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Board of Governors of the Federal Reserve System
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TheEconomists

Photo of Clara Vega
202-452-2379
clara.vega@frb.gov
Education
  • Ph.D., Economics, University of Pennsylvania, 2002
  • B.A., Math and Economics, Rutgers University, 1995
  • Current Research Topics

  • High Frequency Trading, Counterparty Risk
  • Information Economics
    • Section Chief

      Board of Governors of the Federal Reserve System

    • 2014 - present
    • Senior Economist

      Board of Governors of the Federal Reserve System

    • 2008 - 2014
    • Economist

      Board of Governors of the Federal Reserve System

    • 2005 - 2008
    • Assistant Professor

      William E. Simon School of Business, University of Rochester

    • 2002 - 2007
  • Chaboud, Alain, Benjamin Chiquoine, Erik Hjalmarsson, and Clara Vega (2014). "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Journal of Finance, vol. 69, pp. 2045-2084.
  • Kilian, Lutz, and Clara Vega (2011). "Do Energy Prices Respond to U.S. Macroeconomic News? a Test of the Hypothesis of Predetermined Energy Prices," Review of Economics and Statistics, no. 93, pp. 660-671.
  • Ammer, John, Clara Vega, and Jon Wongswan (2010). "International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices," Journal of Money, Credit and Banking, vol. 42, no. 1, pp. 179-198.
  • Pasquariello, Paolo, and Clara Vega (2009). "The on-the-Run Liquidity Phenomenon," Journal of Financial Economics, vol. 92, no. 1, pp. 1-24.
  • Vega, Clara, and Rui Albuquerque (2009). "Economic News and International Stock Market Co-Movement," Review of Finance, vol. 13, no. 3, pp. 401-465.
  • Bauer, Gregory H., and Clara Vega (2008). "The Monetary Origins of Asymmetric Information in International Equity Markets," Journal of International Money and Finance, vol. 27, no. 7, pp. 1029-1055.
  • Vega, Clara (2008). "Market Microstructure," in Meyers, Robert A. ed., Encyclopedia of Complexity and Systems Science. Springer.
  • Vega, Clara, and Elizabeth Demers (2008). "Soft Information in News Announcements: News Or Noise?" International Finance Discussion Papers 951. Board of Governors of the Federal Reserve System (U.S.).
  • Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Clara Vega (2007). "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," Journal of International Economics, vol. 73, no. 2, pp. 251-277.
  • Pasquariello, Paolo, and Clara Vega (2007). "Informed and Strategic Order Flow in the Bond Markets," Review of Financial Studies, vol. 20, no. 6, pp. 1975-2019.
  • Vega, Clara (2006). "Stock Price Reaction to Public and Private Information," Journal of Financial Economics, vol. 82, no. 1, pp. 103-133.
  • Vega, Clara (2003). "Review of: Econometric Modelling of Stock Market Intraday Activity," Journal of Economic Literature, vol. 41, no. 4, pp. 1294-1296.
  • Vega, Clara, Torben G. Andersen, Tim Bollerslev, and Francis X. Diebold (2003). "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, no. 93, pp. 38-62.
  • Harris, Ethan S., and Clara Vega (1996). "What do Chain Store Sales Tell Us about Consumer Spending?" Federal Reserve Bank of New York Economic Policy Review, vol. 2, no. 2, pp. 15-35.
  • discussion

