EconPapers    
Economics at your fingertips  
 

Details about Pierluigi Balduzzi

Homepage:http://www2.bc.edu/~balduzzp
Workplace:Finance Department, Wallace E. Carroll School of Management, Boston College, (more information at EDIRC)
Center for Retirement Research (CRR), Boston College, (more information at EDIRC)

Access statistics for papers by Pierluigi Balduzzi.

Last updated 2024-08-12. Update your information in the RePEc Author Service.

Short-id: pba469


Jump to Journal Articles

Working Papers

2022

  1. Credit Constraints anf Firms' Decisions: Evidence from the COVID-19 Outbreak Italian Firms’ Expectations and Plans
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (11)

2020

  1. Populism, Political Risk and the Economy: Lessons from Italy
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (9)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2020) Downloads View citations (10)
  2. The Economic Effects of COVID-19 and Credit Constraints: Evidence from Italian Firms' Expectations and Plans
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (15)

2019

  1. Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads View citations (2)

2016

  1. Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    Also in Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli (2014) Downloads View citations (17)
    CESifo Working Paper Series, CESifo (2015) Downloads View citations (4)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2013) Downloads View citations (24)

    See also Journal Article Financial markets, banks’ cost of funding, and firms’ decisions: Lessons from two crises, Journal of Financial Intermediation, Elsevier (2018) Downloads View citations (10) (2018)

2012

  1. Heterogeneity in Target-Date Funds: Optimal Risk-Taking or Risk Matching?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  2. The Reluctant Retirement Trader: Do Asset Returns Overcome Inertia?
    NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute Downloads

2005

  1. Asset-pricing models and economic risk premia: a decomposition
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (4)
    See also Journal Article Asset pricing models and economic risk premia: A decomposition, Journal of Empirical Finance, Elsevier (2010) Downloads View citations (5) (2010)
  2. Mimicking portfolios, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (9)
    See also Journal Article Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models, Journal of Business & Economic Statistics, American Statistical Association (2008) Downloads View citations (25) (2008)

2004

  1. Large, Small, International: Equity Portfolio Choices in a Large 401(k) Plan
    Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research Downloads

2001

  1. Minimum-variance kernels, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (7)

1999

  1. Minimum-Variance Kernels and Economic Risk Premia
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (4)

1998

  1. Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (4)
    See also Journal Article Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior, Journal of Finance, American Finance Association (2000) Downloads View citations (66) (2000)

1997

  1. Economic News and the Yield Curve: Evidence from the U.S. Treasury Market
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (75)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (3)
  2. Interest Rate Targeting and the Dynamics of Short-Term Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article Interest Rate Targeting and the Dynamics of Short-Term Rates, Journal of Money, Credit and Banking, Blackwell Publishing (1998) View citations (50) (1998)
  3. The Central Tendency: A Second Factor in Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (2)

    See also Journal Article The Central Tendency: A Second Factor In Bond Yields, The Review of Economics and Statistics, MIT Press (1998) Downloads View citations (82) (1998)

1996

  1. "Price Barriers" and the Dynamics of Asset Prices in Equilibrium
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (1)
    See also Journal Article Price Barriers and the Dynamics of Asset Prices in Equilibrium, Journal of Financial and Quantitative Analysis, Cambridge University Press (1997) Downloads View citations (10) (1997)

1993

  1. A Model of Target Changes and the Term Structure of Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article A model of target changes and the term structure of interest rates, Journal of Monetary Economics, Elsevier (1997) Downloads View citations (95) (1997)
  2. Non-linearities in Asset Prices and Infrequent Noise Trading
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX.
    Also in Working Papers, Princeton, Department of Economics - Financial Research Center (1992)

1990

  1. STOCK RETURNS AND INFLATION: SOME EMPIRICAL EVIDENCE
    Working Papers, California Los Angeles - Applied Econometrics

Journal Articles

2024

  1. Credit constraints and firms’ decisions: Lessons from the COVID-19 outbreak
    Journal of Monetary Economics, 2024, 142, (C) Downloads

2023

  1. Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads*
    Journal of Financial Econometrics, 2023, 21, (5), 1728-1758 Downloads
  2. Political Risk, Populism and the Economy
    The Economic Journal, 2023, 133, (653), 1677-1704 Downloads View citations (2)

2020

  1. Real Exchange Rates and Currency Risk Premiums
    The Review of Asset Pricing Studies, 2020, 10, (1), 94-121 Downloads View citations (5)

2019

  1. Heterogeneity in Target Date Funds: Strategic Risk-taking or Risk Matching?
    The Review of Financial Studies, 2019, 32, (1), 300-337 Downloads View citations (11)

