Clara Vega

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

http://www.federalreserve.gov/research/staff/vegaclarax.htm

SCHOLARLY PAPERS

21

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12,156

CITATIONS
Rank 585

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Top 585

in Total Papers Citations

846

Scholarly Papers (21)

1.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Journal of Finance, 69, pp. 2045-2084., FRB International Finance Discussion Paper No. 980
Number of pages: 42 Posted: 06 Nov 2009 Last Revised: 18 Mar 2015
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 3,265 (2,013)
Citation 46

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algorithmic trading, volatility, liquidity provision, private information

Understanding The Role of Managerial Optimism and Uncertainty in the Price Formation Process: Evidence from the Textual Content of Earnings Announcements

Number of pages: 49 Posted: 01 Jul 2008 Last Revised: 24 Mar 2014
Elizabeth A. Demers and Clara Vega
University of Virginia - Darden School of Business and Board of Governors of the Federal Reserve System
Downloads 1,552 (8,811)
Citation 38

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Textual analysis; textual content; cheap talk; earnings quality; earnings announcement; information uncertainty; stock price volatility; media coverage; voluntary disclosure; communication credibility

The Impact of Credibility on the Pricing of Managerial Textual Content

Number of pages: 52 Posted: 30 Jun 2008 Last Revised: 07 Jun 2014
Elizabeth A. Demers and Clara Vega
University of Virginia - Darden School of Business and Board of Governors of the Federal Reserve System
Downloads 721 (28,463)
Citation 41

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Textual analysis; textual content; cheap talk; earnings quality; earnings announcement; information uncertainty; stock price volatility; media coverage; voluntary disclosure; communication credibility

3.
Downloads 1,311 ( 11,820)
Citation 71

Stock Price Reaction to Public and Private Information

Simon Business School Working Paper No. FR 04-08
Number of pages: 40 Posted: 20 Apr 2004
Clara Vega
Board of Governors of the Federal Reserve System
Downloads 1,311 (11,569)
Citation 71

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Learning, earnings announcements, market microstructure, high-frequency data, private information and public information

Stock Price Reaction to Public and Private Information

Journal of Financial Economics, Forthcoming
Posted: 23 Aug 2005
Clara Vega
Board of Governors of the Federal Reserve System

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Learning, PIN, earnings announcements, market microstructure, high-frequency data, private information and public information

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

PIER Working Paper No. 04-028; Simon School Working Paper No. FR 04-13
Number of pages: 51 Posted: 30 Jun 2004
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 793 (24,884)
Citation 151

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

NBER Working Paper No. w11312
Number of pages: 56 Posted: 09 Jun 2005 Last Revised: 17 Jul 2009
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 54 (331,736)
Citation 151

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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

PIER Working Paper No. 02-011
Number of pages: 38 Posted: 17 May 2002
Board of Governors of the Federal Reserve System, Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 563 (39,760)
Citation 215

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Exchange Rates, Macroeconomic News Announcements, Jumps, Market Microstructure, High-Frequency Data, Expectations Data, Anticipations Data, Order Flow, Asset Return Volatility, Forecasting

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

NBER Working Paper No. w8959
Number of pages: 38 Posted: 24 May 2002
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 53 (334,792)
Citation 215

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6.

Stock Market Microstructure Measures of Information Asymmetry are Related to Marketwide Information

Number of pages: 41 Posted: 14 Dec 2006
Clara Vega and Jin (Ginger) Wu
Board of Governors of the Federal Reserve System and University of Georgia - Department of Banking and Finance
Downloads 597 (35,612)
Citation 1

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Liquidity, private information-based trading, public news announcements

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

FRB International Finance Discussion Paper No. 871
Number of pages: 40 Posted: 05 Dec 2006
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 191 (136,120)
Citation 146

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

CREATES Research Paper No. 2007-20
Number of pages: 38 Posted: 23 Jun 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 163 (157,168)
Citation 146

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Journal of International Economics, Vol. 73, No. 2, 2007, FRB International Finance Discussion Paper No. 871
Posted: 03 Jun 2008
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Economic News and International Stock Market Co-Movement

EFA 2006 Zurich Meetings
Number of pages: 64 Posted: 03 Mar 2006
Clara Vega and Rui A. Albuquerque
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 251 (103,831)
Citation 10

