Overview
Monika Piazzesi is a financial economist (University of Chicago Booth School of Business; earlier Stanford, UCLA) specializing in macro-finance, term structure dynamics, and monetary policy transmission through bond markets. Her work uses no-arbitrage pricing frameworks combined with macro VARs to understand how central bank policy and macroeconomic shocks propagate through the yield curve.
Key Contributions
- Ang and Piazzesi (2001/2003) — "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables." Journal of Monetary Economics 50 (2003): 745–787. Joint no-arbitrage VAR with observable macro and latent yield factors; analytical IRFs for all maturities; forecasting superiority over unrestricted VARs. See Affine Term Structure Model.
- Piazzesi (2001/2005) — "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects." NBER Working Paper 8246. Incorporates FOMC announcement dates as macroeconomic jump events in an affine term structure model.
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