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

(published) (SSRN) (appendix)

Information in the term structure of yield curve volatility, with Pavol Povala, Journal of Finance, 2016, 71(3), 1393-1436

(published) (SSRN) (appendix)

Short-rate expectations and unexpected returns in Treasury bonds, Review of Financial Studies, 2018, 31(9), 3265-3306

(published) (SSRN) (appendix)

Lead Article and Editor's Choice

Non-monetary news in central bank communication, with Andreas Schrimpf, Journal of International Economics, 2019, 118, 293-315

(published) (SSRN) (appendix)

Central bank communication events database

Media: VoxEU

Stock returns over the FOMC cycle, with Adair Morse and Annette Vissing-Jorgensen, Journal of Finance, 2019(5), 74, 2201-2248

(published) (SSRN) (appendix)

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, forthcoming

(SSRN) (appendix)

Media: Bloomberg, WSJ, NBER Digest

Working papers

Common shocks in stocks and bonds, with Hao Pang (paper), R&R

Updated: April 2020; NBER AP, WFA ,and NBER ME SI (slides incl. Covid-19 plots)

Policy announcement design, with Semyon Malamud and Andreas Schrimpf (paper)

Updated: July 2020; AEA session on Central Bank Communication

Recent conference discussions

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