Stefania D'Amico

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 569 (45,456)

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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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 317 (92,564)

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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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 139 (204,692)

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

2.

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
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 128 (217,934)

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

3.

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

FEDS Working Paper No. 2005-09
Number of pages: 49 Posted: 14 Apr 2005
Stefania D'Amico
Board of Governors of the Federal Reserve System
Downloads 102 (256,876)

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

4.

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
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 71 (320,726)

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

5.

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
Board of Governors of the Federal Reserve System, Government of the United States of America - Division of Monetary Affairs, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 49 (384,216)

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

6.

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

CEPR Discussion Paper No. DP9145
Number of pages: 60 Posted: 28 Sep 2012
Board of Governors of the Federal Reserve System, Government of the United States of America - Division of Monetary Affairs, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 12 (557,945)
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CUSIP-level data, history of unconventional monetary policy, large-scale asset purchases, monetary transmission mechanism

7.

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

Posted: 12 Feb 2003
Stefania D'Amico and Mira Farka
Board of Governors of the Federal Reserve System and Columbia University - Department of Economics

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monetary policy, asset prices, structural VAR, identification