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Gregory R. Duffee

Carl Christ Professor of Economics
Johns Hopkins University 
463 Mergenthaler Hall

3400 N. Charles St.
Baltimore, MD  21218

Phone: 410-516-8828
Fax: 410-516-7600

Click here for a CV (pdf file)

Prior positions

    2013 (calendar year) On leave from JHU, serving as Executive Fellow,

                           Office of Financial Research, U.S. Department of the Treasury

    2005 - 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


Research Interests

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.

Information in (and not in) the term structure,” Review of Financial Studies 24, 2011, 2895-2934.  The on-line appendix.  A matlab file with the factors.  Description of the matlab file.

"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, 2002, 405-443.
        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. 2225-2242.
    (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)

Other Publications

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. 

Forecasting interest rates,” prepared for the Handbook of Economic Forecasting, Vol. 2.  This version is July 2012.  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.

Unpublished Papers

Expected inflation and other determinants of Treasury yields,” latest version July 2016.  An earlier version received the NASDAQ OMX Award for Best Paper on Asset Pricing at the 2015 WFA meeting.  Appendix with results nobody else thinks are particularly interesting…

“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 macroeconomy?", latest revision June 2007.
        PDF version   
        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.
         PDF version

"Balance sheet explanations for asymmetric volatility," last revision May 2002.  
         PDF version

"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.

Link to economics department home page