Chiara Scotti

Board of Governors of the Federal Reserve System

Deputy Director

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

21

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3,184

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Top 2,895

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392

CROSSREF CITATIONS

66

Scholarly Papers (21)

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1.

Markov Switching GARCH Models of Currency Crises in Southeast Asia

Number of pages: 44 Posted: 04 Apr 2003
Celso Brunetti, Roberto S. Mariano, Chiara Scotti and Augustine H.H. Tan
Board of Governors of the Federal Reserve System, Singapore Management University, Board of Governors of the Federal Reserve System and Singapore Management University - School of Social Sciences
Downloads 553 (70,737)
Citation 5

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Currency Crises, Markov Switching Models, Volatility

2.

Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?

Downloads 415 ( 99,753)
Citation 22

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
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 148 (273,723)

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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
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 122 (317,668)

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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
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 77 (429,151)
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
Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega
University of Washington - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System, European Central Bank (ECB) - Directorate General Research and Board of Governors of the Federal Reserve System
Downloads 68 (459,659)
Citation 23

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Macroeconomic announcements, price discovery, learning, forecasting, nowcasting

3.

The Covid-19 Crisis and the Federal Reserve'S Policy Response

FEDS Working Paper No. 2021-35
Number of pages: 23 Posted: 14 Jun 2021 Last Revised: 07 Sep 2021
Richard Clarida, Burcu Duygan-Bump and Chiara Scotti
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 349 (121,387)

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Monetary policy, Forward guidance, Asset purchases, Section 13(3) facilities

4.

Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

Downloads 337 (126,119)
Citation 49

Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

International Finance Discussion Paper No. 1101
Posted: 09 Jul 2021 Last Revised: 07 Jul 2021
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

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Large scale asset purchases, quantitative easing, zero bound, term premiums

Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

FRB International Finance Discussion Paper No. 1101
Number of pages: 72 Posted: 08 Apr 2014
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 337 (125,393)
Citation 49

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Large scale asset purchases, quantitative easing, zero bound, term premium

5.

Unconventional Monetary Policy and International Risk Premia

International Finance Discussion Paper No. 1172
Number of pages: 33 Posted: 01 Jul 2016 Last Revised: 21 Sep 2016
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 215 (197,738)
Citation 27

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6.

Real-Time Measurement of Business Conditions

Downloads 147 (207,642)
Citation 112

Real-Time Measurement of Business Conditions

FRB International Finance Discussion Paper No. 901, PIER Working Paper No. 07-028
Number of pages: 36 Posted: 22 Sep 2007
S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 117 (327,379)

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Import prices, Export prices, Trade balance, Marshall-Lerner condition, DGE model

Real-Time Measurement of Business Conditions

NBER Working Paper No. w14349
Number of pages: 30 Posted: 23 Sep 2008 Last Revised: 18 Mar 2022
S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 30 (646,011)
Citation 6

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7.

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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 179 (232,912)

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

8.

Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro Surprises

Downloads 163 (252,137)
Citation 34

Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro Surprises

International Finance Discussion Paper No. 1093
Posted: 09 Jul 2021
Chiara Scotti
Board of Governors of the Federal Reserve System

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Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro Surprises

FRB International Finance Discussion Paper No. 1093r
Number of pages: 43 Posted: 22 Mar 2014
Chiara Scotti
Board of Governors of the Federal Reserve System
Downloads 163 (252,606)
Citation 34

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Business cycle; Dynamic factor model; State space model; Forecasting weights

9.

A Bivariate Model of Fed and ECB Main Policy Rates

Downloads 148 (272,861)

A Bivariate Model of Fed and ECB Main Policy Rates

International Finance Discussion Paper No. 875
Posted: 07 Jul 2021
Chiara Scotti
Board of Governors of the Federal Reserve System

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A Bivariate Model of Fed and ECB Main Policy Rates

FRB International Finance Discussion Paper No. 875
Number of pages: 47 Posted: 21 Dec 2006
Chiara Scotti
Board of Governors of the Federal Reserve System
Downloads 148 (273,723)
Citation 7

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Monetary Policy, Copula, Hazard Probability, Bivariate Probit Models

10.

