Details about Greg Duffee

Access statistics for papers by Greg Duffee.

Last updated 2024-12-10. Update your information in the RePEc Author Service.

Short-id: pdu249

Working Papers

2021

1. Debt specialisation and diversification: International evidence
   BIS Working Papers, Bank for International Settlements

2019

2. Estimating the Price of Default Risk
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996) View citations (1)
   See also Journal Article Estimating the Price of Default Risk, The Review of Financial Studies, Society for Financial Studies (1999) View citations (260) (1999)
3. Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996) View citations (15)
4. What's Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996) View citations (1)
   Working Papers, Federal Reserve Bank of Dallas (1996) View citations (2)

2012

5. Bond pricing and the macroeconomy
   Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (9)
   See also Chapter Bond Pricing and the Macroeconomy, Handbook of the Economics of Finance, Elsevier (2013) View citations (30) (2013)
6. Forecasting interest rates
   Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (9)
   See also Chapter Forecasting Interest Rates, Handbook of Economic Forecasting, Elsevier (2013) View citations (25) (2013)

2011

7. Forecasting with the term structure: The role of no-arbitrage restrictions
   Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (57)
8. Information in (and not in) the term structure
   Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (159)
   See also Journal Article Information in (and not in) the Term Structure, The Review of Financial Studies, Society for Financial Studies (2011) View citations (157) (2011)

2010

9. Sharpe ratios in term structure models
   Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (42)

2005

10. Term structure estimation without using latent factors
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (4)
    See also Journal Article Term structure estimation without using latent factors, Journal of Financial Economics, Elsevier (2006) View citations (27) (2006)

2001

11. Asymmetric cross-sectional dispersion in stock returns: evidence and implications
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (11)

2000

12. Term premia and interest rate forecasts in affine models
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (7)
    See also Journal Article Term Premia and Interest Rate Forecasts in Affine Models, Journal of Finance, American Finance Association (2002) View citations (719) (2002)

1999

13. Credit Derivatives in Banking: Useful Tools for Managing Risk?
    Research Program in Finance Working Papers, University of California at Berkeley
    Also in Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley (1999)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations (8)
    See also Journal Article Credit derivatives in banking: Useful tools for managing risk?, Journal of Monetary Economics, Elsevier (2001) View citations (122) (2001)

1996

14. Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools?
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (1)
15. Rethinking risk management for banks: lessons from credit derivatives
    Proceedings, Federal Reserve Bank of Chicago View citations (3)

1994

16. Idiosyncratic variation of Treasury bill yields
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
    See also Journal Article Idiosyncratic Variation of Treasury Bill Yields, Journal of Finance, American Finance Association (1996) View citations (108) (1996)
17. On measuring credit risks of derivative instruments
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article On measuring credit risks of derivative instruments, Journal of Banking & Finance, Elsevier (1996) View citations (14) (1996)

1992

18. Reexamining the relationship between stock returns and stock return volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
19. Trading volume and return reversals
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (7)

1991

20. A new test for mean reversion in stock prices
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

1990

21. A primer on program trading and stock price volatility: a survey of the issues and the evidence
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
22. A securities transactions tax: beyond the rhetoric, what can we really say?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
23. The importance of market psychology in the determination of stock market volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2023

1. Macroeconomic News and Stock–Bond Comovement*
   Review of Finance, 2023, 27, (5), 1859-1882
2. Macroeconomic News in Asset Pricing and Reality
   Journal of Finance, 2023, 78, (3), 1499-1543 View citations (2)

2018

3. Expected Inflation and Other Determinants of Treasury Yields
   Journal of Finance, 2018, 73, (5), 2139-2180 View citations (37)

2012

4. Estimation of Dynamic Term Structure Models
   Quarterly Journal of Finance (QJF), 2012, 02, (02), 1-51 View citations (35)

2011

5. Information in (and not in) the Term Structure
   The Review of Financial Studies, 2011, 24, (9), 2895-2934 View citations (157)
   See also Working Paper Information in (and not in) the term structure, Economics Working Paper Archive (2011) View citations (159) (2011)

2009

6. Moral hazard and adverse selection in the originate-to-distribute model of bank credit
   Journal of Monetary Economics, 2009, 56, (5), 744-747 View citations (3)

2008

7. Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation
   Journal of Financial Econometrics, 2008, 6, (1), 108-142 View citations (11)

2006

8. Term structure estimation without using latent factors
   Journal of Financial Economics, 2006, 79, (3), 507-536 View citations (27)
   See also Working Paper Term structure estimation without using latent factors, Computing in Economics and Finance 2005 (2005) View citations (4) (2005)

2005

9. Time Variation in the Covariance between Stock Returns and Consumption Growth
   Journal of Finance, 2005, 60, (4), 1673-1712 View citations (48)

2002

10. Term Premia and Interest Rate Forecasts in Affine Models
    Journal of Finance, 2002, 57, (1), 405-443 View citations (719)
    See also Working Paper Term premia and interest rate forecasts in affine models, Working Paper Series (2000) View citations (7) (2000)

2001

11. Credit derivatives in banking: Useful tools for managing risk?
    Journal of Monetary Economics, 2001, 48, (1), 25-54 View citations (122)
    See also Working Paper Credit Derivatives in Banking: Useful Tools for Managing Risk?, Research Program in Finance Working Papers (1999) (1999)

1999

12. Estimating the Price of Default Risk
    The Review of Financial Studies, 1999, 12, (1), 197-226 View citations (260)
    See also Working Paper Estimating the Price of Default Risk, Finance and Economics Discussion Series (2019) (2019)

1996

13. Idiosyncratic Variation of Treasury Bill Yields
    Journal of Finance, 1996, 51, (2), 527-51 View citations (108)
    See also Working Paper Idiosyncratic variation of Treasury bill yields, Finance and Economics Discussion Series (1994) View citations (8) (1994)
14. On measuring credit risks of derivative instruments
    Journal of Banking & Finance, 1996, 20, (5), 805-833 View citations (14)
    See also Working Paper On measuring credit risks of derivative instruments, Finance and Economics Discussion Series (1994) View citations (2) (1994)

1995

15. Stock returns and volatility A firm-level analysis
    Journal of Financial Economics, 1995, 37, (3), 399-420 View citations (142)
16. The variation of default risk with Treasury yields
    Proceedings, 1995, 29-58 View citations (3)

Chapters

2019

1. Corporate bond use in Asia and the United States
   A chapter in Asia-Pacific fixed income markets: evolving structure, participation and pricing, 2019, vol. 102, pp 97-107

2013

2. Bond Pricing and the Macroeconomy
   Elsevier View citations (30)
   See also Working Paper Bond pricing and the macroeconomy, The Johns Hopkins University,Department of Economics (2012) View citations (9) (2012)
3. Forecasting Interest Rates
   Elsevier View citations (25)
   See also Working Paper Forecasting interest rates, The Johns Hopkins University,Department of Economics (2012) View citations (9) (2012)