Philippe Mueller

Warwick Business School Finance Group

Professor of Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 4,704

SSRN RANKINGS

Top 4,704

in Total Papers Downloads

16,027

SSRN CITATIONS
Rank 2,853

SSRN RANKINGS

Top 2,853

in Total Papers Citations

389

CROSSREF CITATIONS

250

Scholarly Papers (16)

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 3,004 (8,087)
Citation 39

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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 1,823 (17,905)
Citation 30

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Variance risk premium, Treasury implied volatility, Treasury variance swap

3.

The Corporate Bond Factor Zoo

UNSW Business School Research Paper Forthcoming
Number of pages: 79 Posted: 12 Oct 2023 Last Revised: 14 Nov 2023
Alexander Dickerson, Christian Julliard and Philippe Mueller
UNSW Business School, London School of Economics & Political Science (LSE) - Department of Finance and Warwick Business School Finance Group
Downloads 1,700 (19,940)

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Corporate bonds; Factor zoo; Asset pricing; Factor models; Bayesian methods.

4.

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 1,538 (23,285)
Citation 31

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Correlation Risk, Exchange Rates, International Finance

5.

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 1,209 (33,172)
Citation 67

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Monetary Policy, Foreign Exchange, Uncertainty

6.

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 1,134 (36,302)
Citation 12

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Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
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 892 (50,263)
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
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 208 (271,999)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

8.

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: 69 Posted: 11 Feb 2020 Last Revised: 28 May 2024
Ingomar Krohn, Philippe Mueller and Paul Whelan
Bank of Canada, Warwick Business School Finance Group and The Chinese University of Hong Kong
Downloads 932 (47,928)
Citation 7

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

9.

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 884 (51,604)
Citation 41

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

10.
Downloads 768 (62,395)
Citation 27

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
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 678 (72,321)
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
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 90 (532,241)
Citation 21

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Term structure of interest rates, MBS, supply factor

11.

A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks

Number of pages: 84 Posted: 06 Jul 2022 Last Revised: 17 Oct 2023
UNSW Business School, UNSW Business School, UNSW Business School and Warwick Business School Finance Group
Downloads 531 (99,906)
Citation 1

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Stock-bond correlation, default risk, interest rate risk, variance risk, structural models

12.
Downloads 489 (110,187)
Citation 42

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 436 (124,930)
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 53 (715,208)

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

13.
Downloads 413 (134,356)
Citation 121

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 404 (136,487)
Citation 29

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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 (1,113,671)
Citation 17
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inflation, macro-finance term structure model, monetary policy, survey forecasts

14.

Central Bank Swap Lines: Micro-level Evidence

Bank of England Working Paper No. 977, WBS Finance Group Research Paper
Number of pages: 71 Posted: 13 May 2022 Last Revised: 07 Apr 2024
Bank of England, Warwick Business School Finance Group, Warwick Business School and University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School
Downloads 221 (257,897)
Citation 2

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

15.

Political uncertainty and currency markets

Swiss Finance Institute Research Paper No. 24-13, WBS Finance Group Research Paper
Number of pages: 69 Posted: 05 Feb 2024
University of Zurich, ITAM, Warwick Business School Finance Group and University of Zurich - Department Finance
Downloads 191 (296,136)

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FX option pricing; Volatility and skewness; electoral systems; political uncertainty

16.

Corporate Credit Provision

FRB of New York Staff Report No. 895, Rev. September 2023, WBS Finance Group Research Paper
Number of pages: 63 Posted: 15 Aug 2019 Last Revised: 27 Sep 2023
Nina Boyarchenko, Leonardo Elias and Philippe Mueller
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Warwick Business School Finance Group
Downloads 90 (527,308)
Citation 1

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intermediated credit, leverage cycles, corporate bonds