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

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

22

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839

Scholarly Papers (22)

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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
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Clara Vega
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 3,866 (2,264)
Citation 47

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algorithmic trading, volatility, liquidity provision, private information

2.

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

Downloads 2,480 ( 4,846)
Citation 41

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 Lausanne - Department of Accounting and Control and Board of Governors of the Federal Reserve System
Downloads 1,715 (8,871)
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 Lausanne - Department of Accounting and Control and Board of Governors of the Federal Reserve System
Downloads 765 (30,237)
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.

Stock Price Reaction to Public and Private Information

Downloads 1,410 ( 12,360)
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 1,410 (12,109)
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

4.

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

Downloads 864 ( 25,915)
Citation 149

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
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 807 (28,114)
Citation 149

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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
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 57 (361,368)
Citation 149

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5.

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

Downloads 633 ( 39,649)
Citation 212

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
Clara Vega, Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
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 576 (44,327)
Citation 212

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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 Last Revised: 27 Oct 2010
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 57 (361,368)
Citation 212

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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 627 (40,159)
Citation 1

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Liquidity, private information-based trading, public news announcements

7.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 437 ( 63,737)

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 72 Posted: 30 Sep 2016 Last Revised: 21 Feb 2019
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 376 (75,514)

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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
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 61 (349,131)

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Counterparty credit risk, Credit default swaps, Central clearing

8.

Economic News and International Stock Market Co-Movement

Downloads 380 ( 75,084)
Citation 10

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 257 (115,024)
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 123 (223,655)
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.

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

Downloads 369 ( 77,645)
Citation 144

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
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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 193 (152,625)
Citation 144

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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
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
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 176 (166,015)
Citation 144

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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
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
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

10.

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

Downloads 340 ( 85,396)

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
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
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 111 (241,371)

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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. 2015-46
Number of pages: 58 Posted: 19 Dec 2016
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
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 (251,304)

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

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
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
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 71 (321,766)

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

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
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
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 53 (374,365)

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Macroeconomic announcements, price discovery, learning, forecasting, nowcasting

11.

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

Ross School of Business Working Paper No. 1054, EFA 2007 Ljubljana Meetings Paper, Simon School Working Paper No. FR 06-09
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 315 (93,014)
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

12.

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 302 (97,404)
Citation 50

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

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 234 (127,079)
Citation 4

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

14.

Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News

Downloads 207 (143,052)

Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News

HEC Paris Research Paper No. FIN-2018-1263
Number of pages: 59 Posted: 27 Apr 2018 Last Revised: 03 May 2018
Hedi Benamar, Thierry Foucault and Clara Vega
Board of Governors of the Federal Reserve System, HEC Paris - Finance Department and Board of Governors of the Federal Reserve System
Downloads 190 (154,855)

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Public information, Macroeconomic News, Uncertainty, U.S. Treasury futures, Investors' Attention, Information Demand, Bitly, Media Coverage

Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 59 Posted: 01 Jun 2018
Hedi Benamar, Thierry Foucault and Clara Vega
Board of Governors of the Federal Reserve System, HEC Paris - Finance Department and Board of Governors of the Federal Reserve System
Downloads 17 (543,612)

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Public information, Macroeconomic News, Uncertainty, U.S. Treasury futures, Investors' Attention, Information Demand, Bitly, Media Coverage

15.

The Monetary Origins of Asymmetric Information in International Equity Markets

Downloads 189 (155,646)
Citation 5

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 129 (215,656)
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 60 (352,044)
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

16.

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

Downloads 146 (194,560)
Citation 23

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 144 (197,268)
Citation 23

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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 (647,375)
Citation 23
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Gasoline price, Identification, Impulse responses, News, Oil price

17.

Informed and Strategic Order Flow in the Bond Markets

Downloads 124 (221,409)

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 124 (222,307)
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

18.

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 116 (232,593)
Citation 1

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sales, retail stores, consumer spending

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 102 (254,828)
Citation 1

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

20.

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

Downloads 100 (258,257)
Citation 3

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 54 (371,105)
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 46 (398,567)
Citation 3

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Monetary policy announcements, high frequency data, credit channel

21.

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 (513,083)
Citation 8
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Private information, public news announcements, information spillovers, international equity returns, contagion

22.

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

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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