Anna Cieslak / Welcome to my homepage

Duke University, The Fuqua School of Business
Finance Area, Office W405
100 Fuqua Drive, P. O. Box 90120
Durham, NC 27708-0120

Phone: +1 (919) 660-7879
E-mail: ancieslak 
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at 
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gmail 
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dot 
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com


Publications and forthcoming 

Expected returns in Treasury bondswith Pavol Povala, Review of Financial Studies, 2015, 28(10), 2859-2901 (paper) (appendix)

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

Short-rate expectations and unexpected returns in Treasury bonds, Review of Financial Studies, 2018, 31(9), 3265-3306 (paper)
Lead Article and Editor's Choice

Stock returns over the FOMC cycle, with Adair Morse and Annette Vissing-Jorgensen, Journal of Finance, forthcoming (paper) (appendix)
Best Paper Prize, ASU Sonoran Winter Finance Conference, 2015
Media: WSJReutersEconomist

Working papers

Non-monetary news in central bank communication, with Andreas Schrimpf (paper)
Updated: August 2018; NBER ISoM 

The economics of the "Fed put", with Annette Vissing-Jorgensen (paper)
Updated: September 2018; NBER ME and NBER AP
Media: BloombergWSJ

Carry trade and currency mix of corporate debt, with Manuel Adelino and Lorena Keller
Updated: February 2017

Nominal term spread, real rate and consumption growth, with Pavol Povala (paper)  
Updated: February 2014

Recent conference discussions

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
One central bank to rule them all, F. Brusa, P. Savor and M. Wilson, WFA 2016
Robust bond risk premia, M. Bauer and J. Hamilton, WFA 2016
Monetary policy through production networks, A. Ozdagli and M. Werber, Duke/UNC Asset Pricing Conference 2016
Monetary policy surprises, investment opportunities, and asset prices, A. Detzel, AFA 2016
Economic policy uncertainty and the yield curve, M. Leippold and F. Matthys, November 2015, 5th Conference on Fixed Income Markets, Federal Reserve Bank of San Francisco and Bank of Canada 
The equilibrium real funds rate: Past, present and future , J. Hamilton, E. Harris, J. Hatzius and K. West, October 2015, Brookings Institution (link) 
Deflation Risk, M. Fleckenstein, H. Lustig and F. Longstaff, ASU Sonoran 2015 (Best Discussant Prize)
Surveys expectations of returns and asset pricing puzzles, R.J. Koijen, M. Schmeling and E.B. Vurgt, AFA 2015 (slides) - Sketches of my work-in-progress on "Growth expectations and expectations of returns"


Older work

Correlation risk and the term structure of interest rates, with Andrea Buraschi and Fabio Trojani (paper) 
This version: October 2008; 
WFA'07,  EFA'07, ASAP'07