Greg Duffee

Carl Christ Professor of Economics

Wyman Park Building 552
By appointment only
Curriculum Vitae
Personal Website


My research focuses primarily on building and testing mathematical models of interest rate behavior. I began my professional career as a staff economist at the Federal Reserve Board. Prior to joining Johns Hopkins I was a professor at the University of California at Berkeley. I’ve also taught at the University of Pennsylvania’s Wharton School of Business.

Journal Publications

"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

  • 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

AS.180.366 (01), Corporate Finance, Spring 2011, Tu 1:30 – 4:00

AS.180.662 (01), Asset Pricing, Spring 2011, M 9:30 – 12:30

AS.180.697 (01), Research Seminar, Spring 2011, F 12:30 – 2:20