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Chiara Scotti

Board of Governors of the Federal Reserve System

Economist

20th St. and Constitution Ave.

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

12

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93

Scholarly Papers (12)

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1.

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

Downloads 296 ( 91,675)

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 109 (227,230)

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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. 2015-46
Number of pages: 58 Posted: 19 Dec 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 76 (287,741)

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Macroeconomic announcements, Price discovery, Learning, Forecasting, Now-casting

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 67 (309,308)

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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 44 (378,531)

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Macroeconomic announcements, price discovery, learning, forecasting, nowcasting

2.

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
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 194 (126,507)
Citation 1

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

3.

Real-Time Measurement of Business Conditions

Downloads 111 (171,602)
Citation 44

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 91 (257,413)
Citation 44

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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: 17 Sep 2010
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 20 (491,391)
Citation 44

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4.

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 119 (189,960)
Citation 3

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Monetary Policy, Copula, Hazard Probability, Bivariate Probit Models

5.

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 99 (227,554)
Citation 2

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

6.

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 87 (241,651)
Citation 42

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

7.

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 83 (250,195)
Citation 1

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

8.

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 24 (227,554)

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

9.

The Effect of Large Macro Surprises on Mutual Funds' Liquidity Profile

Number of pages: 31 Posted: 21 Mar 2018
Sirio Aramonte, Chiara Scotti and Ilknur Zer
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 0 (469,749)

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liquidity transformation, asset management, mutual funds, market liquidity

10.

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

FEDS Working Paper No. 2016-058
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 0 (443,779)

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Central bank independence, Market expectations, Unconventional policy

11.

Unconventional Monetary Policy and International Risk Premia

FRB International Finance Discussion Paper No. 1172
Number of pages: 33 Posted: 01 Jul 2016
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 0 (147,576)

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12.

Evaluating Asset‐Market Effects of Unconventional Monetary Policy: A Multi‐Country Review

Economic Policy, Vol. 29, Issue 80, pp. 749-799, 2014
Number of pages: 51 Posted: 20 Oct 2014
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 0 (596,740)
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