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Private information, public news announcements, information spillovers, international equity returns, contagion

Economic News and International Stock Market Co-Movement

Review of Finance Vol. 13, 2009, EFA 2006 Zurich Meetings
Number of pages: 66 Posted: 03 Jun 2008 Last Revised: 29 Dec 2014
Clara Vega and Rui A. Albuquerque
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 102 (228,110)
Citation 10

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Private information, public news announcements, information spillovers, international equity returns, contagion

Economic News and International Stock Market Co-Movement

Review of Finance, Vol. 13, Issue 3, pp. 401-465, 2009
Posted: 18 Aug 2009
Rui A. Albuquerque and Clara Vega
Boston College, Carroll School of Management and Board of Governors of the Federal Reserve System

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F3, G12, G14, G15

9.

Strategic Order Flow in the On-the-Run and Off-the-Run Bond Markets

Ross School of Business Working Paper No. 1054, Simon School Working Paper No. FR 06-09, EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 11 Oct 2006
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 298 (82,627)
Citation 21

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Treasury Bond Markets, Strategic Trading, Market Microstructure, Liquidity, Order Flow, On-The-Run Bonds, Off-The-Run Bonds, Macroeconomic News Announcements, Expectations, Dispersion of Beliefs

10.

Informed and Strategic Order Flow in the Bond Market

AFA 2007 Chicago Meetings Paper
Number of pages: 57 Posted: 01 Mar 2005
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 289 (86,664)
Citation 50

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Macroeconomic news announcements, strategic trading, market microstructure, order flow, real-time data, expectations, dispersion of beliefs

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 69 Posted: 30 Sep 2016 Last Revised: 10 Sep 2017
Federal Reserve Board, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Downloads 222 (117,605)

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Counterparty Credit Risk, Credit Default Swaps, Central Clearing

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

FEDS Working Paper No. 2016-087
Number of pages: 42 Posted: 07 Nov 2016
Federal Reserve Board, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Downloads 50 (344,143)

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Counterparty credit risk, Credit default swaps, Central clearing

Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?

ECB Working Paper No. 1882
Number of pages: 54 Posted: 08 Feb 2016
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 105 (223,502)

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macroeconomic announcements, price discovery, learning, macroeconomic

Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?

FEDS Working Paper No. 2015-046, http://dx.doi.org/10.17016/FEDS.2015.046
Number of pages: 51 Posted: 09 Jul 2015
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 67 (296,695)

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Macroeconomic announcements, central bank policy, coordination role of public information, learning, macroeconomic forecasting, price discovery

Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?

FEDS Working Paper No. 2015-46
Number of pages: 58 Posted: 19 Dec 2016
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 51 (340,991)

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Macroeconomic announcements, Price discovery, Learning, Forecasting, Now-casting

Is the Intrinsic Value of a Macroeconomic News Announcement Related to Its Asset Price Impact?

Journal of Monetary Economics, Forthcoming
Number of pages: 57 Posted: 25 Apr 2015 Last Revised: 12 Sep 2017
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 40 (378,005)

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Macroeconomic announcements, price discovery, learning, forecasting, nowcasting

13.

Strategic Cross-Trading in the U.S. Stock Market

AFA 2010 Atlanta Meetings Paper
Number of pages: 62 Posted: 29 Jan 2009
Paolo Pasquariello and Clara Vega
University of Michigan, Stephen M. Ross School of Business and Board of Governors of the Federal Reserve System
Downloads 213 (115,952)
Citation 4

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Equity Market, Market Liquidity, Strategic Trading, Information Heterogeneity, Public News

The Monetary Origins of Asymmetric Information in International Equity Markets

Simon Business School Working Paper No. FR 04-14
Number of pages: 55 Posted: 24 Mar 2004
Clara Vega and Gregory H. Bauer
Board of Governors of the Federal Reserve System and University of Rochester - Simon School
Downloads 127 (193,661)
Citation 5

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Private information, international equity returns, monetary policy, foreign exchange rates, exchange traded funds

The Monetary Origins of Asymmetric Information in International Equity Markets

FRB International Finance Discussion Paper No. 872
Number of pages: 63 Posted: 21 Dec 2006
Gregory H. Bauer and Clara Vega
University of Rochester - Simon School and Board of Governors of the Federal Reserve System
Downloads 59 (317,299)
Citation 5

