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Photo of Clara Vega

Clara Vega

Senior Economist

Risk Analysis Section

Research and Statistics

  • Ph.D., Economics, University of Pennsylvania, 2002
  • B.A., Math and Economics, Rutgers University, 1995
    • Senior Economist

      Board of Governors of the Federal Reserve System

    • 2009 - present
    • Economist

      Board of Governors of the Federal Reserve System

    • 2005 - 2009
    • Assistant Professor

      William E. Simon School of Business, University of Rochester

    • 2002 - 2007
  • Chaboud, Alain, Benjamin Chiquoine, Erik Hjalmarsson, and Clara Vega (Forthcoming). "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Journal of Finance.
  • 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.


  • Associate Editor, Journal of Business and Economic Statistics, 2009 to present
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Last update: October 6, 2014