Sirio Aramonte

Federal Reserve Board of Governors

Washington, DC

SCHOLARLY PAPERS

16

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79

CROSSREF CITATIONS

22

Scholarly Papers (16)

Non-Bank Financial Intermediaries and Financial Stability

Number of pages: 50 Posted: 18 Nov 2021 Last Revised: 10 May 2022
Sirio Aramonte, Andreas Schrimpf and Hyun Song Shin
Federal Reserve Board of Governors, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 539 (96,904)
Citation 9

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Financial intermediation, non-banks, market-based finance, market liquidity, systemic risk

Non-Bank Financial Intermediaries and Financial Stability

CEPR Discussion Paper No. DP16962
Number of pages: 50 Posted: 04 Feb 2022
Sirio Aramonte, Andreas Schrimpf and Hyun Song Shin
Federal Reserve Board of Governors, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 2 (1,172,092)
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Financial Intermediation, market liquidity, market-based finance, Non-banks, systemic risk

Firm-Specific Risk-Neutral Distributions with Options and CDS

Management Science
Number of pages: 62 Posted: 31 Jan 2017 Last Revised: 18 Jun 2021
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System, Temple University, Fox School of Business and Board of Governors of the Federal Reserve System
Downloads 348 (160,576)

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Risk Neutral Distributions, Investor Expectations, CDS Spreads

Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads

International Finance Discussion Paper No. 1212
Number of pages: 62 Posted: 07 Sep 2017
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Temple University, Fox School of Business
Downloads 64 (647,671)

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Risk Taking and Low Longer-Term Interest Rates: Evidence from the U.S. Syndicated Loan Market

FEDS Working Paper No. 2015-068, http://dx.doi.org/10.17016/FEDS.2015.068
Number of pages: 45 Posted: 21 Sep 2015 Last Revised: 19 Jun 2017
Sirio Aramonte, Seung Jung Lee and Viktors Stebunovs
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 254 (223,069)
Citation 9

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Syndicated loans, Shared National Credit Program, Shadow banking, Zero lower bound, Search for yield, Risk-taking channel of monetary policy

Risk Taking and Low Longer-Term Interest Rates: Evidence from the U.S. Syndicated Term Loan Market

Journal of Banking and Finance, Forthcoming
Number of pages: 68 Posted: 28 Mar 2019
Sirio Aramonte, Seung Jung Lee and Viktors Stebunovs
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 72 (606,955)
Citation 12

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Syndicated Term Loans; Shared National Credit Program; Shadow Banking; Zero Lower Bound; Search for Yield; Risk-Taking Channel of Monetary Policy

Firm-level R&D After Periods of Intense Technological Innovation: The Role of Investor Sentiment

Number of pages: 44 Posted: 13 Sep 2013 Last Revised: 14 Oct 2018
Sirio Aramonte and Matthew Carl
Federal Reserve Board of Governors and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 136 (391,184)

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Investor sentiment; technological innovation; R&D

Innovation, Investor Sentiment, and Firm-Level Experimentation

FEDS Working Paper No. 2015-067, http://dx.doi.org/10.17016/FEDS.2015.067
Number of pages: 47 Posted: 01 Sep 2015
Sirio Aramonte
Federal Reserve Board of Governors
Downloads 107 (470,363)

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Investor sentiment, R&D, Technological innovation

5.
Downloads 202 (278,809)
Citation 3

Measuring the Liquidity Profile of Mutual Funds

International Journal of Central Banking, Forthcoming
Number of pages: 41 Posted: 21 Mar 2018 Last Revised: 16 Jul 2019
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Federal Reserve Board of Governors, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 126 (415,513)

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liquidity transformation, asset management, mutual funds, market liquidity

Measuring the Liquidity Profile of Mutual Funds

FEDS Working Paper No. 2019-55
Number of pages: 42 Posted: 22 Oct 2019
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Federal Reserve Board of Governors, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 76 (588,319)
Citation 3

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6.

Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios

FEDS Working Paper No. 2011-19
Number of pages: 35 Posted: 20 May 2011 Last Revised: 18 Nov 2012
Sirio Aramonte, Marius Rodriguez and Jason Wu
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority
Downloads 163 (336,966)
Citation 3

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Risk Management, Value-at-Risk, Dynamic Factor Models

7.
Downloads 157 (347,880)
Citation 4

Assessing and Combining Financial Conditions Indexes

Number of pages: 38 Posted: 24 May 2013
Sirio Aramonte, Samuel Rosen and John W. Schindler
Federal Reserve Board of Governors, Temple University, Fox School of Business and Board of Governors of the Federal Reserve System
Downloads 104 (480,342)
Citation 5

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Financial conditions indexes, stock returns predictability, forecasting

Assessing and Combining Financial Conditions Indexes

FEDS Working Paper No. 2013-39
Number of pages: 39 Posted: 31 May 2017
Sirio Aramonte, John W. Schindler and Samuel Rosen
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System and Temple University, Fox School of Business
Downloads 53 (711,537)

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8.

Macroeconomic Uncertainty and the Cross-Section of Option Returns

Number of pages: 43 Posted: 18 Nov 2012 Last Revised: 21 Nov 2012
Sirio Aramonte
Federal Reserve Board of Governors
Downloads 127 (411,639)
Citation 1

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Option Pricing, Macroeconomic Uncertainty

9.

Institutions and Return Predictability in Oil-Exporting Countries

FEDS Working Paper No. 2015-014, http://dx.doi.org/10.17016/FEDS.2015.014
Number of pages: 31 Posted: 07 Apr 2015
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System (FRB)
Downloads 126 (414,110)

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Country studies, Quality of institutions, Return predictability

10.

Insurance companies as liquidity providers: The case of corporate-bond mutual funds

Number of pages: 36 Posted: 15 Apr 2022
Sirio Aramonte and Nicola Mano
Federal Reserve Board of Governors and Swiss Finance Institute - USI Lugano
Downloads 123 (421,550)

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Insurers; Mutual funds; Liquidity provision; Corporate bonds

11.

Inflation Risk and the Labor Market: Beneath the Surface of a Flat Phillips Curve

Number of pages: 35 Posted: 07 Jul 2022 Last Revised: 19 Sep 2022
Sirio Aramonte
Federal Reserve Board of Governors
Downloads 101 (486,881)

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inflation expectations, inflation risk, inflation options, labor market.

12.

Cross-Market Liquidity and Dealer Profitability: Evidence from the Bond and CDS Markets

Journal of Financial Markets, Forthcoming
Number of pages: 57 Posted: 23 Jul 2018 Last Revised: 06 Apr 2020
Sirio Aramonte and Pawel Szerszen
Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 96 (503,532)
Citation 4

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bonds; credit default swaps; liquidity provision; dealer profitability

13.

OTC Derivatives: Euro Exposures Rise and Central Clearing Advances

BIS Quarterly Review, December 2019
Number of pages: 11 Posted: 17 Dec 2019
Sirio Aramonte and Wenqian Huang
Federal Reserve Board of Governors and Bank for International Settlements
Downloads 95 (506,993)
Citation 5

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14.

Information Governance in Sustainable Finance

Number of pages: 29 Posted: 02 Jan 2023
Sirio Aramonte and Frank Packer
Federal Reserve Board of Governors and Bank for International Settlements (BIS)
Downloads 93 (513,985)

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Sustainable finance, disclosures, ratings, governance

15.

Monitoring the Liquidity Profile of Mutual Funds

FEDS Notes No. 2020-05-29
Posted: 13 Aug 2020
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Federal Reserve Board of Governors, Bank of Italy and Board of Governors of the Federal Reserve System

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16.

Synthetic ETFs

FEDS Notes No. 2017-08-10 https://doi.org/10.17016/2380-7172.2028
Posted: 16 Oct 2017
Sirio Aramonte, Cecilia Caglio and Tugkan Tuzun
Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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