Pierluigi Balduzzi
Biographic Data
| ID | 5806162 |
|---|---|
| NAME | Pierluigi Balduzzi |
| GIVEN NAMES | Pierluigi |
| FAMILY NAME | Balduzzi |
| SIGNATURE | BALDUZZI P |
| AFFILIATIONS | Boston College |
| ORCID | 0000-0002-9520-8001 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1998 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Political Risk, Populism and the Economy
We study the financial and real effects of political risk shocks for Italy, Spain, Ireland, Portugal and Greece between 2008 and 2019. We build an instrument for these shocks using the changes of the sovereign yield spread around political and policy dates, and estimate their effects in the context of local projection. We show that adverse political risk shocks have negative effects on domestic financial markets and in some countries generate spi…
Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM**, the factors are replaced by their projections on the span of excess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sam…
The Central Tendency
We assume that the instantaneous riskless rate reverts toward a central tendency which, in turn, is changing stochastically over time. As a result, current short-term rates are not sufficient to predict future short-term rate movements, as it would be the case if the central tendency were constant. However, since longer maturity bond prices incorporate information about the central tendency, longer maturity bond yields can be used to predict futu…
No prominent works on this page.
The Central Tendency
We assume that the instantaneous riskless rate reverts toward a central tendency which, in turn, is changing stochastically over time. As a result, current short-term rates are not sufficient to predict future short-term rate movements, as it would be the case if the central tendency were constant. However, since longer maturity bond prices incorporate information about the central tendency, longer maturity bond yields can be used to predict futu…
Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM**, the factors are replaced by their projections on the span of excess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sam…
Political Risk, Populism and the Economy
We study the financial and real effects of political risk shocks for Italy, Spain, Ireland, Portugal and Greece between 2008 and 2019. We build an instrument for these shocks using the changes of the sovereign yield spread around political and policy dates, and estimate their effects in the context of local projection. We show that adverse political risk shocks have negative effects on domestic financial markets and in some countries generate spi…
Economics (3 works) · Monetary Policy and Economic Impact (3 works) · Econometrics (2 works) · Mathematics (2 works) · Statistics (2 works) · Bond (1 work) · Computer Science (1 work) · Constant (computer programming) (1 work) · Context (archaeology (1 work) · Credit Risk and Financial Regulations (1 work)