April 2009
Pierluigi Balduzzi
Degrees
·
Doctor of Philosophy in Economics,
University of California at Los Angeles (UCLA). September 1991.
·
Laurea
in Economics and Social Sciences, Bocconi University, Milan, Italy. March 1986.
Fellowships
·
Center for Retirement Research, Boston
College. 2000-2001, 2002-2003,
Research Fellowship.
·
Innocenzo Gasparini Institute for
Economic Research (IGIER). 1991,
Research Fellowship.
·
Alfred P. Sloan
Foundation. 1990, Dissertation Fellowship.
·
Assicurazioni Generali. 19887-1988, Fellowship.
·
Ente Einaudi. 1986-1987, 1988-1989,
Fellowship.
Academic Experience
·
Department of
Finance, Boston College (Carroll). September 2008-: Full
professor. September 2000-August
2008: Associate Professor. Courses in: Empirical Asset Pricing
(Ph.D.); Investments (MBA-MSF); Fixed Income Analysis (MBA-MSF).
September 1997-August 2000: Assistant Professor. Courses in: Investments
(undergraduate and MBA-MSF); Fixed Income Analysis (MBA-MSF).
·
Department of Finance, NYU (Stern).
September 1991 August 1997: Assistant Professor. Courses in: Money, Banking,
and Financial Markets (undergraduate); Foundations of Finance (MBA); Debt
Instruments and Markets (MBA).
Other Professional Experience
·
Master in Money and Finance, Brescia,
Italy. May 2002, May 2003, May 2004, May 2005, May 2006, May 2007,
May 2008: Fixed Income Seminar.
·
Foley-Hoag. April-May 2008: Consultant.
·
Weiss Asset Management. February 2006-April 2006: Consultant.
·
Standish-Mellon
Asset Management. November
2004-December 2004: Consultant.
·
Investment Banking
Group, University of Chicago.
November 2003, Fixed Income Seminar.
·
Social Security Administration. December
1999-February 2000: Consultant.
·
MidFirst Bank, Oklahoma City.
August-December 1997: Consultant.
·
Credit Suisse-First Boston.
July-August 1997: Instructor, Fixed Income Seminar.
·
Nomura Securities International.
September 1994: Instructor, Fixed Income Seminar.
·
International Monetary Fund, Washington D.C.
July-September 1988: Intern, Central Banking Department.
Research Interests
·
Asset pricing
models.
·
Fixed-income
markets.
·
Portfolio
choice.
Published and Forthcoming Articles
·
"Mimicking Portfolios,
Economic Risk Premia, and Tests of Multi-beta Models." (With
Cesare Robotti.) Journal of Business and Economic Statistics 26 (2008),
354-368. (Separate Appendix)
·
"Money and Asset Prices in a Continuous-time Lucas
and Stokey Cash-in-advance Economy."
Journal of Economic Dynamics and
Control 31 (2007), 2713-2743.
·
"Testing Heterogeneous-agent Models: An Alternative
Aggregation Approach." (With
T. Yao.) Journal of Monetary Economics 54 (2007), 369-412. Unpublished
appendix.
·
"Portfolio Choice and Trading in a Large 401(k)
Plan." (With J. Agnew and A.
Sundén.) American Economic Review
93 (2003), 193-205.
·
"Economic News and Bond Prices: Evidence from the
U.S. Treasury Market." (With E. Elton and C. Green.) Journal of Financial and Quantitative
Analysis 36 (2001), 523-543.
·
"Predictability and Transaction Costs: The Impact on
Rebalancing Rules and Behavior." (With A. Lynch.) Journal of Finance 55 (2000), 2285-2309.
·
"Transaction Costs and Predictability: Some Utility
Cost Calculations.'' (With A. Lynch.) Journal of Financial Economics 52 (1999), 47-78. Winner Glucksman Institute (NYU) Best
Paper Award.
·
"Interest Rate Targeting and the Dynamics of
Short-Term Rates." (with G. Bertola,
·
"The Central Tendency: A Second Factor in Bond
Yields." (With S. R. Das and
·
"A Model of Target Changes and the Term Structure of
Interest Rates." (With G. Bertola and
·
"Price Barriers and the Dynamics of Asset Prices in
Equilibrium." (With
·
"Risk Premia and Variance Bounds." (With H.
Kallal.) Journal of Finance 52
(1997), 1913-1949.
·
"Yield-Curve Movements and Fiscal Retrenchments."
(With G. Corsetti and
·
"A Simple Approach to Three-Factor Affine Models of
the Term Structure." (With S. R. Das,
·
"Inflation and Asset Prices in a Monetary
Economy." Economics Letters
53 (1996), 67-74.
·
"Minimal Returns and the Breakdown of the Price-Volume
Relation." (With H. Kallal and F. Longin.) Economics Letters 50 (1996), 265-269.
·
"Money, Transactions, and Portfolio Choice."
(With
·
"Asset Price Dynamics and Infrequent Feedback
Trades." (With G. Bertola and
·
"Stock Returns, Inflation, and the `Proxy Hypothesis:'
a New Look at the Data." Economics
Letters 48 (1995), 47-43.