    December 2014

    NBER Market Microstructure Meetings, Boston

    Government Intervention and Arbitrage

  • discussion

    September 2014

    Annual Central Bank Market Microstructure Conference, Rome

    Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange

  • discussion

    June 2014

    WFA Meeting in Monterey, California

    Trading Fast and Slow: Colocation and Market Quality

  • seminar

    May 2014

    Goethe University,

    Algorithmic Trading in the US Treasury Market

  • seminar

    May 2014

    ESSEC Business School, Paris

    Algorithmic Trading in the US Treasury Market

  • seminar

    May 2014

    University of Venice

    Algorithmic Trading in the US Treasury Market

  • seminar

    February 2014

    George Mason University

    Revisiting the Impact of Public Information on the Stock Market

  • conference

    May 2013

    University of Toulouse Conference on High Frequency Trading

    An Event Study on the Effect of Minimum Quote Life

  • seminar

    May 2013

    Queen's University of Belfast

    An Event Study on the Effect of Minimum Quote Life

  • conference

    January 2014

    AEA/AFA Meetings in Philadelphia

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • conference

    June 2014

    1st International Conference on Sovereign Bond Markets, Waseda University

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • conference

    December 2011

    NBER Market Microstructure Group, Boston

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • conference

    August 2011

    EFA annual meetings, Stockholm

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • seminar

    May 2011

    University College London

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • seminar

    April 2014

    Washington State University

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • seminar

    February 2011

    Swiss National Bank

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • seminar

    October 2010

    University of Warwick

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • seminar

    June 2010

    Banque du France

    Government Intervention and Strategic Trading in the U.S. Treasury Market

  • conference

    September 2012

    Federal Reserve Board of Governors

    Using Systemic Risk Measures to Understand Financial Vulnerabilities

  • seminar

    March 2012

    INSEAD

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • seminar

    March 2012

    EDHEC Business School, Paris

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • seminar

    March 2010

    Imperial College Business School

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • seminar

    May 2010

    University of Washington

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • seminar

    May 2010

    SEC

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • conference

    October 2009

    NBER Market Microstructure Group, Boston

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • seminar

    May 2009

    SAIS International Economics Seminar, Washington DC

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • conference

    August 2009

    SITE 2009 conference at Stanford

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • conference

    August 2009

    European Economic Association, Barcelona

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • conference

    January 2009

    AEA/AFA Meetings San Francisco

    Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

  • conference

    October 2008

    NBER Market Microstructure Meetings in Boston

    Strategic Cross-Trading in the U.S. Stock Market

  • conference

    January 2010

    AFA annual meetings, Atlanta

    Strategic Cross-Trading in the U.S. Stock Market

  • seminar

    October 2009

    Ecole Polytechnique Fédérale de Lausanne

    Strategic Cross-Trading in the U.S. Stock Market

  • conference

    June 2009

    Second Erasmus Liquidity Conference, Rotterdam

    Strategic Cross-Trading in the U.S. Stock Market

  • seminar

    March 2009

    University of Notre Dame

    Strategic Cross-Trading in the U.S. Stock Market

  • seminar

    November 2008

    University of Toronto

    Strategic Cross-Trading in the U.S. Stock Market

  • seminar

    November 2008

    Vanderbilt University

    Strategic Cross-Trading in the U.S. Stock Market

  • conference

    October 2008

    NBER Market Microstructure Group, Boston

    Strategic Cross-Trading in the U.S. Stock Market

  • seminar

    October 2008

    University of Amsterdam

    Strategic Cross-Trading in the U.S. Stock Market

  • seminar

    September 2008

    University of North Carolina

    Strategic Cross-Trading in the U.S. Stock Market

  • seminar

    December 2008

    Lancaster University Management School, Lancaster, UK,

    Soft Information in Earnings Announcements: News or Noise?

  • conference

    November 2008

    Conference on Forensic Accounting, Internal Control and Corporate Governance, University of Toronto

    Soft Information in Earnings Announcements: News or Noise?

  • seminar

    April 2008

    Swiss Finance Institute, University of Lugano

    Soft Information in Earnings Announcements: News or Noise?

  • seminar

    May 2008

    National University of Singapore

    Soft Information in Earnings Announcements: News or Noise?

  • seminar

    August 2008

    American Accounting Association Annual Meeting

    Soft Information in Earnings Announcements: News or Noise?

  • seminar

    November 2007

    Duke University

    Soft Information in Earnings Announcements: News or Noise?

  • conference

    August 2009

    Society for Economic Dynamics, Istanbul

    Soft Information in Earnings Announcements: News or Noise?

Conference Organization

  • June 2014 Hong Kong

    High Frequency and Algorithmic Trading

    Program Committee

  • September 2014 Rome, Italy

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • December 2014 Barcelona, Spain

    EC2 Advances in Forecasting

    Program Committee

  • August 2007 Ljubljana, Slovenia

    European Finance Association

    Program Committee

  • August 2006 Zurich, Switzerland

    European Finance Association

    Program Committee

Editor

  • Associate Editor, Journal of Business and Economic Statistics, 2009 to present
  • Associate Editor, Spanish Economic Review, 2005-2010

Referee

  • American Economic Review
  • Financial Review
  • International Economic Review
  • Journal of Banking and Finance
  • Journal of Business and Economic Statistics
  • Journal of International Economics
  • Journal of International Money and Finance
  • Journal of Finance
  • Journal of Financial Econometrics
  • Journal of Financial Economics
  • Journal of Financial and Quantitative Analysis
  • Journal of Money Credit and Banking
  • Journal of Risk
  • Journal of Political Economy
  • Review of Finance
  • Review of Financial Studies
  • Spanish Economic Review
  • Studies in Nonlinear Dynamics and Econometrics
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Last update: November 3, 2014