Philippe Mueller
Contact Details:
Warwick Business School Finance Group
University of Warwick
Gibbet Hill Road Coventry, CV4 7AL United Kingdom
Email: philippe dot mueller at wbs dot ac dot uk
Phone: +44 24761 50505
Google Scholar Profile
For bond replication codes and factors, please check Open Source Bond Asset Pricing.
Refereed Publications:
Priced Risk in Corporate Bonds, joint with Alex Dickerson and Cesare Robotti, Journal of Financial Economics, 2023 [JFE Link]
Replication codes, data and more can be found on Open Source Bond Asset Pricing
Foreign Exchange Fixings and Returns Around the Clock, joint with Ingomar Krohn and Paul Whelan, The Journal of Finance, forthcoming
Market-Based Monetary Policy Uncertainty, joint with Michael Bauer and Aeimit Lakdawala, The Economic Journal, 2022 [EJ Link]
Short-Run Bond Risk Premia, joint with Andrea Vedolin and Hao Zhou, The Quarterly Journal of Finance, 2019 [QJF Link]
Exchange Rates and Monetary Policy Uncertainty, joint with Alireza Tahbaz-Salehi and Andrea Vedolin, The Journal of Finance, 2017 [JF Link]
International Correlation Risk, joint with Andreas Stathopoulos and Andrea Vedolin, Journal of Financial Economics, 2017 [JFE Link]
Bond Variance Risk Premiums, joint with Andrea Vedolin and Hoyong Choi, Review of Finance, 2017 [RF Link]
Data: Treasury Implied Volatilities (TIV) 1990 - 2012
Mortgage Risk and the Yield Curve, joint with Aytek Malkhozov, Andrea Vedolin and Gyuri Venter, Review of Financial Studies, 2016 [RFS Link] [RFS Link]
The Term Structure of Inflation Expectations, joint with Mike Chernov, Journal of Financial Economics, 2012 [JFE Link]
Data: US Real Yields 1971 - 2002
Published Comment:
Comment on: "Income Inequality and Asset Prices under Redistributive Taxation", Journal of Monetary Economics, 2016 [JME Link]
Working Papers [SSRN site]:
The Corporate Bond Factor Zoo, joint with Alex Dickerson and Christian Julliard
This version: November 2023
Replication codes, data and more can be found on Open Source Bond Asset Pricing.
Corporate Credit Provision, joint with Nina Boyarchenko and Leonardo Elias
This version: September 2023
A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks, joint with Alex Dickerson, Mathieu Fournier and Alexandre Jeanneret
This version: October 2023
Central Bank Swap Lines: Micro-Level Evidence, joint with Gerrardo Ferrara, Ganesh Viswanath-Natraj and Junxuan Wang
This version: May 2023
International Illiquidity, joint with Aytek Malkhozov, Andrea Vedolin and Gyuri Venter
This version: October 2016
Credit Spreads and Real Activity
This version: July 2009
Last modified: November 2023