Photo of Clara Vega

Clara Vega

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
  • Special Adviser to Vice Chair Jefferson

    Board of Governors of the Federal Reserve System

    2022 - present
  • Assistant Director

    Board of Governors of the Federal Reserve System

    2020 - present
  • Assistant Director/Section Chief

    Board of Governors of the Federal Reserve System

    2018 - 2020
  • Section Chief

    Board of Governors of the Federal Reserve System

    2014 - 2018
  • 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
  • Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
    Wenxin Du, Salil Gadgil, Michael B. Gordy, and Clara Vega
    Management Science (Forthcoming)
    https://doi.org/10.1287/mnsc.2023.4870
    See also » FRB Working Paper (2016)
  • Fed Communication, News, Twitter, and Echo Chambers
    Bennett Schmanski, Chiara Scotti, Clara Vega, and Hedi Benamar
    Finance and Economics Discussion Series (2023)
    https://doi.org/10.17016/FEDS.2023.036
  • Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements
    Ben Gardner, Chiara Scotti, and Clara Vega
    Journal of Econometrics (2022)
    https://doi.org/10.1016/j.jeconom.2021.07.014
    See also » FRB Working Paper (2021)
  • All-to-All Trading in the U.S. Treasury Market
    Alain Chaboud, Ellen Correia Golay, Caren Cox, Michael J. Fleming, Yesol Huh, Frank M. Keane, Kyle Lee, Krista Schwarz, Clara Vega, and Carolyn Windover
    Staff reports (Federal Reserve Bank of New York) (2022)
  • Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News
    Hedi Benamar, Thierry Foucault, and Clara Vega
    Review of Financial Studies (2021)
    https://doi.org/10.1093/rfs/hhaa072
  • Government Intervention and Strategic Trading in the U.S. Treasury Market
    Paolo Pasquariello, Jennifer E. Roush, and Clara Vega
    Journal of Financial and Quantitative Analysis (2020)
    https://doi.org/10.1017/S0022109018001552
  • Is the Intrinsic Value of a Macroeconomic News Announcement Related to its Asset Price Impact?
    Thomas Gilbert, Chiara Scotti, Georg Strasser, and Clara Vega
    Journal of Monetary Economics (2017)
    https://doi.org/10.1016/j.jmoneco.2017.09.008
    See also » FRB Working Paper (2015)
  • Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
    Wenxin Du, Salil Gadgil, Michael B. Gordy, and Clara Vega
    Finance and Economics Discussion Series (2016)
    https://doi.org/10.17016/FEDS.2016.087
  • Strategic Cross-Trading in the U.S. Stock Market
    Paolo Pasquariello and Clara Vega
    Review of Finance (2015)
    https://doi.org/10.1093/rof/rft055
  • Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
    Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson, and Clara Vega
    Journal of Finance (2014)
    https://doi.org/10.1111/jofi.12186
  • Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
    Lutz Kilian and Clara Vega
    Review of Economics and Statistics (2011)
    https://doi.org/10.1162/REST_a_00086
  • International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices
    John Ammer, Clara Vega, and Jon Wongswan
    Journal of Money, Credit and Banking (2010)
    https://doi.org/10.1111/j.1538-4616.2010.00333.x
  • Market Microstructure
    Clara Vega and Christian S. Miller
    Encyclopedia of Complexity and Systems Science (2009)
    https://doi.org/10.1007/978-0-387-30440-3_320
  • The On-the-Run Liquidity Phenomenon
    Paolo Pasquariello and Clara Vega
    Journal of Financial Economics (2009)
    https://doi.org/10.1016/j.jfineco.2008.04.005
  • Economic News and International Stock Market Co-Movement
    Clara Vega and Rui Albuquerque
    Review of Finance (2009)
    https://doi.org/10.1093/rof/rfn020
  • Soft Information in Earnings Announcements: News or Noise?
    Clara Vega and Elizabeth Demers
    International Finance Discussion Papers (2008)
  • The Monetary Origins of Asymmetric Information in International Equity Markets
    Gregory H. Bauer and Clara Vega
    Journal of International Money and Finance (2008)
    https://doi.org/10.1016/j.jimonfin.2007.10.005
  • Informed and Strategic Order Flow in the Bond Markets
    Paolo Pasquariello and Clara Vega
    Review of Financial Studies (2007)
    https://doi.org/10.1093/rfs/hhm034
  • Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, and Clara Vega
    Journal of International Economics (2007)
    https://doi.org/10.1016/j.jinteco.2007.02.004
  • Stock Price Reaction to Public and Private Information
    Clara Vega
    Journal of Financial Economics (2006)
    https://doi.org/10.1016/j.jfineco.2005.07.011
  • Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Clara Vega, Torben G. Andersen, Tim Bollerslev, and Francis X. Diebold
    American Economic Review (2003)
    https://doi.org/10.1257/000282803321455151
  • Review of: Econometric modelling of stock market intraday activity
    Clara Vega
    Journal of Economic Literature (2003)
    https://doi.org/10.1257/002205103771800040
  • What Do Chain Store Sales Tell Us about Consumer Spending?
    Ethan S. Harris and Clara Vega
    Economic Policy Review (1996)
  • conference