Chapters in Books
·
"Stochastic
Mean Models of the Term Structure of Interest Rates." (With S. R. Das,
Other Papers
·
"Investing
the Social Security Trust Fund in Equities." (With A. Munnell.) AARP Public Policy Institute (1998).
Conference Presentations
·
2009 AEA
Meetings: discussion of “The Impact of Individual Investment Behavior for
Retirement Welfare: Evidence from the
·
2006 Citigroup
Quant Conference: presentation of "Mimicking Portfolios, Economic Risk
Premia, and Tests of Multi-beta Models."
·
2004 ESF-CEPR
Conference on Dynamic Portfolio Choice, Asset Pricing, and Mathematical
Finance: presentation of "Parameter Uncertainty and International
Investment in a Multi-period Setting.
·
2003 PIER-IGIER
Conference on Econometric Methods in Finance and Macroeconomics: discussion
of “The Macroeconomy and the Term
Structure" by F. Diebold, G. Rudebusch, and B. Aruoba.
·
2003 ECB-FRBNY
Workshop on Monetary Policy and the Money Market: discussion of
"Spillovers across U.S. Financial Markets," by R. Rigobon and B. Sak.
·
2003 Wharton
Conference on Household Portfolio-Choice and Financial Decision-Making:
presentation of "What Do We Do with Our Pension Money: Recent Evidence
from 401(k) Plans."
·
2003 Meetings of
the American Finance Association: presentation of "What Do We Do with Our
Pension Money: Recent Evidence from 401(k) Plans" and discussion of
"Captured Money? Differences in the
Performance Characteristics of Retail and Institutional Mutual Funds," by
C. James and J. Karceski.
·
2001 Meetings of
the Western Finance Association: presentation of "Parameter Uncertainty
and International Investment" and discussion of "Structural Models of
Corporate Bond pricing: An Empirical Analysis," by Y.H. Eom, J. Helwege,
and J. Huang.
·
2001 Meetings of
the American Finance Association: presentation of "Does Heterogeneity
Matter for Asset Pricing?"
·
2000 Meetings of
the Western Finance Association: presentation of "Nonlinearities in U.S.
Treasury Rates: A Semi-Nonparametric Approach."
·
2000 NBER
University Research Conference on Asset Pricing and Portfolio Allocation:
discussion of "Asset Pricing with Heterogeneous Consumers and Limited
Participation: Empirical Evidence" by A. Brav, G. Constantinides, and C.
Geczy.
·
2000 Winter
Meetings of the Econometric Society: presentation of "Money, Market
Equilibrium, and Stock-Return Predictability" and discussion of
"Generalized Numeraire Portfolios" by G. DeSantis, B. Gerard, and F.
Ortu.
·
1999 CIRANO
Conference on Intertemporal Asset Pricing: presentation of "Money, Market
Equilibrium, and Stock-Return Predictability."
·
1999 Meetings of
the Western Finance Association: discussion of "The Forward Premium
Puzzle: Different Tales from Developed and Emerging Economies," by R.
Bansal and Magnus Dahlquist.
·
1999 Annual
Derivatives Securities Conference,
·
1998 Meetings of
the European Finance Association: presentation of "The Impact of
Predictability and Transaction Costs on Portfolio Choice in a Multi-Period
Setting" and discussion of "Global Diversification, Growth and
Welfare with Imperfectly Integrated Markets for Goods," by B. Dumas and R.
Uppal.
·
1998 Meetings of
the Society for Nonlinear Dynamics and Econometrics,
·
1998 Meetings of
the American Finance Association: presentation of "Stochastic-Mean Models
of the Term Structure of Interest Rates" and discussion of "A Model
for Studying the Effects of EMU on European Yield Curves," by J. Lund.
·
Fall 1997, Japan
Economic Seminar: discussion of "An Analysis of Bidding in the Japanese
Government Bond Auctions," by Y. Hamao and N. Jagadeesh.
·
1997 Meetings of
the Western Finance Association: discussion of "Do Interest Rates really
Follow Continuous-Time Markov Diffusions?" by Y. Ait-Sahalia.
·
1996 Utah Winter
Finance Conference: presentation of "Risk Premia and Variance
Bounds."
·
Fall 1996, joint
NYU-Columbia Finance Seminar: presentation of "Transaction Costs and
Predictability: Some Utility Costs Calculations."
·
1996 Meetings of
the Western Finance Association: presentation of "Transaction Costs and
Predictability: Some Utility Costs Calculations" and "Risk Premia and
Variance Bounds."
·
1996 Colloquia
on Economic Research, IGIER,
·
1996 Utah Winter
Finance Conference: discussion of "A Nonparametric Model of Term
Structure Dynamics and the Market Price for Interest Rate Risk," by R.
Stanton.
·
1996 Winter
Meetings of the Econometric Society: presentation of "Risk Premia and
Variance Bounds."
