Anna Cieslak / Welcome to my homepage
Associate Professor of Finance
Duke University, Fuqua School of Business
NBER and CEPR
ancieslak • at • gmail • dot • com
Publications and forthcoming papers
Expected returns in Treasury bonds, with Pavol Povala, Review of Financial Studies, 2015, 28(10), 2859-2901
Information in the term structure of yield curve volatility, with Pavol Povala, Journal of Finance, 2016, 71(3), 1393-1436
Short-rate expectations and unexpected returns in Treasury bonds, Review of Financial Studies, 2018, 31(9), 3265-3306
Lead Article and Editor's Choice
Non-monetary news in central bank communication, with Andreas Schrimpf, Journal of International Economics, 2019, 118, 293-315
Central bank communication events database
Media: VoxEU
Stock returns over the FOMC cycle, with Adair Morse and Annette Vissing-Jorgensen, Journal of Finance, 2019, 74(5), 2201-2248
Best Paper Prize, ASU Sonoran Winter Finance Conference, 2015
Media: WSJ, Reuters, Economist
The economics of the "Fed put," with Annette Vissing-Jorgensen, Review of Financial Studies, 2021, 34(9), 4045-4089
Lead Article and Editor's Choice
Media: Bloomberg, WSJ, NBER Digest, Richmond Fed Econ Focus
Common shocks in stocks and bonds, with Hao Pang, Journal of Financial Economics, 2021, 142(2), 880-904
(published) (SSRN) (slides incl. Covid-19 plots)
Media: Forbes
Inflation and asset returns with Carolin Pflueger, Annual Review of Financial Economics, 2023, 15, 433-448
Media: BFI Insights Research Brief
Working papers and work in progress
Did I make myself clear? The Fed and the market in the post-2020 framework period, with Michael McMahon and Hao Pang (paper)
Updated: June 2024
Conference draft for "An agenda for the Federal Reserve’s review of its monetary policy framework" at the Brookings Institution
Risk premia, subjective beliefs, and forward guidance, with Paymon Khorrami (coming soon)
Updated: February 2024
Inflation and Treasury convenience, with Wenhao Li and Carolin Pflueger (paper)
Updated: November 2023
Tough talk: The Fed and the risk premium, with Michael McMahon (paper)
Updated: December 2023; NBER ME Spring 2024
Media: WSJ, CNBC, Fuqua Insights
Policymakers’ uncertainty, with Stephen Hansen, Michael McMahon, and Song Xiao (paper)
Updated: November 2023; NBER ME Fall 2022
Media: Fuqua Insights
Policy announcement design, with Semyon Malamud and Andreas Schrimpf (paper)
Updated: July 2020; AEA session on Central Bank Communication
Recent conference discussions
A monetary policy asset pricing model, R. Caballero and A. Simsek, Red Rock Finance Conference 2023
Monetary-based asset pricing: A mixed-frequency structural approach, F. Bianchi, S. Ludvigson, S. Ma, NBER Asset Pricing 2023
The secular decline in long-term yields around FOMC meetings, S. Hillenbrand, AFA 2023
Monetary policy, segmentation, and the term structure, R. Kekre, M. Lenel, F. Mainardi, NBER SI Macro, Money and Financial Frictions 2022
Interest rate skewness and biased beliefs, M. Chernov and M. Bauer, CDI 2021
The secular decline in long-term yields around FOMC meetings, S. Hillenbrand, MFA 2021
Avoiding Volatility of Individual Stock: Institutional Trading around Scheduled Announcements, M. Di Maggio, F. Franzoni, S. Kogan, and R. Xing, CICF 2021
More than 100% of the equity premium: How much is really earned on macroeconomic announcement days?, R. Ernst, T. Gilbert, and C. Hrdlicka, SFS Cavalcade 2020
The passthrough of Treasury supply to bank deposit funding, W. Li, Y. Ma, and Y. Zhao, SFS Cavalcade 2020
Post-FOMC announcement drift in U.S. bond markets, J. Brooks, M. Katz, and H. Lustig, NBER Behavioral Finance Meeting 2019
Deconstructing the yield curve, R. Crump and N. Gospodinov, LBS Summer Symposium in Asset Pricing 2019
Outside the Box: Unconventional monetary policy in the Great Recession and beyond, K. Kuttner, Brookings Institution 2018 (link)
The time variation in risk appetite and uncertainty, G. Bekaert, E. Engstrom, and N. Xu, Conference on Global Risk, Uncertainty and Volatility, Federal Reserve Board 2018
Monetary policy slope and the stock market, A. Neuhierl and M. Weber, AFA 2018
Interest rates under falling stars, M. Bauer and G. Rudebusch, Bank of Canada-SF Fed Fixed Income Conference 2017
The Federal Reserve and market confidence, N. Boyarchenko, V. Haddad, and M. Plosser, NBER SI Macro Money and Financial Frictions 2017
The cross-section of subjective bond risk premia, A. Buraschi, I. Piatti, and P. Wehlan, Adam Smith Asset Pricing Conference 2017
The banking view of bond risk premia, V. Haddad and D. Sraer, AFA 2017
Permanent working papers
Carry trade and currency mix of corporate debt, with Manuel Adelino and Lorena Keller
Updated: February 2017; SED'17
Nominal term spread, real rate and consumption growth, with Pavol Povala (paper)
Updated: February 2014
Correlation risk and the term structure of interest rates, with Andrea Buraschi and Fabio Trojani (paper)
Updated: October 2008; WFA'07, EFA'07, ASAP'07