2018

  1. Financial markets, banks’ cost of funding, and firms’ decisions: Lessons from two crises
    Journal of Financial Intermediation, 2018, 36, (C), 1-15 Downloads View citations (10)
    See also Working Paper Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises, Boston College Working Papers in Economics (2016) Downloads (2016)

2017

  1. Economic Risk Premia in the Fixed-Income Markets: The Intraday Evidence
    Journal of Financial and Quantitative Analysis, 2017, 52, (5), 1927-1950 Downloads View citations (9)

2012

  1. A Simple Test of the Affine Class of Term Structure Models
    The Review of Asset Pricing Studies, 2012, 2, (2), 203-244 Downloads View citations (2)

2010

  1. Asset pricing models and economic risk premia: A decomposition
    Journal of Empirical Finance, 2010, 17, (1), 54-80 Downloads View citations (5)
    See also Working Paper Asset-pricing models and economic risk premia: a decomposition, FRB Atlanta Working Paper (2005) Downloads View citations (4) (2005)

2008

  1. Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
    Journal of Business & Economic Statistics, 2008, 26, 354-368 Downloads View citations (25)
    See also Working Paper Mimicking portfolios, economic risk premia, and tests of multi-beta models, FRB Atlanta Working Paper (2005) Downloads View citations (9) (2005)

2007

  1. Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy
    Journal of Economic Dynamics and Control, 2007, 31, (8), 2713-2743 Downloads View citations (8)
  2. Testing heterogeneous-agent models: an alternative aggregation approach
    Journal of Monetary Economics, 2007, 54, (2), 369-412 Downloads View citations (23)

2003

  1. Portfolio Choice and Trading in a Large 401(k) Plan
    American Economic Review, 2003, 93, (1), 193-215 Downloads View citations (266)

2001

  1. Economic News and Bond Prices: Evidence from the U.S. Treasury Market
    Journal of Financial and Quantitative Analysis, 2001, 36, (4), 523-543 Downloads View citations (455)

2000

  1. Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior
    Journal of Finance, 2000, 55, (5), 2285-2309 Downloads View citations (66)
    See also Working Paper Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1998) View citations (4) (1998)

1999

  1. Transaction costs and predictability: some utility cost calculations
    Journal of Financial Economics, 1999, 52, (1), 47-78 Downloads View citations (198)

1998

  1. Interest Rate Targeting and the Dynamics of Short-Term Rates
    Journal of Money, Credit and Banking, 1998, 30, (1), 26-50 View citations (50)
    See also Working Paper Interest Rate Targeting and the Dynamics of Short-Term Rates, NBER Working Papers (1997) Downloads View citations (13) (1997)
  2. The Central Tendency: A Second Factor In Bond Yields
    The Review of Economics and Statistics, 1998, 80, (1), 62-72 Downloads View citations (82)
    See also Working Paper The Central Tendency: A Second Factor in Bond Yields, NBER Working Papers (1997) Downloads View citations (2) (1997)

1997

  1. A model of target changes and the term structure of interest rates
    Journal of Monetary Economics, 1997, 39, (2), 223-249 Downloads View citations (95)
    See also Working Paper A Model of Target Changes and the Term Structure of Interest Rates, NBER Working Papers (1993) Downloads View citations (15) (1993)
  2. Price Barriers and the Dynamics of Asset Prices in Equilibrium
    Journal of Financial and Quantitative Analysis, 1997, 32, (2), 137-159 Downloads View citations (10)
    See also Working Paper "Price Barriers" and the Dynamics of Asset Prices in Equilibrium, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1996) View citations (1) (1996)
  3. Risk Premia and Variance Bounds
    Journal of Finance, 1997, 52, (5), 1913-49 Downloads View citations (22)
  4. Yield-curve movements and fiscal retrenchments
    European Economic Review, 1997, 41, (9), 1675-1685 Downloads View citations (5)

1996

  1. Inflation and asset prices in a monetary economy
    Economics Letters, 1996, 53, (1), 67-74 Downloads View citations (3)
  2. Minimal returns and the breakdown of the price-volume relation
    Economics Letters, 1996, 50, (2), 265-269 Downloads View citations (11)
  3. Money, transactions and portfolio choice
    Ricerche Economiche, 1996, 50, (1), 57-68 Downloads

1995

  1. Asset Price Dynamics and Infrequent Feedback Trades
    Journal of Finance, 1995, 50, (5), 1747-66 Downloads View citations (13)
  2. Stock returns, inflation, and the 'proxy hypothesis': A new look at the data
    Economics Letters, 1995, 48, (1), 47-53 Downloads View citations (21)
 
Page updated 2025-04-01