scott Borger
University of California at San Diego, Arizona State University (ASU) - Finance Department and affiliation not provided to SSRN
Downloads 14 (462,482)
Citation 6

Abstract:

12.

Some Characteristics Are Risk Exposures, and the Rest Are Irrelevant

Number of pages: 44 Posted: 07 Sep 2017
Bryan T. Kelly, Seth Pruitt and Yinan Su
University of Chicago - Finance, Arizona State University (ASU) - Finance Department and University of Chicago, Booth School of Business, Students
Downloads 0 (89,137)

Abstract:

13.

Instrumented Principal Component Analysis

Number of pages: 33 Posted: 09 Jun 2017 Last Revised: 11 Jun 2017
Bryan T. Kelly, Seth Pruitt and Yinan Su
University of Chicago - Finance, Arizona State University (ASU) - Finance Department and University of Chicago, Booth School of Business, Students
Downloads 0 (61,878)

Abstract:

factor model, principal components, tensor, asymptotic theory, international macroeconomics, dynamic loading

14.

Macroeconomic News in the Cross Section of Asset Growth

Number of pages: 32 Posted: 17 Jan 2017 Last Revised: 23 Jun 2017
Yu Hou, Artur Hugon, Matthew R. Lyle and Seth Pruitt
Queen's University - Smith School of Business, Arizona State University (ASU), Northwestern University - Kellogg School of Management and Arizona State University (ASU) - Finance Department
Downloads 0 (165,022)

Abstract:

Gross Domestic Product, Out-Of-Sample, News-Driven Business Cycle, Partial Least Squares, Firm Investment

15.

Cheap Talk and the Efficacy of the ECB's Securities Market Programme: Did Bond Purchases Matter?

FRB International Finance Discussion Paper No. 1139
Number of pages: 99 Posted: 08 Oct 2015
Board of Governors of the Federal Reserve System, Columbia University - Columbia Business School, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 0 (342,364)

Abstract:

Monetary policy, interest rates, recession, European Central Bank, asset purchases, euro area