Mathias S. Kruttli

Board of Governors of the Federal Reserve System

Senior Economist

20th and C Streets, NW

Washington, DC 20551

United States

http://www.federalreserve.gov/econresdata/mathias-s-kruttli.htm

University of Oxford - Oxford-Man Institute of Quantitative Finance

Associate Fellow

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

http://sites.google.com/site/mathiaskruttli/home

SCHOLARLY PAPERS

5

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in Total Papers Downloads

1,989

CITATIONS

5

Scholarly Papers (5)

The Shift From Active to Passive Investing: Potential Risks to Financial Stability?

RPA Working Paper, 18-04, 2018
Number of pages: 30 Posted: 28 Sep 2018
Federal Reserve Banks - Federal Reserve Bank of Boston, 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
Downloads 302 (98,952)

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Asset Management, Passive Investing, Index Investing, Indexing, Mutual Fund, Exchange-Traded Fund, Leveraged and Inverse Exchange-Traded Products, Financial Stability, Systemic Risk, Market Volatility, Inclusion Effects

The Shift from Active to Passive Investing: Potential Risks to Financial Stability?

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-4
Number of pages: 30 Posted: 24 Jan 2019 Last Revised: 21 Feb 2019
Federal Reserve Banks - Federal Reserve Bank of Boston, 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
Downloads 291 (103,061)

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asset management, passive investing, index investing, indexing, mutual fund, exchange-traded fund, leveraged and inverse exchange-traded products, financial stability, systemic risk, market volatility, inclusion effects, daily rebalancing

The Shift from Active to Passive Investing: Potential Risks to Financial Stability?

FEDS Working Paper No. 2018-060
Number of pages: 30 Posted: 04 Oct 2018 Last Revised: 21 Feb 2019
Federal Reserve Banks - Federal Reserve Bank of Boston, 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
Downloads 188 (159,833)

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Asset management, Passive investing, Index investing, Indexing, Mutual fund, Exchange-traded fund, Leveraged and inverse exchange-traded products, Financial stability, Systemic risk, Market volatility, Inclusion effects, Daily rebalancing

2.
Downloads 711 ( 34,715)
Citation 4

The Impact of Hedge Funds on Asset Markets

Number of pages: 60 Posted: 27 Jun 2013 Last Revised: 09 Mar 2016
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Board of Governors of the Federal Reserve System, Duke University - Department of Economics and Imperial College London
Downloads 711 (34,190)
Citation 1

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hedge funds, liquidity, return predictability, equities, bonds, currencies.

The Impact of Hedge Funds on Asset Markets

CEPR Discussion Paper No. DP10151
Number of pages: 66 Posted: 25 Sep 2014
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Board of Governors of the Federal Reserve System, Duke University - Department of Economics and Imperial College London
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bonds, currencies, equities, hedge funds, liquidity, return predictability

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

Number of pages: 56 Posted: 04 Dec 2018 Last Revised: 09 Jul 2019
Mathias S. Kruttli, Brigitte Roth Tran and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - Dyson School of Applied Economics and Management
Downloads 250 (120,973)

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extreme weather events, uncertainty, implied volatility, stock returns, hurricanes, climate finance

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

FEDS Working Paper No. 2019-054
Number of pages: 57 Posted: 25 Jul 2019
Mathias S. Kruttli, Brigitte Roth Tran and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - Dyson School of Applied Economics and Management
Downloads 8 (617,527)

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extreme weather events, uncertainty, implied volatility, stock returns, hurricanes, climate finance

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

FEDS Working Paper No. 2017-121
Number of pages: 57 Posted: 20 Dec 2017
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Government of the United States of America, Department of the Treasury, Office of Financial Research and Cornell University - Dyson School of Applied Economics and Management
Downloads 64 (347,960)

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Investor concentration, Hedge funds, Flows, Portfolio liquidity, Precautionary cash

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

OFR 17-07
Number of pages: 57 Posted: 21 Dec 2017
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Government of the United States of America, Department of the Treasury, Office of Financial Research and Cornell University - Dyson School of Applied Economics and Management
Downloads 58 (366,039)
Citation 1

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hedge funds, investor concentration, flows, precautionary cash, portfolio liquidity

5.

From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

Number of pages: 56 Posted: 11 Feb 2014 Last Revised: 17 Aug 2019
Mathias S. Kruttli
Board of Governors of the Federal Reserve System
Downloads 117 (236,233)

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Return predictability, consumption-based asset pricing, Bayesian econometrics