Seth Pruitt is an assistant professor in the Department of Finance at the W. P. Carey School of Business at Arizona State University. Prior to this, he was senior economist at the Federal Reserve Board of Governors. He received his doctorate in economics from the University of California, San Diego in 2008.
His research focuses on asset pricing, macroeconomics, and econometrics and has been published in leading journals such as American Economic Review, Journal of Finance, and Journal of Financial Economics. His awards include: 2016 Best Paper in JFE, Fama/DFA (First Prize); 2012 AQR Insight Award (First Prize).
- “The Liquidity Effects of Official Bond Market Intervention” Journal of Financial and Quantitative Analysis, Feb 2018, 53(1): 243-268. (with M. De Pooter and R. Martin)
- “Estimating Monetary Policy Rules When Interest Rates Are Stuck at Zero” Journal of Money, Credit and Banking, June 2017, 49(4): 585-602. lead article (with J. Kim)
- “Systemic Risk and the Macroeconomy: An Empirical Evaluation” Journal of Financial Economics, March 2016, 119(3): 457-471 lead article (with S. Giglio and B. Kelly) Winner of the 2016 Best Paper in JFE, Fama/DFA Prize (First Place); Winner of the 2015 Roger F. Murray Q-Group Prize 2015
- “The Three-Pass Regression Filter: A New Approach to Forecasting with Many Predictors” Journal of Econometrics, June 2015, 186(2): 294-316 (with B. Kelly)
- “The Demand for Youth: Explaining Age Differences in the Volatility of Hours” American Economic Review, December 2013, 103(7): 3022-3044 (with N. Jaimovich and H. Siu)
- “Market Expectations in the Cross Section of Present Values” Journal of Finance, October 2013, 68(5): 1721-1756 lead article (with B. Kelly) Winner of the 2012 AQR Insight Award First Prize; Awarded 2011 Q Group research grant (per law, Pruitt did not accept grant money)
- “Uncertainty over Models and Data: The Rise and Fall of American Inflation” Journal of Money, Credit and Banking, Mar-Apr 2012, 44(2-3): 341-365
- “Estimating the Market-Perceived Monetary Policy Rule” American Economic Journal: Macroeconomics, July 2011, 3(3): 1-28 lead article (with J. Hamilton and S. Borger)
Older working papers: