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
Common shocks in stocks and bonds, with Hao Pang, Journal of Financial Economics, accepted
(SSRN) (slides incl. Covid-19 plots)
Updated: October 2020; NBER AP, WFA , and NBER ME SI
Media: Forbes
Working papers and work in progress
Monetary policymakers’ uncertainty with Stephen Hansen, Michael McMahon, and Song Xiao (paper)
Policy announcement design, with Semyon Malamud and Andreas Schrimpf (paper)
Updated: July 2020; AEA session on Central Bank Communication
The r-star with Francesco Bianchi
Stock-bond nexus with Ivan Shaliastovich
The Fed and the risk premia: Inspecting the mechanism
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