Overview
Anna Cieslak conducts research in macro-finance and empirical asset pricing with emphasis on fixed income markets. Her recent work studies the dynamics of the Treasury yield curve, including Treasury risk premia, the behavior of real rates and interest rate volatility. Her interests also involve the effects of monetary policy on asset markets, and questions related to sovereign credit risk, and financial econometrics. Anna holds master’s degree from the Warsaw School of Economics and received her PhD degree from the University of Lugano in Switzerland in June 2011. She spent an academic year as a visiting PhD student at the University of Chicago, Booth School of Business. In 2011, she joined the faculty at Northwestern University’s Kellogg School of Management. She joined Fuqua School of Business at Duke University in July 2015
Current Appointments & Affiliations
Associate Professor of Business Administration
·
2021 - Present
Fuqua School of Business
Recent Publications
Inflation and Asset Returns
Journal Article Annual Review of Financial Economics · November 1, 2023 The past half-century has seen major shifts in inflation expectations, how inflation comoves with the business cycle, and how stocks comove with Treasury bonds. Against this backdrop, we review the economic channels and empirical evidence on how inflation ... Full text CiteCommon shocks in stocks and bonds
Journal Article Journal of Financial Economics · November 1, 2021 We propose an approach to identify economic shocks (monetary, growth, and risk premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identi ... Full text CiteThe Economics of the Fed Put
Journal Article Review of Financial Studies · September 1, 2021 Since the mid-1990s, negative stock returns comove with downgrades to the Fed's growth expectations and predict policy accommodations. Textual analysis of FOMC documents reveals that policy makers pay attention to the stock market. The primary mechanism is ... Full text CiteEducation, Training & Certifications
University of Lugano (Switzerland) ·
2011
Ph.D.