Mathias Kruttli

Board of Governors of the Federal Reserve System

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

  • Board of Governors of the Federal Reserve System

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

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

Downloads 709 ( 34,384)

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
Kenechukwu Anadu, Mathias Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin
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 272 (109,519)

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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?

RPA Working Paper, 18-04, 2018
Number of pages: 30 Posted: 28 Sep 2018
Kenechukwu Anadu, Mathias Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin
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 265 (112,484)

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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?

FEDS Working Paper No. 2018-060
Number of pages: 30 Posted: 04 Oct 2018 Last Revised: 21 Feb 2019
Kenechukwu Anadu, Mathias Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin
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 172 (171,173)

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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.

The Impact of Hedge Funds on Asset Markets

Downloads 706 ( 34,591)

The Impact of Hedge Funds on Asset Markets

Number of pages: 60 Posted: 27 Jun 2013 Last Revised: 09 Mar 2016
Mathias 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 706 (34,082)

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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 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

3.

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

Number of pages: 55 Posted: 04 Dec 2018 Last Revised: 08 Jun 2019
Mathias 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 222 (136,362)

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

4.

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

Number of pages: 59 Posted: 11 Feb 2014 Last Revised: 30 Mar 2018
Mathias Kruttli
Board of Governors of the Federal Reserve System
Downloads 115 (236,464)

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Return predictability, consumption-based asset pricing, Bayesian econometrics

5.

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

Downloads 110 (244,021)

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

OFR 17-07
Number of pages: 57 Posted: 21 Dec 2017
Mathias 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 56 (367,915)

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

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 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 54 (374,531)

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