Guillaume Roussellet

Assistant Professor of Finance

McGill University (on leave)

Research Economist - Federal Reserve Bank of New York

Contact Details:
33 Liberty St, 4th floor,
New York, NY 10045, USA
McGill webpage, FRBNY webpage,
\(\rightarrow\) guillaume.roussellet[at]
\(\rightarrow\) download my CV

🧠 Research interests: Financial Econometrics, Monetary Policy and Macrofinance, Term Structure of Interest Rates, Credit Risk.

Working Papers

  • What do Bond Investors Learn from Macroeconomic News?, 2021
    with Bruno Feunou and Jean-Sebastien Fontaine


    Macroeconomic data releases drive US bond yields primarily through the term premium instead of the expectation channel. The evidence exploits a monthly specification for yields embedding the impacts of news identified from high-frequency data. To match the facts, we develop and calibrate a no-arbitrage model where investors learn about future monetary policy using data releases with imperfect information. If macro news carry perfect information, the model predicts that the bonds’ Sharpe ratio decreases and the term premium declines by half for every maturity, suggesting that central bank’s communication can lower the term premium and financing costs across the economy.

  • Identifying Beliefs From Asset Prices, 2023 (new version)
    R&R Review of Financial Studies, with Anisha Ghosh


    We propose a novel methodology to identify investors’ subjective beliefs from asset prices and survey forecasts. Our approach recovers price-consistent beliefs – the conditional distribution of macroeconomic and financial variables satisfying the Euler equations for a cross-section of assets, given an SDF and conditioning set – while producing unbiased survey forecast errors. Our procedure is agnostic about the DGP or investor rationality. Subjective beliefs about consumption growth are indicative of investor exuberance, stemming from overestimation of mean and underestimation of left tail risk. Beliefs about the stock market and its volatility are countercyclical and correlate with institutional investors’ expectations and VIX, respectively.

  • Default Risk and the Pricing of U.S. Sovereign Bonds, 2022 (new version)
    R&R Journal of Finance, with Robert Dittmar, Alex Hsu and Peter Simasek


    We examine the relative pricing of nominal Treasury bonds and Treasury inflation protected securities (TIPS) in the presence of United States default risk. Hedged breakeven inflation (ILSBEI) is positively and significantly related to U.S. default risk, driven by correlation between shocks to default risk and both shocks to inflation swap premia and TIPS yields. To understand the mechanisms through which default risk is related to inflation swaps and sovereign yields, we estimate an affine term structure model to capture their joint dynamics. Our estimation implies that the interaction between inflation dynamics and default is the primary source of differential pricing.

  • Preventing COVID-19 Fatalities: State versus Federal Policies, 2020
    with Jean-Paul Renne and Gustavo Schwenkler


    Are COVID-19 fatalities large when a federal government does not enforce containment policies and instead allow states to implement their own policies? We answer this question by developing a stochastic extension of a SIRD epidemiological model for a country composed of multiple states. Our model allows for interstate mobility. We consider three policies: mask mandates, stay-at-home orders, and interstate travel bans. We fit our model to daily U.S. state-level COVID-19 death counts and exploit our estimates to produce various policy counterfactuals. While the restrictions imposed by some states inhibited a significant number of virus deaths, we find that more than two-thirds of U.S. COVID-19 deaths could have been prevented by late November 2020 had the federal government enforced federal mandates as early as some of the earliest states did. Our results quantify the benefits of early actions by a federal government for the containment of a pandemic.

Published Papers

  • The Term Structure of Macroeconomic Risks at the Zero Lower Bound
    Journal of Econometrics, forthcoming


    title = {The term structure of macroeconomic risks at the effective lower bound},
    journal = {Journal of Econometrics},
    pages = {105383},
    year = {2023},
    author = {Guillaume Roussellet}

  • Scenario Generation for Long-Run Interest Rate Risk Assessment
    Journal of Econometrics, Vol. 201, No. 2, December 2017
    with Robert Engle and Emil Siriwardane


    title = {Scenario generation for long run interest rate risk assessment},
    journal = {Journal of Econometrics},
    volume = {201},
    number = {2},
    pages = {333-347},
    year = {2017},
    author = {Engle, Robert and Roussellet, Guillaume and Siriwardane, Emil},

  • Staying at Zero with Affine Processes
    Journal of Econometrics, Vol. 201, No. 2, December 2017
    with Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne


    title = {Staying at zero with affine processes: An application to term structure modelling},
    journal = {Journal of Econometrics},
    volume = {201},
    number = {2},
    pages = {348-366},
    year = {2017},
    author = {Monfort, Alain and Pegoraro, Fulvio and Renne, Jean-Paul and Roussellet, Guillaume }

  • A Quadratic Kalman Filter
    Journal of Econometrics, Vol. 187, No. 1, July 2015
    joint with Alain Monfort and Jean-Paul Renne


    title = {A Quadratic Kalman Filter},
    journal = {Journal of Econometrics},
    volume = {187},
    number = {1},
    pages = {43-56},
    year = {2015},
    author = {Monfort, Alain and Renne, Jean-Paul and Roussellet, Guillaume}

  • Credit and Liquidity in Interbank Rates: A Quadratic Approach
    Journal of Banking and Finance, Vol. 68, July 2016
    with Simon Dubecq, Alain Monfort and Jean-Paul Renne


    title = {Credit and liquidity in interbank rates: A quadratic approach},
    journal = {Journal of Banking & Finance},
    volume = {68},
    pages = {29-46},
    year = {2016},
    author = {Dubecq, Simon and Monfort, Alain and Renne, Jean-Paul and Roussellet, Guillaume}

  • Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries
    International Tax and Public Finance, Vol. 21, pp. 436-467, 2014
    with Agnès Bénassy-Quéré


    title = {Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries},
    journal = {Internationl Tax and Public Finance},
    volume = {21},
    pages = {436-467},
    year = {2014},
    author = {Benassy-Quere, Agnes and Roussellet, Guillaume}