Details about Luca Benzoni

Access statistics for papers by Luca Benzoni.

Last updated 2024-07-25. Update your information in the RePEc Author Service.

Short-id: pbe1008

Working Papers

2024

1. On the Mechanics of Fiscal Inflations
   Working Paper Series, Federal Reserve Bank of Chicago
   See also Journal Article On the Mechanics of Fiscal Inflations, Quarterly Review, Federal Reserve Bank of Minneapolis (2024) (2024)

2023

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

2022

3. Debt Dynamics with Fixed Issuance Costs
   Working Paper Series, Federal Reserve Bank of Chicago View citations (3)
   See also Journal Article Debt dynamics with fixed issuance costs, Journal of Financial Economics, Elsevier (2022) View citations (3) (2022)
4. Monetary Policy, Inflation Outlook, and Recession Probabilities
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2020

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

2019

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

2018

7. Why Does the Yield-Curve Slope Predict Recessions?
   Working Paper Series, Federal Reserve Bank of Chicago View citations (10)
   See also Journal Article Why Does the Yield-Curve Slope Predict Recessions?, Chicago Fed Letter, Federal Reserve Bank of Chicago (2018) View citations (11) (2018)

2017

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

2015

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

2013

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

2012

13. Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
    Working Paper Series, Federal Reserve Bank of Chicago View citations (20)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) 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) View citations (6) (2020)
14. Modeling credit contagion via the updating of fragile beliefs
    Working Paper Series, Federal Reserve Bank of Chicago View citations (12)
    See also Journal Article Modeling Credit Contagion via the Updating of Fragile Beliefs, The Review of Financial Studies, Society for Financial Studies (2015) View citations (52) (2015)

2011

15. Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
    Working Paper Series, Federal Reserve Bank of Chicago View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (15)

2010

16. Explaining asset pricing puzzles associated with the 1987 market crash
    Working Paper Series, Federal Reserve Bank of Chicago View citations (6)
    See also Journal Article Explaining asset pricing puzzles associated with the 1987 market crash, Journal of Financial Economics, Elsevier (2011) View citations (84) (2011)
17. Stochastic Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (64)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2009) View citations (1)

2008

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

2007

19. Conflict of interest and certification in the U.S. IPO market
    Working Paper Series, Federal Reserve Bank of Chicago
    See also Journal Article Conflict of interest and certification in the U.S. IPO market, Journal of Financial Intermediation, Elsevier (2010) View citations (4) (2010)
20. 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 View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (5)
    Working Paper Series, Federal Reserve Bank of Chicago (2006) View citations (19)
    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) View citations (47) (2010)
21. Portfolio choice over the life-cycle when the stock and labor markets are cointegrated
    Working Paper Series, Federal Reserve Bank of Chicago View citations (196)
    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) View citations (194) (2007)

2005

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

2004

23. 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

24. An Empirical Investigation of Continuous-Time Equity Return Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (99)
    See also Journal Article An Empirical Investigation of Continuous‐Time Equity Return Models, Journal of Finance, American Finance Association (2002) View citations (305) (2002)

Journal Articles

2024

1. On the Mechanics of Fiscal Inflations
   Quarterly Review, 2024, 44, (2)
   See also Working Paper On the Mechanics of Fiscal Inflations, Working Paper Series (2024) (2024)

2023

2. Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads
   Management Science, 2023, 69, (7), 4331-4352 View citations (1)

2022

3. Debt dynamics with fixed issuance costs
   Journal of Financial Economics, 2022, 146, (2), 385-402 View citations (3)
   See also Working Paper Debt Dynamics with Fixed Issuance Costs, Working Paper Series (2022) View citations (3) (2022)
4. Sources of Fluctuation in Short-Term Yields and Recession Probabilities
   Chicago Fed Letter, 2022

2020

5. Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates
   The Review of Financial Studies, 2020, 33, (8), 3719-3765 View citations (6)
   See also Working Paper Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates, Working Paper Series (2012) View citations (20) (2012)

2018

6. Why Does the Yield-Curve Slope Predict Recessions?
   Chicago Fed Letter, 2018 View citations (11)
   See also Working Paper Why Does the Yield-Curve Slope Predict Recessions?, Working Paper Series (2018) View citations (10) (2018)

2015

7. Modeling Credit Contagion via the Updating of Fragile Beliefs
   The Review of Financial Studies, 2015, 28, (7), 1960-2008 View citations (52)
   See also Working Paper Modeling credit contagion via the updating of fragile beliefs, Working Paper Series (2012) View citations (12) (2012)
8. The Value and Risk of Human Capital
   Annual Review of Financial Economics, 2015, 7, (1), 179-200 View citations (12)
   See also Working Paper The Value and Risk of Human Capital, Working Paper Series (2015) View citations (15) (2015)

2012

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

2011

10. Explaining asset pricing puzzles associated with the 1987 market crash
    Journal of Financial Economics, 2011, 101, (3), 552-573 View citations (84)
    See also Working Paper Explaining asset pricing puzzles associated with the 1987 market crash, Working Paper Series (2010) View citations (6) (2010)

2010

11. Conflict of interest and certification in the U.S. IPO market
    Journal of Financial Intermediation, 2010, 19, (2), 235-254 View citations (4)
    See also Working Paper Conflict of interest and certification in the U.S. IPO market, Working Paper Series (2007) (2007)
12. 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 View citations (47)
    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) View citations (5) (2007)
13. Lifecycle investment decisions and labor income risk
    FRBSF Economic Letter, 2010, (jul12)

2009

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

2007

15. Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
    Journal of Finance, 2007, 62, (5), 2123-2167 View citations (194)
    See also Working Paper Portfolio choice over the life-cycle when the stock and labor markets are cointegrated, Working Paper Series (2007) View citations (196) (2007)

2002

16. An Empirical Investigation of Continuous‐Time Equity Return Models
    Journal of Finance, 2002, 57, (3), 1239-1284 View citations (305)
    See also Working Paper An Empirical Investigation of Continuous-Time Equity Return Models, NBER Working Papers (2001) View citations (99) (2001)