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Details about Luca Benzoni

E-mail:
Homepage:https://sites.google.com/site/lbenzonifrbchi/
Workplace:Federal Reserve Bank of Chicago, (more information at EDIRC)

Access statistics for papers by Luca Benzoni.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pbe1008


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Working Papers

2023

  1. What does the CDS market imply for a U.S. default?
    Working Paper Series, Federal Reserve Bank of Chicago Downloads

2022

  1. Debt Dynamics with Fixed Issuance Costs
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (2)
  2. Monetary Policy, Inflation Outlook, and Recession Probabilities
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)

2020

  1. Optimal Debt Dynamics, Issuance Costs, and Commitment
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (3)

2019

  1. Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads
    Working Paper Series, Federal Reserve Bank of Chicago Downloads

2018

  1. Why Does the Yield-Curve Slope Predict Recessions?
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (8)
    See also Journal Article Why Does the Yield-Curve Slope Predict Recessions?, Chicago Fed Letter, Federal Reserve Bank of Chicago (2018) Downloads View citations (8) (2018)

2017

  1. Selecting Primal Innovations in DSGE models
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (3)
  2. The Interplay Between Financial Conditions and Monetary Policy Shocks
    2017 Meeting Papers, Society for Economic Dynamics Downloads
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2016) Downloads View citations (6)

2015

  1. Estimating the Tax and Credit-Event Risk Components of Credit Spreads
    Working Paper Series, Federal Reserve Bank of Chicago Downloads
  2. The Value and Risk of Human Capital
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (15)
    See also Journal Article The Value and Risk of Human Capital, Annual Review of Financial Economics, Annual Reviews (2015) Downloads View citations (12) (2015)

2013

  1. Human Capital and Long-Run Labor Income Risk
    Working Paper Series, Federal Reserve Bank of Chicago Downloads

2012

  1. Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (20)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads View citations (7)

    See also Journal Article Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates, The Review of Financial Studies, Society for Financial Studies (2020) Downloads View citations (1) (2020)
  2. Modeling credit contagion via the updating of fragile beliefs
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (11)
    See also Journal Article Modeling Credit Contagion via the Updating of Fragile Beliefs, The Review of Financial Studies, Society for Financial Studies (2015) Downloads View citations (47) (2015)

2011

  1. Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (15)

2010

  1. Explaining asset pricing puzzles associated with the 1987 market crash
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (6)
    See also Journal Article Explaining asset pricing puzzles associated with the 1987 market crash, Journal of Financial Economics, Elsevier (2011) Downloads View citations (76) (2011)
  2. Stochastic Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (64)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2009) Downloads View citations (1)

2008

  1. Realized volatility
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (41)

2007

  1. Conflict of interest and certification in the U.S. IPO market
    Working Paper Series, Federal Reserve Bank of Chicago Downloads
    See also Journal Article Conflict of interest and certification in the U.S. IPO market, Journal of Financial Intermediation, Elsevier (2010) Downloads View citations (4) (2010)
  2. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (5)
    Working Paper Series, Federal Reserve Bank of Chicago (2006) Downloads View citations (20)

    See also Journal Article Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models, Journal of Finance, American Finance Association (2010) Downloads View citations (44) (2010)
  3. Portfolio choice over the life-cycle when the stock and labor markets are cointegrated
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (190)
    See also Journal Article Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated, Journal of Finance, American Finance Association (2007) Downloads View citations (187) (2007)

2005

  1. Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)

2004

  1. Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)

2001

  1. An Empirical Investigation of Continuous-Time Equity Return Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (99)
    See also Journal Article An Empirical Investigation of Continuous‐Time Equity Return Models, Journal of Finance, American Finance Association (2002) Downloads View citations (295) (2002)

Journal Articles

2022

  1. Sources of Fluctuation in Short-Term Yields and Recession Probabilities
    Chicago Fed Letter, 2022 Downloads

2020

  1. Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates
    The Review of Financial Studies, 2020, 33, (8), 3719-3765 Downloads View citations (1)
    See also Working Paper Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates, Working Paper Series (2012) Downloads View citations (20) (2012)

2018

  1. Why Does the Yield-Curve Slope Predict Recessions?
    Chicago Fed Letter, 2018 Downloads View citations (8)
    See also Working Paper Why Does the Yield-Curve Slope Predict Recessions?, Working Paper Series (2018) Downloads View citations (8) (2018)

2015

  1. Modeling Credit Contagion via the Updating of Fragile Beliefs
    The Review of Financial Studies, 2015, 28, (7), 1960-2008 Downloads View citations (47)
    See also Working Paper Modeling credit contagion via the updating of fragile beliefs, Working Paper Series (2012) Downloads View citations (11) (2012)
  2. The Value and Risk of Human Capital
    Annual Review of Financial Economics, 2015, 7, (1), 179-200 Downloads View citations (12)
    See also Working Paper The Value and Risk of Human Capital, Working Paper Series (2015) Downloads View citations (15) (2015)

2012

  1. No-arbitrage restrictions and the U.S. Treasury market
    Economic Perspectives, 2012, 36, (Q II), 55-74 Downloads View citations (3)

2011

  1. Explaining asset pricing puzzles associated with the 1987 market crash
    Journal of Financial Economics, 2011, 101, (3), 552-573 Downloads View citations (76)
    See also Working Paper Explaining asset pricing puzzles associated with the 1987 market crash, Working Paper Series (2010) Downloads View citations (6) (2010)

2010

  1. Conflict of interest and certification in the U.S. IPO market
    Journal of Financial Intermediation, 2010, 19, (2), 235-254 Downloads View citations (4)
    See also Working Paper Conflict of interest and certification in the U.S. IPO market, Working Paper Series (2007) Downloads (2007)
  2. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    Journal of Finance, 2010, 65, (2), 603-653 Downloads View citations (44)
    See also Working Paper Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models, CREATES Research Papers (2007) Downloads View citations (5) (2007)
  3. Lifecycle investment decisions and labor income risk
    FRBSF Economic Letter, 2010, (jul12) Downloads

2009

  1. Investing over the life cycle with long-run labor income risk
    Economic Perspectives, 2009, 33, (Q III), 29-43 Downloads View citations (9)

2007

  1. Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
    Journal of Finance, 2007, 62, (5), 2123-2167 Downloads View citations (187)
    See also Working Paper Portfolio choice over the life-cycle when the stock and labor markets are cointegrated, Working Paper Series (2007) Downloads View citations (190) (2007)

2002

  1. An Empirical Investigation of Continuous‐Time Equity Return Models
    Journal of Finance, 2002, 57, (3), 1239-1284 Downloads View citations (295)
    See also Working Paper An Empirical Investigation of Continuous-Time Equity Return Models, NBER Working Papers (2001) Downloads View citations (99) (2001)
 
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