Stefania D'Amico

Federal Reserve Bank of Chicago

230 South LaSalle Street

Chicago, IL 60604

United States

  • Federal Reserve Bank of Chicago

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 16,387

SSRN RANKINGS

Top 16,387

in Total Papers Downloads

5,184

SSRN CITATIONS
Rank 3,154

SSRN RANKINGS

Top 3,154

in Total Papers Citations

258

CROSSREF CITATIONS

253

Scholarly Papers (26)

Actions:
Email selected abstracts
1.

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

Downloads 1,299 (26,262)
Citation 82

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

FEDS Working Paper No. 2008-30
Posted: 02 Jul 2021
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

Abstract:

Loading...

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

FEDS Working Paper No. 2010-19
Posted: 09 Jul 2021
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

Abstract:

Loading...

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

FEDS Working Paper No. 2014-24
Posted: 09 Jul 2021 Last Revised: 01 Jul 2021
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

Abstract:

Loading...

TIPS, Breakeven, No-arbitrage term structure models, Liquidity, Expected inflation, Inflation risk premium, Survey forecasts, Indexation lag, Deflation floor

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 747 (56,327)
Citation 29

Abstract:

Loading...

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 375 (131,962)
Citation 20

Abstract:

Loading...

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 177 (280,099)
Citation 45

Abstract:

Loading...

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

2.

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

Downloads 382 (130,328)
Citation 25

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

FRB of Chicago Working Paper No. WP-2013-22
Posted: 09 Jul 2021
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and affiliation not provided to SSRN

Abstract:

Loading...

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

FEDS Working Paper No. 2014-60
Posted: 09 Jul 2021 Last Revised: 30 Jun 2021
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and affiliation not provided to SSRN

Abstract:

Loading...

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

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 210 (239,726)
Citation 6

Abstract:

Loading...

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 118 (389,163)
Citation 8

Abstract:

Loading...

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 Last Revised: 17 Aug 2022
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 54 (626,558)
Citation 6

Abstract:

Loading...

Repo Market, Special Repo Rate, Monetary Policy

3.

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 Northwestern University
Downloads 353 (142,211)
Citation 1

Abstract:

Loading...

Balance sheet policy surprises, quantitative easing and tightening, asset

4.

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 335 (150,438)
Citation 4

Abstract:

Loading...

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

5.

Issues in the Use of the Balance Sheet Tool

FEDS Working Paper No. 2020-71
Number of pages: 38 Posted: 02 Sep 2020
Mark A. Carlson, Stefania D'Amico, Cristina Fuentes-Albero, Bernd Schlusche and Paul R. Wood
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 295 (172,101)
Citation 2

Abstract:

Loading...

6.

The Term Structure and Inflation Uncertainty

Downloads 259 (196,520)
Citation 7

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 172 (287,236)
Citation 6

Abstract:

Loading...

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 87 (480,927)

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

7.

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 238 (213,429)
Citation 2

Abstract:

Loading...

Monetary policy, Keynesian models

8.

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 200 (251,416)
Citation 2

Abstract:

Loading...

Coronavirus crisis, Credit Easing, Corporate bond market

9.

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 175 (282,975)
Citation 3

Abstract:

Loading...

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

10.

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 163 (300,644)
Citation 10

Abstract:

Loading...

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

11.

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 151 (320,602)
Citation 7

Abstract:

Loading...

12.

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 142 (336,776)
Citation 76

Abstract:

Loading...

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

13.

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 120 (382,726)
Citation 2

Abstract:

Loading...

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

14.

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 103 (427,036)

Abstract:

Loading...

Downside risk, derivatives, inflation, monetary policy

15.

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 102 (429,976)
Citation 4

Abstract:

Loading...

16.

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
Stefania D'Amico, William B. English, David Lopez-Salido and Edward Nelson
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 96 (447,797)
Citation 15

Abstract:

Loading...

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

17.

The Impact of Covid-19 Related Policy Responses on Municipal Debt Markets

FRB of Chicago Working Paper No. WP 2021-14
Number of pages: 52 Posted: 10 Sep 2021 Last Revised: 03 Aug 2022
Robert Bernhardt, Stefania D'Amico and Santiago I. Sordo Palacios
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 79 (504,869)

Abstract:

Loading...

Monetary Policy, Policy Effects, Stabilization, Bond Market, Security Markets, Government Bonds, Local Government Bonds

18.

One Asset Does Not Fit All: Inflation Hedging by Index and Horizon

FRB of Chicago Working Paper No. 2023-08
Number of pages: 72 Posted: 20 Apr 2023
Stefania D'Amico and Thomas B. King
Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 77 (512,491)

Abstract:

Loading...

Inflation, real assets, Treasury Inflation Protected Securities, hedging

19.

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 74 (524,162)

Abstract:

Loading...

Bond prices, collateral, interest rates, risk premia

20.

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 70 (540,471)
Citation 2

Abstract:

Loading...

Balance Sheet Policy, Credit Easing, Corporate bond market

21.

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

CEPR Discussion Paper No. DP9145
Number of pages: 60 Posted: 28 Sep 2012
Stefania D'Amico, William B. English, David Lopez-Salido and Edward Nelson
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 (926,490)
Citation 22
  • Add to Cart

Abstract:

Loading...

CUSIP-level data, history of unconventional monetary policy, large-scale asset purchases, monetary transmission mechanism

22.

The Benchmark Greenium

Number of pages: 68 Posted: 13 Jun 2022
Stefania D'Amico, Johannes Klausmann and N. Aaron Pancost
Federal Reserve Bank of Chicago, University of Virginia - Darden School of Business and University of Texas at Austin McCombs School of Business
Downloads 459

Abstract:

Loading...

ESG, green bonds, dynamic no-arbitrage models

23.

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

FEDS Working Paper No. 2012-44
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Stefania D'Amico and Thomas B. King
Federal Reserve Bank of Chicago and affiliation not provided to SSRN

Abstract:

Loading...

24.

Flow and Stock Effects of Large-Scale Treasury Purchases

FEDS Working Paper No. 2010-52
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Stefania D'Amico and Thomas B. King
Federal Reserve Bank of Chicago and affiliation not provided to SSRN

Abstract:

Loading...

25.

Macroeconomic Sources of Recent Interest Rate Fluctuations

FEDS Notes No. 2016-06-02
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Stefania D'Amico, Thomas B. King and Min Wei
Federal Reserve Bank of Chicago, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

Abstract:

Loading...

26.

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

Abstract:

Loading...

monetary policy, asset prices, structural VAR, identification