Anne Lundgaard Hansen

Federal Reserve Bank of Richmond - Quantitative Supervision & Research

Financial Economist

United States

http://sites.google.com/view/anneh/

  • Federal Reserve Bank of Richmond - Quantitative Supervision & Research

SCHOLARLY PAPERS

8

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13,415

TOTAL CITATIONS
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SSRN RANKINGS

Top 41,679

in Total Papers Citations

31

Ideas:
“  I am a financial econometrician interested in questions broadly related to financial stability, both concerning financial market risk and financial intermediation.  ”

  • Federal Reserve Bank of Richmond - Quantitative Supervision & Research

Scholarly Papers (8)

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1.

Can ChatGPT Decipher Fedspeak?

Number of pages: 28 Posted: 07 Apr 2023 Last Revised: 11 Apr 2024
Anne Lundgaard Hansen and Sophia Kazinnik
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Quantitative Supervision & Research
Downloads 9,143 (1,333)
Citation 25

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Natural Language Processing (NLP), Generative Pre-training Transformer (GPT), Federal Reserve Communication, Applications, Artificial Intelligence (AI)

2.

Predicting Recessions Using VIX-Yield Curve Cycles

International Journal of Forecasting, Volume 40, Issue 1, January-March 2024, Pages 409-422.
Number of pages: 31 Posted: 18 Nov 2021 Last Revised: 07 Dec 2023
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 3,063 (8,342)
Citation 1

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Recession predictability, yield curve, VIX

3.

Evaluating Local Language Models: An Application to Financial Earnings Calls

Number of pages: 53 Posted: 09 Nov 2023 Last Revised: 19 Dec 2023
Thomas R. Cook, Sophia Kazinnik, Anne Lundgaard Hansen and Peter McAdam
Federal Reserve Bank of Kansas City, Federal Reserve Banks - Quantitative Supervision & Research, Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Bank of Kansas City
Downloads 469 (123,053)
Citation 2

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Large Language Models (LLMs), Banking, Natural Language Processing (NLP)

4.

Time-Varying Variance Decomposition of Macro-Finance Term Structure Models

Number of pages: 49 Posted: 18 Nov 2021 Last Revised: 03 Mar 2023
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 213 (284,565)

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Macro-finance term structure model, bond market volatility, multivariate GARCH, variance risk premia

5.

A Joint Model for the Term Structure of Interest Rates and Realized Volatility

Journal of Financial Econometrics
Number of pages: 43 Posted: 18 Nov 2021 Last Revised: 09 Mar 2022
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 158 (371,547)

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Term structure modeling, yield curve covariation, interest-rate risk, real- ized covariation, multivariate GARCH, non-linear Kalman filter

6.

Financial Market Inflation Perception

Number of pages: 54 Posted: 28 Aug 2023
Anne Lundgaard Hansen and Marius Mihai
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and John Carroll University - Boler School of Business
Downloads 152 (383,710)

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Industry equity returns, inflation, investments, business cycle, policy actions

7.

Modeling Persistent Interest Rates with Double-Autoregressive Processes

Downloads 119 (464,747)
Citation 3

Modeling Persistent Interest Rates with Double-Autoregressive Processes

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 18 Nov 2021
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 55 (747,019)
Citation 3

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Yield curve, unit roots, cointegration, persistence problem, volatility- induced stationarity, random coefficient vector autoregression, macro-finance term structure model

Modeling Persistent Interest Rates with Volatility-Induced Stationarity

Number of pages: 38 Posted: 20 Dec 2018 Last Revised: 02 Mar 2019
Anne Lundgaard Hansen
Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 64 (694,008)

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Yield curve, unit root, persistence problem, volatility-induced stationarity, macro-finance term structure model, level-dependent conditional volatility.

8.

Does Media Sentiment Influence Bank Supervision?

Number of pages: 51 Posted: 16 Apr 2024
David Aldama-Navarrete, Filippo Curti, Anne Lundgaard Hansen and Sophia Kazinnik
Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Quantitative Supervision & Research
Downloads 98 (534,743)

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Media Sentiment, Bank Holding Companies (BHCs), Bank Supervision, Supervisory Ratings, Financial News, Natural Language Processing (NLP)