Deepa Datta

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

5

DOWNLOADS

346

CITATIONS
Rank 45,043

SSRN RANKINGS

Top 45,043

in Total Papers Citations

3

Scholarly Papers (5)

1.

Taxonomy of Global Risk, Uncertainty, and Volatility Measures

FRB International Finance Discussion Paper No. 1216
Number of pages: 49 Posted: 26 Nov 2017
Board of Governors of the Federal Reserve System, Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board, Board of Governors of the Federal Reserve System, Federal Reserve Board - Trade and Financial Studies, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 131 (213,240)

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Risk, Uncertainty, Volatility, Monetary policy, Geopolitical risk, Equities, Interest rates, Exchange rates, Commodities, Inflation, Variance risk premium

Oil, Equities, and the Zero Lower Bound

BIS Working Paper No. 617
Number of pages: 48 Posted: 01 Apr 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Federal Reserve Board - Trade and Quantitative Studies
Downloads 72 (320,658)

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macroeconomic announcements, news, monetary policy, zero lower bound, fiscal policy, fiscal multiplier

Oil, Equities, and the Zero Lower Bound

FEDS Working Paper No. 2018-058
Number of pages: 90 Posted: 23 Aug 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Federal Reserve Board - Trade and Quantitative Studies
Downloads 57 (362,962)

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Equities, Macroeconomic surprises, New-keynesian model, Oil, Zero lower bound

3.

Generating Options-Implied Probability Densities to Understand Oil Market Events

FRB International Finance Discussion Paper No. 1122
Number of pages: 50 Posted: 31 May 2017
Deepa Datta, Juan M. Londono and Landon Ross
Board of Governors of the Federal Reserve System, Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 54 (367,029)
Citation 1

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Options-implied PDFs, futures, options, oil

4.

Nonparametric HAC Estimation for Time Series Data with Missing Observations

FRB International Finance Discussion Paper No. 1060
Number of pages: 55 Posted: 05 Dec 2012
Deepa Datta and Wenxin Du
Board of Governors of the Federal Reserve System and University of Chicago Booth School of Business
Downloads 32 (447,531)
Citation 2

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Heteroskedasticity, serial correlation, robust inference, missing data

Revisions to the Federal Reserve Dollar Indexes

FRB FEDS Notes No. 2019-01-15
Posted: 23 Jan 2019 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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Revisions to the Federal Reserve Dollar Indexes

FED Notes No. 2019-01-15
Posted: 25 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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