Greg Duffee

Carl Christ Professor of Economics

Wyman Park Building 552
By appointment only
410-516-8828
duffee@jhu.edu
Curriculum Vitae
Personal Website

Biography
Research
Teaching

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