Philippe Mueller

Warwick Business School Finance Group

Professor of Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

  • Warwick Business School Finance Group

SCHOLARLY PAPERS

14

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Top 3,229

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254

CROSSREF CITATIONS

247

Scholarly Papers (14)

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1.

Priced Risk in Corporate Bonds

Number of pages: 62 Posted: 11 Apr 2023 Last Revised: 15 Jun 2023
Alexander Dickerson, Philippe Mueller and Cesare Robotti
UNSW Business School, Warwick Business School Finance Group and Warwick Business School
Downloads 1,978 (13,978)
Citation 1

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Corporate bond asset pricing, Bond factor model, Sharpe ratio, Efficient frontier, Model misspecification and identification

2.

Bond Variance Risk Premiums

Number of pages: 58 Posted: 02 Jan 2012 Last Revised: 23 Nov 2016
Hoyong Choi, Philippe Mueller and Andrea Vedolin
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Warwick Business School Finance Group and Boston University - Department of Finance & Economics
Downloads 1,754 (16,696)
Citation 30

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Variance risk premium, Treasury implied volatility, Treasury variance swap

3.

International Correlation Risk

Number of pages: 70 Posted: 03 May 2012 Last Revised: 29 Oct 2016
Philippe Mueller, Andreas Stathopoulos and Andrea Vedolin
Warwick Business School Finance Group, University of North Carolina (UNC) at Chapel Hill and Boston University - Department of Finance & Economics
Downloads 1,504 (21,169)
Citation 31

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Correlation Risk, Exchange Rates, International Finance

4.

Exchange Rates and Monetary Policy Uncertainty

Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 16-3
Number of pages: 42 Posted: 20 Dec 2015 Last Revised: 11 Dec 2016
Philippe Mueller, Alireza Tahbaz-Salehi and Andrea Vedolin
Warwick Business School Finance Group, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 1,191 (29,913)
Citation 55

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Monetary Policy, Foreign Exchange, Uncertainty

5.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Philippe Mueller, Andrea Vedolin and Hao Zhou
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 1,068 (34,922)
Citation 11

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6.

Funding Illiquidity, Funding Risk, and Global Stock Returns

Downloads 1,058 (35,396)
Citation 3

Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 874 (45,571)
Citation 4

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Liquidity, Market Frictions, Capital Constraints, International CAPM

International Illiquidity

FRB International Finance Discussion Paper No. 1201
Number of pages: 60 Posted: 26 Mar 2017
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 184 (270,989)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

7.

Credit Spreads and Real Activity

EFA 2008 Athens Meetings Paper
Number of pages: 72 Posted: 24 Mar 2008 Last Revised: 15 Mar 2011
Philippe Mueller
Warwick Business School Finance Group
Downloads 858 (47,441)
Citation 41

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term structure, credit spreads, forecasting, macro-finance, no-arbitrage model, credit conditions

8.

Mortgage Risk and the Yield Curve

Downloads 742 (57,761)
Citation 22

Mortgage Risk and the Yield Curve

The Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 23 Jan 2016
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 665 (65,768)
Citation 1

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Term Structure of Interest Rates, MBS, Supply Factor

Mortgage Risk and the Yield Curve

BIS Working Paper No. 532
Number of pages: 53 Posted: 15 Dec 2015
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 77 (519,010)
Citation 15

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Term structure of interest rates, MBS, supply factor

9.

Foreign Exchange Fixings and Returns Around the Clock

Journal of Finance forthcoming, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 53 Posted: 11 Feb 2020 Last Revised: 06 Sep 2023
Ingomar Krohn, Philippe Mueller and Paul Whelan
Bank of Canada, Warwick Business School Finance Group and The Chinese University of Hong Kong
Downloads 729 (59,157)

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foreign-exchange, fixings, high-frequency returns, inventory management, intermediation

10.

Market-Based Monetary Policy Uncertainty

Downloads 458 (105,711)
Citation 27

Market-Based Monetary Policy Uncertainty

The Economic Journal, Forthcoming
Number of pages: 58 Posted: 30 Apr 2019 Last Revised: 04 Jan 2022
Michael Bauer, Aeimit Lakdawala and Philippe Mueller
Federal Reserve Bank of San Francisco, Wake Forest University - Department of Economics and Warwick Business School Finance Group
Downloads 416 (117,187)
Citation 9

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policy uncertainty, implied volatility, Federal Reserve, FOMC announcements, event study, asset prices

Market-Based Monetary Policy Uncertainty

CESifo Working Paper No. 7621
Number of pages: 47 Posted: 09 May 2019
Michael Bauer, Aeimit Lakdawala and Philippe Mueller
Federal Reserve Bank of San Francisco, Wake Forest University - Department of Economics and Warwick Business School Finance Group
Downloads 42 (700,556)

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monetary policy uncertainty, Federal Reserve, event study, monetary transmission, implied volatility

11.

The Term Structure of Inflation Expectations

Downloads 402 (123,068)
Citation 96

The Term Structure of Inflation Expectations

Number of pages: 56 Posted: 19 Mar 2008 Last Revised: 02 Apr 2009
Mikhail Chernov and Philippe Mueller
UCLA Anderson and Warwick Business School Finance Group
Downloads 393 (125,217)
Citation 5

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inflation expectations, monetary policy, macro-finance, term structure model

The Term Structure of Inflation Expectations

CEPR Discussion Paper No. DP6809
Number of pages: 59 Posted: 12 Jun 2008
Mikhail Chernov and Philippe Mueller
UCLA Anderson and Warwick Business School Finance Group
Downloads 9 (991,671)
Citation 17
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inflation, macro-finance term structure model, monetary policy, survey forecasts

12.

Understanding the Comovement between Corporate Bonds and Stocks: The Role of Default Risk

WBS Finance Group Research Paper Forthcoming, UNSW Business School Research Paper Forthcoming
Number of pages: 85 Posted: 06 Jul 2022
Alexander Dickerson, Mathieu Fournier, Alexandre Jeanneret and Philippe Mueller
UNSW Business School, UNSW Business School, UNSW Business School and Warwick Business School Finance Group
Downloads 350 (145,098)
Citation 1

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Corporate bonds, stock-bond comovement, default risk, structural model, asset pricing

13.

Central Bank Swap Lines: Micro-level Evidence

Bank of England Working Paper No. 977, WBS Finance Group Research Paper Forthcoming
Number of pages: 56 Posted: 13 May 2022
Gerardo Ferrara, Philippe Mueller, Ganesh Viswanath-Natraj and Junxuan Wang
Bank of England, Warwick Business School Finance Group, Warwick Business School and Warwick Business School
Downloads 158 (308,926)
Citation 2

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Swap lines, monetary policy, foreign exchange swaps, covered interest rate parity, central banking

14.

Corporate Credit Provision

FRB of New York Staff Report No. 895, WBS Finance Group Research Paper
Number of pages: 53 Posted: 15 Aug 2019
Nina Boyarchenko and Philippe Mueller
Federal Reserve Bank of New York and Warwick Business School Finance Group
Downloads 48 (648,280)

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intermediated credit, leverage cycles, corporate bonds