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Private Information, International Equity Returns, Monetary Policy, Foreign Exchange Rates, Exchange Traded Funds

The Monetary Origins of Asymmetric Information in International Equity Markets

Journal of International Money and Finance, Forthcoming, FRB International Finance Discussion Paper No. 872
Posted: 03 Jun 2008
Clara Vega and Gregory H. Bauer
Board of Governors of the Federal Reserve System and University of Rochester - Simon School

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Private Information, International Equity Returns, Monetary Policy, Foreign Exchange Rates, Exchange Traded Funds

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

FRB International Finance Discussion Paper No. 957
Number of pages: 35 Posted: 08 Dec 2008
Lutz Kilian and Clara Vega
University of Michigan at Ann Arbor - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 136 (183,261)
Citation 22

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Oil price, gasoline price, news, identification, impulse responses

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

CEPR Discussion Paper No. DP7015
Number of pages: 32 Posted: 18 Dec 2008
Lutz Kilian and Clara Vega
University of Michigan at Ann Arbor - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 2 (579,217)
Citation 22
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Gasoline price, Identification, Impulse responses, News, Oil price

16.
Downloads 118 (204,213)
Citation 50

Informed and Strategic Order Flow in the Bond Markets

FRB International Finance Discussion Paper No. 874
Number of pages: 52 Posted: 22 Dec 2006
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 118 (205,055)
Citation 50

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Treasury Bond Markets, Macroeconomic News Announcements, Strategic Trading, Market Microstructure, Order Flow, Real-Time Data, Expectations, Dispersion of Beliefs

Informed and Strategic Order Flow in the Bond Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1975-2019, 2007
Posted: 26 Jun 2008
Clara Vega
Board of Governors of the Federal Reserve System

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E44, G14

17.

What Do Chain Store Sales Tell Us About Consumer Spending?

Economic Policy Review, Vol. 2, No. 2, October 1996
Number of pages: 22 Posted: 11 Nov 2007
Clara Vega and Ethan S. Harris
Board of Governors of the Federal Reserve System and Bank of America
Downloads 105 (219,296)
Citation 1

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sales, retail stores, consumer spending

Do Fundamentals Explain the International Impact of U.S. Interest Rates? Evidence at the Firm Level

Number of pages: 49 Posted: 05 Mar 2008
Jon Wongswan, Clara Vega and John Ammer
Phatra Securities, Board of Governors of the Federal Reserve System and U.S. Federal Reserve Board of Governors
Downloads 51 (340,991)
Citation 3

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monetary policy announcements, high-frequency data, credit channel

Do Fundamentals Explain the International Impact of U.S. Interest Rates? Evidence at the Firm Level

FRB International Finance Discussion Paper No. 952
Number of pages: 52 Posted: 16 Nov 2008
John Ammer, Clara Vega and Jon Wongswan
U.S. Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System and Phatra Securities
Downloads 37 (389,458)
Citation 3

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Monetary policy announcements, high frequency data, credit channel

19.

Government Intervention and Strategic Trading in the U.S. Treasury Market

Number of pages: 52 Posted: 26 Feb 2011 Last Revised: 15 Mar 2012
Paolo Pasquariello and Clara Vega
University of Michigan, Stephen M. Ross School of Business and Board of Governors of the Federal Reserve System
Downloads 72 (249,984)
Citation 1

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Treasury Bond Markets, Open Market Operations, Central Bank, Government Interventions, Strategic Trading, Market Microstructure, Liquidity

20.

Asymmetric Information in the Stock Market: Economic News and Co-Movement

CEPR Discussion Paper No. 5598
Number of pages: 74 Posted: 29 Jun 2006
Clara Vega and Rui A. Albuquerque
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 19 (463,502)
Citation 8
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Private information, public news announcements, information spillovers, international equity returns, contagion

21.

The On-the-Run Liquidity Phenomenon

Journal of Financial Economics (JFE), forthcoming, Ross School of Business Working Paper No. 1054, EFA 2007 Ljubljana Meetings Paper, Simon School Working Paper No. FR 06-09
Posted: 04 Jun 2008
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business

Abstract:

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Treasury Bond Markets, Strategic Trading, Market Microstructure, Liquidity, Order Flow, On-The-Run Bonds, Off-The-Run Bonds, Macroeconomic News Announcements, Expectations, Dispersion of Beliefs