Stefania D'Amico

Federal Reserve Bank of Chicago

230 South LaSalle Street

Chicago, IL 60604

United States

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 3,960

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52

CROSSREF CITATIONS

281

Scholarly Papers (20)

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2014-24
Number of pages: 88 Posted: 10 Apr 2014
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 660 (46,357)
Citation 27

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TIPS, breakeven inflation, deflation floor, expected inflation, indexation Lag, inflation risk premium, liquidity premiums

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

BIS Working Paper No. 248
Number of pages: 48 Posted: 16 Apr 2008
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 341 (104,165)
Citation 1

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term structure model, inflation expectation, inflation risk premium, SPF, Treasury Inflation-Protected Securities (TIPS)

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 19
Number of pages: 75 Posted: 12 Mar 2011
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 156 (224,033)
Citation 45

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Treasury inflation-protected securities (TIPS), expected inflation, inflation risk premium, liquidity, SPF, term structure

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 179 (198,872)
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 87 (343,490)
Citation 8

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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 40 (506,967)
Citation 3

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Repo Market, Special Repo Rate, Monetary Policy

3.
Downloads 203 (177,609)
Citation 4

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 136 (250,761)
Citation 3

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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 67 (400,102)

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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

4.

Flow and Stock Effects of Large-Scale Treasury Purchases

FEDS Working Paper No. 2012-44
Number of pages: 39 Posted: 04 Nov 2010 Last Revised: 20 Nov 2012
Stefania D'Amico and Thomas B. King
Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 147 (235,964)
Citation 37

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Treasury Market, LSAP, Yield Curve, Preferred Habitat, Limits of Arbitrage

5.

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 136 (249,964)

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Monetary policy, Keynesian models

6.

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 131 (258,677)
Citation 4

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

7.

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 110 (292,092)
Citation 10

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

8.

Issues in the Use of the Balance Sheet Tool

FEDS Working Paper No. 2020-071
Number of pages: 38 Posted: 02 Sep 2020
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago, 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 106 (299,773)

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Balance sheet policy, Quantitative easing, Yield curve control, Credit easing, Central bank lending authority

9.

Density Selection and Combination Under Model Ambiguity: An Application to Stock Returns

Number of pages: 49 Posted: 14 Apr 2005
Stefania D'Amico
Federal Reserve Bank of Chicago
Downloads 105 (301,714)
Citation 2

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Density forecast comparison, Kernel density estimation, Entropy, Model Combination

10.

Flow and Stock Effects of Large-Scale Asset Purchases: Evidence on the Importance of Local Supply

FEDS Working Paper No. 2012-44
Number of pages: 39 Posted: 19 Dec 2012
Stefania D'Amico and Thomas B. King
Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 98 (315,757)
Citation 5

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Yield curve, quantitative easing, LSAP, preferred habitat, limits of arbitrage

11.

Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX

Number of pages: 28 Posted: 21 May 2020
Stefania D'Amico, Vamsidhar Kurakula and Stephen Lee
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 83 (350,330)

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Coronavirus crisis, Credit Easing, Corporate bond market

12.

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 80 (357,986)

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Downside risk, derivatives, inflation, monetary policy

13.

Duration Risk Versus Local Supply Channel in Treasury Yields: Evidence from the Federal Reserve's Asset Purchase Announcements

FEDS Working Paper No. 2013-35
Number of pages: 38 Posted: 31 May 2017
Michael Cahill, Stefania D'Amico, Canlin Li and John Sears
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 67 (395,145)
Citation 5

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14.

Unexpected Supply Effects of Quantitative Easing and Tightening

FRB of Chicago Working Paper No. 2020-17
Number of pages: 52 Posted: 03 Aug 2020
Stefania D'Amico and Tim Seida
Federal Reserve Bank of Chicago and affiliation not provided to SSRN
Downloads 63 (407,978)
Citation 1

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Balance sheet policy surprises, quantitative easing and tightening, asset

15.

The Federal Reserve's Large-Scale Asset Purchase Programs: Rationale and Effects

FEDS Working Paper No. 2012-85
Number of pages: 58 Posted: 08 Jan 2013
Federal Reserve Bank of Chicago, 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 55 (435,556)
Citation 13

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large-scale asset purchases, history of unconventional monetary policy, monetary transmission mechanism, longer-term interest rates, preferred habitat, duration channel

16.

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 37 (510,327)
Citation 3

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17.

Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX

FRB of Chicago Working Paper No. 2020-14
Number of pages: 29 Posted: 20 May 2020
Stefania D'Amico, Vamsidhar Kurakula and Stephen Lee
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 27 (563,351)

Abstract:

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Balance Sheet Policy, Credit Easing, Corporate bond market

18.

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: 29 Apr 2020
Stefania D'Amico and N. Aaron Pancost
Federal Reserve Bank of Chicago and University of Texas at Austin McCombs School of Business
Downloads 27 (563,351)

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Bond prices, collateral, interest rates, risk premia

19.

The Federal Reserves Large-Scale Asset Purchase Programs: Rationale and Effects

CEPR Discussion Paper No. DP9145
Number of pages: 60 Posted: 28 Sep 2012
Federal Reserve Bank of Chicago, 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 12 (664,741)
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CUSIP-level data, history of unconventional monetary policy, large-scale asset purchases, monetary transmission mechanism

20.

The Fed and Stock Market: A Proxy and Instrumental Variable Identification

Posted: 12 Feb 2003
Stefania D'Amico and Mira Farka
Federal Reserve Bank of Chicago and Columbia University - Department of Economics

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monetary policy, asset prices, structural VAR, identification