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

29

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17,827

SSRN CITATIONS
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SSRN RANKINGS

Top 647

in Total Papers Citations

1,062

CROSSREF CITATIONS

1,173

Scholarly Papers (29)

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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 4,359 (4,417)
Citation 97

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algorithmic trading, volatility, liquidity provision, private information

2.

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 Demers and Clara Vega
University of Waterloo and Board of Governors of the Federal Reserve System
Downloads 2,731 (9,396)
Citation 81

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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

Stock Price Reaction to Public and Private Information

Number of pages: 40 Posted: 20 Apr 2004
Clara Vega
Board of Governors of the Federal Reserve System
Downloads 1,599 (21,503)
Citation 24

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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

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 885 (50,772)
Citation 15

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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: 30 Nov 2022
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 131 (405,321)
Citation 12

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Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 72 Posted: 30 Sep 2016 Last Revised: 21 Feb 2019
University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 763 (62,058)
Citation 43

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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. 2016-87
Number of pages: 42 Posted: 07 Nov 2016
University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 110 (463,408)

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

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 638 (78,163)
Citation 2

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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: 26 Jun 2022
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 143 (377,921)
Citation 52

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7.

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 692 (71,497)
Citation 1

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Liquidity, private information-based trading, public news announcements

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

HEC Paris Research Paper No. FIN-2018-1263
Number of pages: 67 Posted: 27 Apr 2018 Last Revised: 13 Nov 2020
Hedi Benamar, Thierry Foucault and Clara Vega
Abu Dhabi Investment Authority, HEC Paris - Finance Department and Board of Governors of the Federal Reserve System
Downloads 438 (124,291)
Citation 1

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Uncertainty, Information Demand, Clickstream Data, Macroeconomic Announcements, U.S. Treasury Yields

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

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 01 Jun 2018 Last Revised: 13 Nov 2020
Hedi Benamar, Thierry Foucault and Clara Vega
Abu Dhabi Investment Authority, HEC Paris - Finance Department and Board of Governors of the Federal Reserve System
Downloads 114 (450,976)
Citation 28

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Uncertainty, Information Demand, Clickstream Data, Macroeconomic Announcements, U.S. Treasury Yields

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 Last Revised: 10 Jan 2017
University of Washington - Department of Finance and Business Economics, Bank of Italy, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 181 (308,926)

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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, Bank of Italy, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 151 (361,500)
Citation 5

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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, Bank of Italy, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 93 (521,360)
Citation 1

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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
University of Washington - Department of Finance and Business Economics, Bank of Italy, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 91 (528,621)
Citation 35

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Macroeconomic announcements, price discovery, learning, forecasting, nowcasting

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 303 (187,263)

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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 199 (283,458)
Citation 2

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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

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 258 (220,873)
Citation 15

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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

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 234 (243,389)
Citation 56

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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

12.

What makes HFTs tick? Tick size changes and information advantage in a market with fast and slow traders

Management Science
Number of pages: 60 Posted: 25 Jun 2019 Last Revised: 22 Dec 2023
Board of Governors of the Federal Reserve System, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Students, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 442 (124,278)
Citation 1

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High Frequency Trading, tick size, minimum price variation, market liquidity, price discovery, foreign exchange

13.

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 366 (154,007)

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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

14.

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 345 (164,267)

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

15.

Central Bank Communication Choices: Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders

Number of pages: 35 Posted: 12 Feb 2021
Hedi Benamar, Alain Chaboud and Clara Vega
Abu Dhabi Investment Authority, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 320 (177,955)

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Monetary policy, public information, high frequency traders, random release times

16.

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 308 (185,163)
Citation 12

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

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 256 (223,803)

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sales, retail stores, consumer spending

The Monetary Origins of Asymmetric Information in International Equity Markets

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 160 (344,338)

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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 82 (564,817)
Citation 1

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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

19.

Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements

Number of pages: 46 Posted: 18 Mar 2021
Ben Gardner, Chiara Scotti and Clara Vega
affiliation not provided to SSRN, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 236 (242,394)

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Monetary policy, public information, probability of a recession, price discovery, FOMC, sentiment, textual analysis

20.
Downloads 216 (263,652)
Citation 1

Fed Communication, News, Twitter, and Echo Chambers

Number of pages: 60 Posted: 25 May 2023 Last Revised: 29 May 2023
Board of Governors of the Federal Reserve System, Bank of Italy, Board of Governors of the Federal Reserve System and Abu Dhabi Investment Authority
Downloads 136 (393,382)
Citation 1

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Monetary policy, public information, price discovery, Twitter, news

Fed Communication, News, Twitter, and Echo Chambers

FEDS Working Paper No. 2023-36
Number of pages: 61 Posted: 05 Jun 2023
Board of Governors of the Federal Reserve System, Bank of Italy, Board of Governors of the Federal Reserve System and Abu Dhabi Investment Authority
Downloads 80 (573,564)
Citation 1

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Monetary policy, Public information, Price discovery

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 175 (318,415)
Citation 27

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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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 2 (1,181,663)
Citation 27
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Gasoline price, Identification, Impulse responses, News, Oil price

22.

All-to-All Trading in the U.S. Treasury Market

FRB of New York Staff Report No. 1036
Number of pages: 36 Posted: 24 Oct 2022 Last Revised: 27 Oct 2022
Board of Governors of the Federal Reserve System, Federal Reserve Banks, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, U.S. Department of the Treasury, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 166 (333,625)

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Treasury market, market structure, all-to-all

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
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Phatra Securities
Downloads 83 (560,661)
Citation 8

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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

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 Board of Governors of the Federal Reserve System
Downloads 79 (578,056)

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monetary policy announcements, high-frequency data, credit channel

24.

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 158 (347,951)
Citation 10

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

25.
Downloads 158 (347,951)
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 158 (348,045)
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

26.

Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements

FEDS Working Paper No. 2021-74
Number of pages: 67 Posted: 05 Jan 2022
Independent, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 143 (377,416)
Citation 13

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Monetary policy, Public information, Probability of a recession, Price discovery

27.

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 (971,936)
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Private information, public news announcements, information spillovers, international equity returns, contagion

28.

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

International Finance Discussion Paper No. 980
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System

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29.

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