Measuring the Liquidity Profile of Mutual Funds

Downloads 131 (299,895)
Citation 1

Measuring the Liquidity Profile of Mutual Funds

International Journal of Central Banking, Forthcoming
Number of pages: 41 Posted: 21 Mar 2018 Last Revised: 16 Jul 2019
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 88 (396,063)

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liquidity transformation, asset management, mutual funds, market liquidity

Measuring the Liquidity Profile of Mutual Funds

FEDS Working Paper No. 2019-55
Number of pages: 42 Posted: 22 Oct 2019
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 43 (568,387)
Citation 1

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11.

Markov Switching GARCH Models of Currency Turmoil in Southeast Asia

Downloads 122 (316,156)

Markov Switching GARCH Models of Currency Turmoil in Southeast Asia

International Finance Discussion Paper No. 889
Posted: 07 Jul 2021
Celso Brunetti, Roberto S. Mariano, Chiara Scotti and Augustine H. Tan
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

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Markov Switching Garch Models of Currency Turmoil in Southeast Asia

FRB International Finance Discussion Paper No. 889
Number of pages: 44 Posted: 03 Apr 2007
Celso Brunetti, Roberto S. Mariano, Augustine H.H. Tan and Chiara Scotti
Board of Governors of the Federal Reserve System, Singapore Management University, Singapore Management University - School of Social Sciences and Board of Governors of the Federal Reserve System
Downloads 122 (317,668)
Citation 10

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Currency crises, Financial markets, Banking sector, Regime Switching, Volatility

12.

Exchange Rates Dependence: What Drives it?

Downloads 117 (325,630)

Exchange Rates Dependence: What Drives it?

International Finance Discussion Paper No. 969
Posted: 07 Jul 2021
Sigridur Benediktsdottir and Chiara Scotti
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

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Exchange Rates Dependence: What Drives It?

FRB International Finance Discussion Paper No. 969
Number of pages: 49 Posted: 16 Jun 2009
Chiara Scotti and Sigridur Benediktsdottir
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 117 (327,379)
Citation 6

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Copula, bivariate distributions, t-GARCH models, correlation, upper/lower tail

13.

Real-Time Measurement of Business Conditions, Second Version

PIER Working Paper No. 08-011
Number of pages: 28 Posted: 04 Apr 2008
S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 116 (327,629)
Citation 3

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Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model, Contraction, Turning point

14.

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
Benjamin Gardner, Chiara Scotti and Clara Vega
Independent, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 81 (412,175)

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

15.

Macroeconomic and Financial Risks: A Tale of Mean and Volatility

International Finance Discussion Paper No. 1326
Number of pages: 56 Posted: 23 Aug 2021
Dario Caldara, Chiara Scotti and Molin Zhong
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 61 (479,229)

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16.

Does Anyone Listen When Politicians Talk? The Effect of Political Commentaries on Policy Rate Decisions and Expectations

FEDS Working Paper No. 2016-58
Number of pages: 39 Posted: 12 Aug 2016
Selva Demiralp, Sharmila King and Chiara Scotti
Koc University - Department of Economics, University of the Pacific (UOP) - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 44 (552,092)
Citation 1

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17.

Real-Time Measurement of Business Conditions

FRB of Philadelphia Working Paper No. 08-19
Number of pages: 30 Posted: 06 Jul 2021 Last Revised: 03 Jul 2021
S. Boragan Aruoba, Francis X. Diebold and Chiara Scotti
affiliation not provided to SSRN, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System
Downloads 6 (829,575)

Abstract:

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Business conditions

18.

Has International Financial Co-Movement Changed? Emerging Markets in the 2007-2009 Financial Crisis

International Finance Discussion Paper No. 1006
Posted: 09 Jul 2021
John Ammer, Fang Cai and Chiara Scotti
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

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19.

Real-Time Measurement of Business Conditions

International Finance Discussion Paper No. 901
Posted: 08 Jul 2021 Last Revised: 07 Jul 2021
S. Boragan Aruoba, Francis X. Diebold and Chiara Scotti
affiliation not provided to SSRN, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

Abstract:

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Business conditions, Econometric models

20.

How Correlated is LIBOR with Bank Funding Costs?

FEDS Notes No. 2020-06-29
Posted: 21 Aug 2020
David Bowman, Chiara Scotti and Cindy M. Vojtech
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

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21.

Monitoring the Liquidity Profile of Mutual Funds

FEDS Notes No. 2020-05-29
Posted: 13 Aug 2020
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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