Mathias S. Kruttli

Board of Governors of the Federal Reserve System

Senior Economist

20th Street and Constitution Avenue 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

8

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9,049

SSRN CITATIONS
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Top 13,177

in Total Papers Citations

38

CROSSREF CITATIONS

51

Scholarly Papers (8)

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1.

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

Downloads 4,736 ( 2,717)
Citation 7

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

Financial Analysts Journal 76(4): 23–29, 2020
Number of pages: 33 Posted: 16 Sep 2019 Last Revised: 06 May 2021
Kenechukwu Anadu, Mathias S. Kruttli, Patrick E. McCabe and Emilio Osambela
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 3,627 (4,177)
Citation 5

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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. 2018-060R1
Number of pages: 34 Posted: 02 Sep 2020 Last Revised: 03 Sep 2020
Kenechukwu Anadu, Mathias S. Kruttli, Patrick E. McCabe and Emilio Osambela
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 626 (59,805)
Citation 1

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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: 35 Posted: 24 Jan 2019 Last Revised: 18 Mar 2022
Kenechukwu Anadu, Mathias S. 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 483 (82,880)
Citation 1

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

2.

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

Downloads 1,238 ( 23,677)
Citation 14

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

Number of pages: 80 Posted: 04 Dec 2018 Last Revised: 11 Mar 2021
Mathias S. Kruttli, Brigitte Roth Tran and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Federal Reserve Bank of San Francisco and Indiana University - Kelley School of Business - Department of Finance
Downloads 858 (39,403)

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extreme weather, uncertainty, implied volatility, expected returns, climate risks

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

EBRD Working Paper No. 229
Number of pages: 80 Posted: 11 Sep 2019 Last Revised: 15 Mar 2021
Mathias S. Kruttli, Brigitte Roth Tran and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Federal Reserve Bank of San Francisco and Indiana University - Kelley School of Business - Department of Finance
Downloads 263 (162,597)
Citation 16

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extreme weather, uncertainty, implied volatility, expected returns, climate risks

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

FEDS Working Paper No. 2019-54
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, Federal Reserve Bank of San Francisco and Indiana University - Kelley School of Business - Department of Finance
Downloads 117 (327,837)

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3.

The Impact of Hedge Funds on Asset Markets

Downloads 747 ( 48,093)
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 747 (47,450)
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

4.

LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility

Downloads 575 ( 67,479)
Citation 1

LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility

Number of pages: 81 Posted: 05 Apr 2021 Last Revised: 19 Jul 2022
Mathias S. Kruttli, Phillip Monin, Lubomir Petrasek and Sumudu W. Watugala
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 Indiana University - Kelley School of Business - Department of Finance
Downloads 474 (84,767)
Citation 1

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Hedge funds, Treasury markets, relative value, arbitrage, risk constraints, VaR, creditor constraints, liquidity

Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis

FEDS Working Paper No. 2021-38
Number of pages: 68 Posted: 09 Jul 2021
Mathias S. Kruttli, Phillip Monin, Lubomir Petrasek and Sumudu W. Watugala
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 Indiana University - Kelley School of Business - Department of Finance
Downloads 101 (363,128)

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5.

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

Downloads 320 (133,363)
Citation 2

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, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 152 (268,165)

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

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

OFR 17-07
Number of pages: 50 Posted: 21 Dec 2017 Last Revised: 09 Nov 2020
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 88 (396,644)
Citation 2

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hedge funds, investor concentration, flows, precautionary cash

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, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
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6.

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

Downloads 201 (210,786)
Citation 2

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

Number of pages: 82 Posted: 19 Mar 2018 Last Revised: 22 Feb 2022
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 130 (303,356)
Citation 1

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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

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, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 71 (449,639)
Citation 1

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

7.

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

Number of pages: 40 Posted: 11 Feb 2014 Last Revised: 28 Oct 2020
Mathias S. Kruttli
Board of Governors of the Federal Reserve System
Downloads 126 (309,215)

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Return predictability, consumption-based asset pricing, Bayesian econometrics

8.

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

Number of pages: 70 Posted: 29 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 Indiana University - Kelley School of Business - Department of Finance
Downloads 1,106

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