Details about Pierluigi Balduzzi

Access statistics for papers by Pierluigi Balduzzi.

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

Short-id: pba469

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 View citations (11)

2020

2. Populism, Political Risk and the Economy: Lessons from Italy
   IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (11)
   Also in Boston College Working Papers in Economics, Boston College Department of Economics (2020) View citations (10)
3. The Economic Effects of COVID-19 and Credit Constraints: Evidence from Italian Firms' Expectations and Plans
   IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (15)

2019

4. 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 View citations (2)

2016

5. Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises
   Boston College Working Papers in Economics, Boston College Department of Economics
   Also in Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli (2014) View citations (17)
   IZA Discussion Papers, Institute of Labor Economics (IZA) (2013) View citations (24)
   CESifo Working Paper Series, CESifo (2015) View citations (4)
   See also Journal Article Financial markets, banks’ cost of funding, and firms’ decisions: Lessons from two crises, Journal of Financial Intermediation, Elsevier (2018) View citations (10) (2018)

2012

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

2005

8. Asset-pricing models and economic risk premia: a decomposition
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)
   See also Journal Article Asset pricing models and economic risk premia: A decomposition, Journal of Empirical Finance, Elsevier (2010) View citations (5) (2010)
9. Mimicking portfolios, economic risk premia, and tests of multi-beta models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta 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) View citations (25) (2008)

2004

10. 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

2001

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

1999

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

1998

13. 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) View citations (66) (2000)

1997

14. 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)
15. Interest Rate Targeting and the Dynamics of Short-Term Rates
    NBER Working Papers, National Bureau of Economic Research, Inc 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)
16. The Central Tendency: A Second Factor in Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (82) (1998)

1996

17. "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) View citations (10) (1997)

1993

18. A Model of Target Changes and the Term Structure of Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (95) (1997)
19. 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

20. 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)

2023

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

2020

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

2019

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

2018

6. Financial markets, banks’ cost of funding, and firms’ decisions: Lessons from two crises
   Journal of Financial Intermediation, 2018, 36, (C), 1-15 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) (2016)

2017

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

2012

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

2010

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

2008

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

2007

11. 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 View citations (8)
12. Testing heterogeneous-agent models: an alternative aggregation approach
    Journal of Monetary Economics, 2007, 54, (2), 369-412 View citations (23)

2003

13. Portfolio Choice and Trading in a Large 401(k) Plan
    American Economic Review, 2003, 93, (1), 193-215 View citations (267)

2001

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

2000

15. Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior
    Journal of Finance, 2000, 55, (5), 2285-2309 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

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

1998

17. 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) View citations (13) (1997)
18. The Central Tendency: A Second Factor In Bond Yields
    The Review of Economics and Statistics, 1998, 80, (1), 62-72 View citations (82)
    See also Working Paper The Central Tendency: A Second Factor in Bond Yields, NBER Working Papers (1997) View citations (2) (1997)

1997

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

1996

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

1995

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