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

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 8,500

SSRN RANKINGS

Top 8,500

in Total Papers Downloads

6,765

SSRN CITATIONS
Rank 13,364

SSRN RANKINGS

Top 13,364

in Total Papers Citations

44

CROSSREF CITATIONS

45

Scholarly Papers (8)

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
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 3,064 (4,632)
Citation 5

Abstract:

Loading...

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
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 536 (63,340)
Citation 1

Abstract:

Loading...

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: 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 470 (74,319)
Citation 1

Abstract:

Loading...

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, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 632 (51,137)

Abstract:

Loading...

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, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 95 (334,837)

Abstract:

Loading...

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, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 77 (381,503)
Citation 13

Abstract:

Loading...

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

3.
Downloads 736 ( 42,321)
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 736 (41,722)
Citation 3

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

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 Cornell University - SC Johnson College of Business
Downloads 136 (259,261)

Abstract:

Loading...

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, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 80 (372,983)

Abstract:

Loading...

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 Cornell University - SC Johnson College of Business
Downloads 73 (393,376)
Citation 2

Abstract:

Loading...

hedge funds, investor concentration, flows, precautionary cash

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

Number of pages: 67 Posted: 05 Apr 2021 Last Revised: 12 Jul 2021
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 Cornell University - SC Johnson College of Business
Downloads 233 (161,409)
Citation 1

Abstract:

Loading...

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

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
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 Cornell University - SC Johnson College of Business
Downloads 23 (625,720)

Abstract:

Loading...

6.

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 (273,649)

Abstract:

Loading...

Return predictability, consumption-based asset pricing, Bayesian econometrics

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, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 60 (437,057)
Citation 1

Abstract:

Loading...

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 Cornell University - SC Johnson College of Business
Downloads 46 (493,673)
Citation 1

Abstract:

Loading...

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

8.

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

Number of pages: 66 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 Cornell University - SC Johnson College of Business
Downloads 378

Abstract:

Loading...

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