Gregory R. Duffee
Carl Christ Professor of Economics
Johns Hopkins University
463 Mergenthaler Hall
3400 N. Charles St.
Baltimore, MD 21218
Click here for a CV (pdf file)
2013 (calendar year) On leave from JHU, serving as Executive Fellow,
Office of Financial Research, U.S. Department of the Treasury
- 2009 Associate Professor, Haas School of Business, Berkeley
1999 - 2005 Assistant Professor, Haas School
1998 - 1999 Visiting lecturer, Haas School
1994 - 1999 Senior economist, Trading Risk Analysis Section, Federal Reserve Board, Washington, DC
1992 - 1994 Economist, Trading Risk Analysis Section, Federal Reserve Board
1989 - 1992 Economist, Capital Markets Section, Federal Reserve Board
Term structure of interest rates, stock return dynamics, credit risk
Refereed Publications (including forthcoming articles)
“Estimation of dynamic term structure models,” Quarterly Journal of Finance 2, 2012, page numbers undetermined. Joint with Richard Stanton.
"Evidence on simulation inference for
near unit-root processes with implications for term structure estimation,"
Journal of Financial Econometrics 6, 2008, 108-142. Joint with
Richard Stanton (page numbers on this linked version are incorrect)
"Term structure estimation without using latent factors," Journal of Financial Economics 79, 2006, 507-536.
"Time-variation in the covariance
between stock returns and consumption growth," Journal of Finance
60, 2005, 1673-1712.
Excel file with all data
"Term premia and
interest rate forecasts in affine models," Journal of Finance 57,
Some supplementary information for "Term premia..." is accessible here.
"Credit derivatives in banking: Useful tools for managing risk?" Journal of Monetary Economics 48, 2001, 25-54. (joint with Chunsheng Zhou)
"Estimating the price of default risk," Review of Financial Studies 12, 1999, 197-226.
"The relation between Treasury yields and corporate
bond yield spreads," Journal of Finance 53, 1998, pp.
(An appendix mentioned in this paper is available, in PDF form, here.)
"Idiosyncratic variation of Treasury bill yields," Journal of Finance 51, 1996, pp. 527-552.
"On measuring credit risks of derivative instruments," Journal of Banking and Finance 20, 1996, pp. 805-833.
"Stock returns and volatility: A firm-level analysis," Journal of Financial Economics 37, 1995, pp. 399-420.
"A securities transactions tax: Beyond the rhetoric," Research in Financial Services Public and Private Policy 5, 1993, pp. 55-76 (joint with Paul Kupiec and Patricia White)
"A primer on program trading and stock price volatility," Research in Financial Services Public and Private Policy 4, 1992, pp. 21-49 (joint with Paul Kupiec and Patricia White)
“Bond pricing and the macroeconomy,” prepared for the Handbook of the Economics of Finance. This version is July 2012, and fixed some typos and corrects some table entries in the forthcoming handbook. The data and Matlab files used to prepare the tables are zipped here.
“Discussion of ‘Moral hazard and adverse selection in the originate-to-distribute model of bank credit’,” Journal of Monetary Economics 56, 2009, 744-747.
"Rethinking risk management for banks: Lessons from credit derivatives," in Proceedings of the 32nd Annual Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1996, pp. 381-400.
"The variation of default risk with Treasury yields," in Proceedings of a Joint Central Bank Research Conference on Risk Measurement and Systemic Risk, Board of Governors of the Federal Reserve, 1996, 29-58.
"Discussion of 'Banks and Derivatives'," 1995 NBER
Macroeconomics Annual, pp. 343-347.
“Expected inflation and other determinants of Treasury yields,” latest version August 2014
“Forecasting with the term structure: the role of no-arbitrage restrictions,” latest version January 2011.
“Sharpe ratios in term structure models,” latest version April 2010.
"Are variations in term premia related to the
revision June 2007.
Appendix describing code used to estimate model and simulate regressions
Estimated parameters of models mentioned in paper but not reported there
zipped directory with data and matlab code
"The long-run behavior of firms' stock returns: Evidence and
interpretations," last revision August 2002.
"Balance sheet explanations for asymmetric volatility," last
revision May 2002.
"Can banks hedge their risks?" April 1997
"What's good for GM...? Using auto industry returns to forecast business cycles and test the Q-theory of investment," Federal Reserve Board Working Paper 1996-38 (joint with Stephen D. Prowse)
"Sunspots in stock market volatility," 1993.
"On the relation between the level and volatility of short-term interest rates: A comment on Chan, Karolyi, Longstaff, and Sanders," 1993.