Luca Benzoni's Home Page

Curriculum Vitae 

Publications:

"What Does the CDS Market Imply for a U.S. Default?," with C. Cabanilla, A. Cocco,  and C. Kavoussi, 2023

"Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads," with L. Garlappi and R. Goldstein, 2023

 "Debt Dynamics with Fixed Issuance Costs," with L. Garlappi and R. Goldstein, and Chao Ying. Online Appendix by J. Hugonnier. 2022

• Older version:  "Optimal Debt Dynamics, Issuance Costs, and Commitment"

"Sources of Fluctuations in Short-Term Yields and Recession Probabilities,'' with A. Ajello, M.  Schwinn, Y. Timmer, and F. Vazquez-Grande, 2022

"Monetary Policy, Inflation Outlook, and Recession Probabilities,'' with A. Ajello, M.  Schwinn, Y. Timmer, and F. Vazquez-Grande, 2022

"Core and `Crust': Consumer Prices and the Term Structure of Interest Rates,'' with A. Ajello and O. Chyruk, 2020

• Online Appendix with additional results, robustness checks, and details concerning the data, model specification, and estimation

"Why Does the Yield Curve Slope Predict Recessions?,'' with O. Chyruk and D. Kelley, 2018

"The Value and Risk of Human Capital," with O. Chyruk, 2015

"Modeling Credit Contagion via the Updating of Fragile Beliefs,'' with R. Goldstein, P. Collin-Dufresne, and J. Helwege, 2015

"No Arbitrage Restrictions and the U.S. Treasury Market,'' with A. Ajello and O. Chyruk, 2012

"Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash," with P. Collin-Dufresne and R. Goldstein, 2011

• • Older versions: "Can Standard Preferences Explain the Prices of Out-of-the-Money S&P 500 Put Options?'" and "Explaining Pre- and Post-1987 Crash Asset Prices within a Unified General Equilibrium Framework"

"Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models,'' with T. G. Andersen, 2010  

"Conflict of Interest and Certification in the U.S. IPO Market," with C. Schenone, 2010

• Older version: "Conflict of Interest or Certification? Evidence from IPOs Underwritten by the Firm's Relationship Bank"

"Life-Cycle Investment Decisions and Labor Income Risk," with R. S.  Goldstein, 2010

"Investing over the Life Cycle with Long-Run Labor Income Risk," with O. Chyruk, 2009

"Stochastic Volatility," with T. G. Andersen, 2009

"Realized Volatility,'' with T. G. Andersen, 2009

"Portfolio Choice over the Life-Cycle when the Stock and Labor Markets are Cointegrated," with Pierre Collin-Dufresne and Robert S. Goldstein, 2007

• Older version: "Portfolio Choice over the Life-Cycle in the Presence of `Trickle Down' Labor Income"

"An Empirical Investigation of Continuous-Time Equity Return Models," with Torben G. Andersen and Jesper Lund, 2002

• Nominated for the 2002 Smith Breeden Best Paper Award

• Older versions "Towards an Empirical Foundation for Continuous-Time Equity Return Models'' and "Estimating Jump-Diffusions for Equity Returns''

Working Papers and Work in Progress:

"Financial Conditions, Monetary Policy, and the U.S. Economy: A VAR Retrospective of the Last 20 Years" with M. Bassetto, D. Kelley, and T. Serrao, 2019

• Older version: "The Interplay Between Financial Conditions and Monetary Policy Shocks''

"The Determinants of Interest Rate Volatility in the U.S. Treasury Market,'' with T. G. Andersen

"Stochastic Volatility, Mean Drift and Jumps in the Short Term Interest Rate," 2004, with Torben G. Andersen and Jesper Lund

"Pricing Options under Stochastic Volatility: An Empirical Investigation," 2002

• Older version: "Pricing Options under Stochastic Volatility: An Econometric Analysis"

Other Links: 

My web page at SSRN

My web page at the Federal Reserve Bank of Chicago 

My web page at Google Scholar

The views expressed herein are those of the author and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System.