Annette Vissing-Jorgensen
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Current
Positions and Affiliations: Professor, Haas School of Business,
University of California Berkeley. Holds the Arno A. Rayner Chair in Finance
and Management Academic Advisor, Sveriges
Riksbank Member, Academic Advisory Panel, Federal
Reserve Bank of San Francisco Faculty Research Fellow/Research Associate,
National Bureau of Economic Research, 2001-present External member, Center for Financial
Frictions, Copenhagen Business School, 2011-present Contact Information: University of California,
Berkeley 545 Student Services Bldg #1900 Berkeley, CA 94720 Phone: 510-643-8013 Fax: 510-643-1412 Areas of Interest: Monetary policy,
asset pricing, household finance CV: PDF |
Published/forthcoming:
1.
Limited Asset
Market Participation and the Elasticity of Intertemporal Substitution, Journal
of Political Economy, August 2002. (Earlier longer more ambitious
version, December 1999, "Limited Stock
Market Participation and the Equity Premium Puzzle")
2.
Stock Market
Participation, Intertemporal Substitution and Risk Aversion joint with
Orazio P. Attanasio, American Economic Review, Papers and
Proceedings, May 2003.
3.
Perspectives
on Behavioral Finance: Does "Irrationality" Disappear with Wealth?
Evidence from Expectations and Actions, NBER Macroeconomics Annual 2003. Discussions by John Campbell and Owen Lamont.
4.
The Returns to
Entrepreneurial Investment: A Private Equity Premium Puzzle? joint with
Tobias Moskowitz. American Economic Review, September 2002 (supported by NSF
grant 0111795).
5. Testing Agency Theory
With Entrepreneur Effort and Wealth
joint with Marianne Bitler and Tobias Moskowitz, Journal of Finance, April
2005, lead article.
Winner, Journal of Finance Brattle Prize (Distinguished
Paper) for 2005.
6.
Mandated Disclosure,
Stock Returns, and the 1964 Securities Acts Amendments, joint with Michael
Greenstone and Paul Oyer. Quarterly Journal of Economics, May
2006.
7. The
Value of Knowing, joint with Michael Greenstone and Paul Oyer – this is a
shorter version of the above paper, Regulation, Summer 2006. Includes
discussion by Edmund Kitch.
8. Long-Run Stockholder
Consumption Risk and Asset Returns, with Christopher Malloy and Tobias
Moskowitz. Journal of Finance, December
2009, lead article. Consumption
growth data for all households (from NIPA), and for stockholders, top
stockholders and non-stockholders (from the
CEX), stata format (see paper for
definitions).
Nominated for Journal of Finance
Smith-Breeden Prize for 2010.
9. A Lobbying
Approach to Evaluating The Sarbanes-Oxley Act of 2002, with Yael Hochberg
and Paola Sapienza. Journal of Accounting Research, May 2009. Discussion
by G. Andrew Karolyi
10. Who Bears
Aggregate Fluctuations and How?, joint with Jonathan A. Parker. American
Economic Review, Papers and Proceedings, May 2009. Unpublished appendix.
11. The
Increase in Income Cyclicality of High-Income Households and its Relation to
the Rise in Top Income Shares, Brookings Papers on Economic Activity,
Fall 2010.
12. The Effects
of Quantitative Easing on Interest Rates: Channels and Implications for Policy,
with Arvind Krishnamurthy, Brookings Papers on Economic Activity,
Fall 2011.
13. The
Aggregate Demand for Treasury Debt, with Arvind Krishnamurthy, Journal
of Political Economy, April 2012.
14. Informational
Hold-Up and Performance Persistence in Venture Capital, with Yael Hochberg
and Alexander Ljungqvist, Review of Financial Studies, 2013
Winner, Argentum Prize for Best
Symposium Paper on Private Equity and Funds of Private Equity, European Finance
Association 2009.
15. The Ins and Outs of Large Scale
Asset Purchases, with Arvind
Krishnamurthy, Kansas City Federal
Reserve Symposium on Global Dimensions of Unconventional Monetary Policy, 2013
16. The
Impact of Treasury Supply on Financial Sector Lending and Stability, with
Arvind Krishnamurthy, Journal of Financial Economics, 2015
Winner, Swiss Finance Institute Outstanding Paper Award, 2015
17. ECB
Policies involving Government Bond Purchases: Impact and Channels, with
Arvind Krishnamurthy and Stefan Nagel. Review
of Finance, 2018
18. Stock Returns over the FOMC Cycle,
with Anna Cieslak and Adair Morse. Journal of Finance, 2019. Internet appendix.
19. Central Banking
with Many Voices: The Communications Arms Race, Conference Proceedings, 23rd
Annual Conference of the Central Bank of Chile, 2019
20. The Economics
of the Fed Put, with Anna Cieslak, Review
of Financial Studies, 2020
21. November
11, 2020, Informal
Central Bank Communication, Slides,
forthcoming, Conference Proceedings, ECB Forum on Central Banking (Sintra), 2020
22. Discussion from Brookings Spring 2014 of the paper
“Effects of Unconventional Monetary Policy on Financial Institutions” by
Gabriel Chodorow-Reich
23.
Discussion
from the NBER Macroeconomics Annual 1999 of the paper "Stock Prices
and Fundamentals" by John Heaton and Deborah Lucas.
