Stefania D'Amico

Federal Reserve Bank of Chicago

230 South LaSalle Street

Chicago, IL 60604

United States

SCHOLARLY PAPERS

8

DOWNLOADS

756

SSRN CITATIONS
Rank 17,815

SSRN RANKINGS

Top 17,815

in Total Papers Citations

3

CROSSREF CITATIONS

42

Scholarly Papers (8)

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

FEDS Working Paper
Number of pages: 50 Posted: 30 Aug 2014 Last Revised: 07 May 2015
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 168 (179,055)
Citation 4

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Treasury bonds, repo contracts, supply-demand factors, liquidity, Large Scale Asset Purchase programs, Treasury auctions

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

Number of pages: 52 Posted: 08 Dec 2013 Last Revised: 01 Nov 2014
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 71 (332,885)
Citation 6

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Treasury bonds, Repo contracts, Special repo rate, Supply-demand factors, Liquidity, Large Scale Asset Purchase programs, Treasury auctions

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

FRB of Chicago Working Paper No. 2013-22
Number of pages: 46 Posted: 15 Dec 2013
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 38 (445,327)
Citation 7

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Repo Market, Special Repo Rate, Monetary Policy

2.
Downloads 172 (175,305)
Citation 1

The Term Structure and Inflation Uncertainty

MIT Sloan Research Paper No. 5182-16
Number of pages: 39 Posted: 21 Dec 2016
Tomas Breach, Stefania D'Amico and Athanasios Orphanides
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 110 (251,247)

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Quadratic-Gaussian Term Structure Models, in‡Ation Risk Premium, Survey Forecasts, Hidden Factors

The Term Structure and Inflation Uncertainty

FRB of Chicago Working Paper No. WP-2016-22
Number of pages: 46 Posted: 16 Dec 2016
Tomas Breach, Stefania D'Amico and Athanasios Orphanides
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 62 (358,197)

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Quadratic-Gaussian Term Structure Models, Inflation Risk Premium, Survey Forecasts, Hidden Factors

The Term Structure and Inflation Uncertainty

CEPR Discussion Paper No. DP11730
Number of pages: 41 Posted: 03 Jan 2017
Tomas Breach, Stefania D'Amico and Athanasios Orphanides
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Hidden Factors, Inflation Risk Premium, Quadratic-Gaussian Term Structure Models, Survey Forecasts

3.

What Does Anticipated Monetary Policy Do?

FRB of Chicago Working Paper No. WP-2015-10
Number of pages: 66 Posted: 11 Dec 2015 Last Revised: 04 Nov 2017
Stefania D'Amico and Thomas B. King
Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 102 (263,474)

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Monetary policy, Keynesian models

4.

Inflation Uncertainty and Disagreement in Bond Risk Premia

FRB of Chicago Working Paper No. 2014-24
Number of pages: 35 Posted: 19 Dec 2014
Stefania D'Amico and Athanasios Orphanides
Federal Reserve Bank of Chicago and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 92 (281,827)
Citation 9

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Survey expectations, probabilistic forecasts, heterogeneity, inflation uncertainty, bond risk premia

5.

A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices

FRB of Chicago Working Paper No. WP-2017-26
Number of pages: 42 Posted: 03 Jan 2018
Dominic Anene and Stefania D'Amico
Northwestern University and Federal Reserve Bank of Chicago
Downloads 65 (344,954)

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Downside risk, derivatives, inflation, monetary policy

6.

Special Repo Rates and the Cross-Section of Bond Prices

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 05 Jun 2018
Stefania D'Amico and N. Aaron Pancost
Federal Reserve Bank of Chicago and University of Texas at Austin McCombs School of Business
Downloads 21 (519,989)
Citation 3

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7.

Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium

FRB of Chicago Working Paper No. WP-2018-21
Number of pages: 53 Posted: 14 Dec 2018 Last Revised: 21 Feb 2019
Stefania D'Amico and N. Aaron Pancost
Federal Reserve Bank of Chicago and University of Texas at Austin McCombs School of Business
Downloads 16 (549,417)

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Bond prices, collateral, interest rates, risk premia

8.

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

Bank of England Working Paper No. 825, September 2019
Number of pages: 46 Posted: 25 Sep 2019
Stefania D'Amico and Iryna Kaminska
Federal Reserve Bank of Chicago and Bank of England
Downloads 11 (580,291)

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Quantitative Easing, Corporate Bond Purchase Scheme, Monetary Transmission Mechanism, Corporate Bonds