·
Spring 1996,
joint NYU-Columbia Finance Seminar: discussion of "Tests of
Alternative International Asset Pricing Models," by M. Vassalou.
·
1995 Meetings of
the European Finance Association: presentation of "The Central Tendency: A
Second Factor in Bond Yields," "Asset Values and Policy Changes: The
Case of Denmark," and discussion of "Estimating and testing Exponential-Affine
Term Structure Models by Kalman Filter," by J. Duan and J. Simonato.
·
1994 Winter
Meetings of the Econometric Society: presentation of "Nonlinearities in
Asset Prices and Infrequent Noise Trading."
·
Fall 1994, joint
NYU-Columbia Seminar: discussion of "Discriminatory versus Uniform
Treasury Auctions--Evidence from When-Issued Transactions," by K. Nyborg
and S. Sundaresan.
·
1993 Meetings of
the Western Finance Association: presentation of "Nonlinearities in Asset
Prices and Infrequent Noise Trading."
·
Spring 1993,
NBER, Monetary Economics Meeting: presentation of "A Model of Target
Changes and the Term Structure of Interest Rates."
·
Fall 1992, joint
NYU-Columbia Finance Seminar: presentation of "A Model of Target Changes
and the Term Structure of Interest Rates."
·
Spring 1992,
joint NYU-Columbia Finance Seminar: discussion of "Real and Nominal
Interest Rates: A Discrete-Time Model and its Continuous-Time Limit."
·
1991 Conference
on Monetary and Fiscal Policy in Dynamic General Equilibrium Models,
·
1991 Meetings of
the Society for Economic Dynamics and Control: presentation of "Money and
Asset Prices: Evidence from an Artificial Economy."
Invited Seminar Presentations
·
2008, European
Central Bank: "Asset-pricing Models and Economic Risk Premia: A
Decomposition.”
·
2007,
·
2007,
·
2007, SAC
Capital Management, "Transfer Activity in 401k Plans."
·
2007,
·
2006,
·
2006,
·
2006, HEC
·
2006,
·
2005, Board of
Governors of the Federal Reserve System: "Rebalancing Activity in 401k
Plans."
·
2004,
·
2003,
·
2003,
·
2003,
·
2001,
·
1998,
·
1998,
·
1998,
·
1998,
·
1997,
·
1997,
·
1997,
·
1997,
·
1997,
·
1993, Queen's
University: "Money and Asset Prices: Evidence from an Artificial
Economy."
·
1991, NYU (job
market): "Money and Asset Prices: Evidence from an Artificial
Economy."
·
1991,
·
1991,
·
1991,
Conference Committees
·
1999 Meetings of
the Financial Management Association, in
·
1999 Meetings of
the Society for Computational Economics.
Refereeing Activity
Journals
American Economic Review;
Annals of Operations Research; Decisions in Economics and Finance; Economics
Letters; Economic Journal; European Economic Review; Econometrica; Financial
Markets Institutions, and Instruments; Financial Review; International Economic
Review; International Review of Economics and Finance; Japan and the World
Economy; Journal of Applied Econometrics; Journal of Banking and Finance;
Journal of Business; Journal of Econometrics; Journal of Economic Dynamics and
Control; Journal of Economics and Business; Journal of Empirical Finance;
Journal of Finance; Journal of Financial and Quantitative Analysis; Journal of
Financial Economics; Journal of Financial Intermediation: Journal of Financial
Research; Journal of International Economics; Journal of International Money
and Finance; Journal of Monetary Economics; Journal of Money, Credit, and
Banking; Journal of Political Economy; Journal of Real Estate Finance and
Economics; Journal of the European Economic Association; Macroeconomic
Dynamics; Management Science; Manchester Business School; Quarterly Journal of
Economics; Quarterly Review of Economics and Finance; Review of Derivatives
Research; Review of Economics and Statistics; Review of Finance; Review of
Financial Studies; Rivista di Politica Economica.
Grants
National Science
Foundation; Research Grants Council,
Other
·
Committee for
Evaluation of Scientific Research, Ministry of Education,
·
Outside
reviewer,
Editorial Boards
·
Journal
of Business and Economic Statistics: Associate Editor
·
Journal of Financial Econometrics:
Associate Editor
Dissertation Committees
·
Chair, Ethan
Chiang, Ph.D. 2009,
·
Member, George
Aragon, Ph.D. 2005,
·
Member, Mariano
Kulish, Ph.D. 2005,
·
Member, Paola
Zerilli, Ph.D. 2005,
·
Member, Ludan
Liu, Ph.D. 2004,
·
Co-chair, Ozgur
Demirtas, Ph.D. 2003,
·
Chair, Gergana
Jostova, Ph.D. 2002,
·
Chair, Julie
Agnew, Ph.D. 2001,
·
Chair,
·
Co-chair, Cesare
Robotti, Ph.D. 2001,
·
Member, Juan
Carlos Sosa, Ph.D. 2000,
·
Member, Evren
Ors, Ph.D. 1999,
·
Member,
·
Member, Young-Ho
Eom, Ph.D. 1996,