Working papers/notes:
24. New,
January 2021, A
Stock Return Decomposition using Observables, with Benjamin Knox
25. August
26, 2020, The
Treasury Market in Spring 2020 and the Response of the Federal Reserve
26. March
22, 2020 policy note: The
Case for Federal Reserve Corporate Bond Purchases
March 23,
2020 Fed announcement: https://www.federalreserve.gov/newsevents/pressreleases/monetary20200323b.htm
includes corporate bond purchases (PMCCF, SMCCF).
27. New version, December, 2020:
Information
Transmission from the Federal Reserve to the Stock Market: Evidence from
Governors’ Calendars, with Adair Morse.
28. The
Impact of Pensions and Insurance on Global Yield Curves, with Robin
Greenwood, 2018, R&R
29. Consumer
Credit: Learning Your Customer's Default Risk from What (S)he
Buys, working paper, 2016. Being revised for first submission.
30. Why
an MBS-Treasury swap is better policy than the Treasury twist, with Arvind
Krishnamurthy (The main parts of this note is included in 15. above.)
31. The
Impact of Labor Income Risk
on Educational Choices:
Estimates and Implied Risk Aversion, with Helena Skyt Nielsen, first
draft, January 2006.
32. Towards
an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income
and Participation Cost Structures, NBER Working Paper, 2002 (The main parts
of this paper are included in the NBER Macroeconomics Annual paper above.)
·
Slides
from 2007 Gerzensee Focus Session: Household
Finance: The Liability Side
Recent discussions/panels:
2021:
NBER EFG meeting, “Fifty Shares of QE: Comparing Findings of Central Bankers
and Academics”, by Fabo, Jancokova,
Kempf and Pastor, Slides
2020: Women in Macro
Conference, “How the Wealth Was Won: Factor Shares as Market Fundamentals”, by
Greenwald, Lettau and Ludvigson, Slides
2020: Red Rock Finance
Conference, “A q-theory of inequality”, by Gomez and Bonenfant,
Slides
2020: NBER MEFM/AP meeting,
“Monetary Policy with Opinionated Markets”, by Cabellero
and Simsek, Slides
2019: NBER MEFM/AP meeting,
“Riskfree Interest Rates”, by van Binsbergen, Diamond
and Grotteria, Slides
2019: WFA meeting, “The cross-section of monetary policy
announcement premium”, Hengjie Ai,
Leyla Jianyu Han, Xuhui Pan and Lai Xu Slides
2019: Federal Reserve conference
in Chicago, “Evaluating Central Banks’ Tool Kit: Past, Present, and Future”,
Eric Sims and Jing Cynthia Wu Slides
Video
2019: Federal Reserve/BIS
conference in New York, Remarks on Unconventional Monetary Policy Slides
2018: WFA meeting, “A Test of
Consumption Smoothing and Liquidity Constraints: Spending Responses to Paying
Taxes and Receiving Refunds”, by Baugh, Ben-David, Park and Parker Slides
2018: Panel discussion at
Nobel Symposium in Stockholm, Slides
2018: Bank of Canada/Queens Workshop on Financial
Intermediation and Regulation, “Identifying Dependencies in the Demand for
Government Securities”, by Allen, Kastl and Wittwer Slides
2018: UNC/Duke Asset Pricing Conference, “Monetary
Policy and Reaching for Income”, by Daniel, Garlappi and Xiao Slides
2018: AEA meeting, “The Macroeconomics Effects of
Government Asset Purchases: Evidence from Postwar US Housing Credit Policy”, by
Fieldhouse, Mertens and Ravn
Slides
2017: NBER ISOM conference,
``The US Treasury Premium”, by Du, Im and Schreger Slides
2017: University of Chicago conference
on government debt. ``Forward Guidance in the Yield Curve: Short Rates Versus
Bond Supply”, by Greenwood, Hanson and Vayanos Slides
2017: San Francisco Fed Macroeconomics and Monetary Policy conference, ``Should Unconventional Monetary Policies Become Conventional”, by Dominic Quint and Pau Rabanal Slides
2016:
Miami Behavioral Finance Conference “Noncognitive Abilities and Financial
Distress”, by Gianpaolo Parise and Kim Peijnenburg Slides
2015:
FRIC conference at Copenhagen Business School, “Interpreting Factor Models”, by
Kozak, Nagel and Santosh Slides
2015: NBER Household Finance
Meeting “Wealth and Stock Market Participation: Estimating the Causal Effect
from Swedish Lotteries”, by Briggs, Cesarini, Lindqvist and Ostling Slides
2015: NBER EASE Meeting
"Liquidity Requirements, Liquidity Choice and Financial Stability",
by Douglas Diamond and Anil Kashyap Slides
2015: NBER Monetary Economics
Meeting, "The Liquidity Premium of Near-Money Assets", by Stefan
Nagel Slides
2014: FRIC conference at
Copenhagen Business School, "Intermediary Balance Sheets", by Tobias
Adrian and Nina Boyarchenko Slides
2014: Brookings Panel on
Economic Activity, "Effects of Unconventional Monetary Policy on Financial
Institution Risk-Taking", by Gabriel Chodorow-Reich. Published
discussion
2014: NBER Corporate Finance
Meeting, "Banks a Patient Fixed Income Investors", by Hanson,
Shleifer, Stein and Vishny Slides
Fun:
