Gregory R. Duffee
Associate Professor
Haas School of Business
University of California
545 Student Services Building #1900
Berkeley, CA 94720-1900
Email: duffee@haas.berkeley.edu
Phone: 510-642-1435
Fax: 510-643-1420
Click here for a CV (pdf file)
On leave during the 2008-2009 academic year. You can locate me at:
Greg Duffee
Carl Christ Professor of Economics
Johns Hopkins University
3400 N. Charles St
Baltimore, MD 21218
Phone: 410-516-8828
Fax: 410-516-7600
duffee@jhu.edu
www.econ.jhu.edu/people/Duffee
Prior positions
1999 - 2005 Assistant Professor, Haas School of Business, Berkeley
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
Education
- Ph.D. in Economics, Harvard University, Cambridge,
Massachusetts, 1989
- B.A. in Economics and Mathematics, Macalester College, St. Paul,
Minnesota, 1983
- Even my high
school has a web page!
Research Interests
Term structure of interest rates, stock return dynamics, credit risk.
Refereed Publications
"Evidence on simulation inference for
near unit-root processes with implications for term structure estimation,"
Journal of Financial Econometrics, forthcoming, 2007. Joint with
Richard Stanton. Ignore the page numbers on this pdf version -- they are
not yet determined.
"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
"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
"Information in (and not in) the term structure," latest version June 2008.
“Forecasting with the term structure: the role of no-arbitrage,” latest revision May 2008.
"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
"Estimation of dynamic term structure models," last revision March
2004. Joint with Richard Stanton.
PDF
version (a link to the paper on Richard's home page)
"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.