    June2016

    Women in Market Microstructure, WFA, Utah

    Session Chair at WFA satellite conference

  • discussion

    June 2016

    WFA, Utah

    Price Discovery without Trading: Evidence from Limit Orders

  • discussion

    April 2016

    Third International Conference on Sovereign Bond Markets, NY

    Monetary Policy Through Production Networks: Evidence from the Stock Market

  • seminar

    December 2015

    Johns Hopkins University

    Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

  • conference

    September 2015

    IFSID 2015, Quebec, Montreal

    Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

  • conference

    June 2015

    WFA, Satellite Conference, Seattle, Washington

    Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

  • seminar

    May 2015

    Lehigh University

    Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

  • conference

    March 2015

    6th Risk Management Conference, Tremblant

    Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

  • 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?

Awards
  • 1997

    Bank of Spain

    Bank of Spain Ph. D. Scholarship

  • 2005

    Morgan Stanley

    Microstructure Research Group Grant

  • 2005

    Q-Group

    The Institute for Quantitative Research in Finance Grant

  • 2003

    Kodak

    Kodak Faculty Fellowship

  • 2003

    BSI

    BSI Gamma Grant

Conference Organization
  • September 2022

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • July, 2023

    Western Finance Association

    Program Committee

  • May, 2023

    NYU Stern Market Microstructure Conference

    Program Committee

  • October 2023 | Federal Reserve Board of Governors

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • September 2020

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • August, 2023

    European Finance Association

    Program Committee

  • September 2017

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • July, 2022

    Western Finance Association

    Program Committee

  • May, 2022

    NYU Stern Market Microstructure Conference

    Program Committee

  • August, 2022

    European Finance Association

    Program Committee

  • September 2019

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • September 2021

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • September 2018

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • August, 2021

    European Finance Association

    Program Committee

  • July, 2021

    Western Finance Association

    Program Committee

  • May, 2021

    NYU Stern Market Microstructure Conference

    Program Committee

  • August, 2020

    European Finance Association

    Program Committee

  • July, 2021

    Western Finance Association

    Program Committee

  • August, 2019

    European Finance Association

    Program Committee

  • July, 2019

    Western Finance Association

    Program Committee

  • May, 2019

    NYU Stern Market Microstructure Conference

    Program Committee

  • September 2016 | Paris, France

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • August, 2016 | Oslo, Norway

    European Finance Association

    Program Committee

  • August, 2015 | Vienna, Austria

    European Finance Association

    Program Committee

  • September 2015 | Dublin, Ireland

    Annual Central Bank Market Microstructure Meetings

    Program Committee

  • 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

  • August, 2017

    European Finance Association

    Program Committee

  • August, 2017

    European Finance Association

    Program Committee

Editor
  • Co-Editor, Special Issue: The Impact of Global Pandemic on Financial Markets and Institutions, Journal of Banking and Finance, 2020-present
  • Associate Editor, Journal of Financial Markets, 2020 to present
  • 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: December 1, 2023