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

7

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CROSSREF CITATIONS

20

Scholarly Papers (7)

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

Number of pages: 33 Posted: 16 Sep 2019 Last Revised: 19 May 2020
Federal Reserve Banks - Federal Reserve Bank of Boston, 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 1,957 (8,323)
Citation 3

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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 412 (76,764)

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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 355 (91,259)

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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 724 ( 37,791)
Citation 5

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 724 (37,233)
Citation 3

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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: 71 Posted: 04 Dec 2018 Last Revised: 09 Apr 2020
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 387 (82,488)

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extreme weather, uncertainty, implied volatility, hurricanes, climate risks

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

FEDS Working Paper No. 2019-054
Number of pages: 57 Posted: 25 Jul 2019 Last Revised: 21 Oct 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 44 (453,463)

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

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

EBRD Working Paper No. 229
Number of pages: 69 Posted: 11 Sep 2019 Last Revised: 28 Jan 2020
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 36 (489,958)
Citation 3

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extreme weather, uncertainty, implied volatility, hurricanes, climate risks

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

Number of pages: 50 Posted: 04 Sep 2017 Last Revised: 01 Nov 2019
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 115 (263,368)

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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 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 75 (348,503)

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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 68 (368,296)
Citation 2

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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: 59 Posted: 11 Feb 2014 Last Revised: 16 Jul 2020
Mathias S. Kruttli
Board of Governors of the Federal Reserve System
Downloads 125 (246,491)

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Return predictability, consumption-based asset pricing, Bayesian econometrics

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

OFR WP 19-03
Number of pages: 49 Posted: 24 Oct 2019
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 27 (539,235)

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hedge funds, prime brokers, credit networks, rehypothecation, collateral

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Number of pages: 47 Posted: 19 Mar 2018 Last Revised: 23 Jul 2020
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 22 (572,519)

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hedge funds, prime brokers, credit networks, rehypothecation, collateral

7.

Banking on Carbon: Corporate Lending and Cap-and-Trade Policy

Number of pages: 44 Posted: 29 Jul 2020 Last Revised: 31 Jul 2020
Ivan Ivanov, Mathias S. Kruttli 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 19 (573,693)

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bank lending, greenhouse gas emissions, cap-and-trade policy, climate finance