Meet the Researchers
Clara Vega
[email protected]
Education
- Ph.D., Economics, University of Pennsylvania, 2002
- B.A., Math and Economics, Rutgers University, 1995
- High Frequency Trading, Counterparty Risk
- Information Economics
Special Adviser to Vice Chair Jefferson
Board of Governors of the Federal Reserve System
2022 - presentAssistant Director
Board of Governors of the Federal Reserve System
2020 - presentAssistant Director/Section Chief
Board of Governors of the Federal Reserve System
2018 - 2020Section Chief
Board of Governors of the Federal Reserve System
2014 - 2018Senior Economist
Board of Governors of the Federal Reserve System
2008 - 2014Economist
Board of Governors of the Federal Reserve System
2005 - 2008Assistant Professor
William E. Simon School of Business, University of Rochester
2002 - 2007
- What Makes HFTs Tick? Tick Size Changes and Information Advantage in a Market with Fast and Slow Traders
Alain Chaboud, Avery Dao, Clara Vega, and Filip Zikes
Management Science (Forthcoming)
https://doi.org/10.1287/mnsc.2022.02935 - Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
Wenxin Du, Salil Gadgil, Michael B. Gordy, and Clara Vega
Management Science (2024)
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)
https://doi.org/10.2139/ssrn.4256637 - 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
See also » FRB Working Paper (2009) - 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
See also » FRB Working Paper (2008) - 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)
https://doi.org/10.17016/IFDP.2008.951 - 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
See also » FRB Working Paper (2006) - 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
See also » FRB Working Paper (2006) - 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
See also » FRB Working Paper (2006) - 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
June2016Women in Market Microstructure, WFA, Utah
Session Chair at WFA satellite conference
discussion
June 2016WFA, Utah
Price Discovery without Trading: Evidence from Limit Orders
discussion
April 2016Third International Conference on Sovereign Bond Markets, NY
Monetary Policy Through Production Networks: Evidence from the Stock Market
seminar
December 2015Johns Hopkins University
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
conference
September 2015IFSID 2015, Quebec, Montreal
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
conference
June 2015WFA, Satellite Conference, Seattle, Washington
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
seminar
May 2015Lehigh University
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
conference
March 20156th Risk Management Conference, Tremblant
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
discussion
December 2014NBER Market Microstructure Meetings, Boston
Government Intervention and Arbitrage
discussion
September 2014Annual Central Bank Market Microstructure Conference, Rome
Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange
discussion
June 2014WFA Meeting in Monterey, California
Trading Fast and Slow: Colocation and Market Quality
seminar
May 2014Goethe University,
Algorithmic Trading in the US Treasury Market
seminar
May 2014ESSEC Business School, Paris
Algorithmic Trading in the US Treasury Market
seminar
May 2014University of Venice
Algorithmic Trading in the US Treasury Market
seminar
February 2014George Mason University
Revisiting the Impact of Public Information on the Stock Market
conference
May 2013University of Toulouse Conference on High Frequency Trading
An Event Study on the Effect of Minimum Quote Life
seminar
May 2013Queen's University of Belfast
An Event Study on the Effect of Minimum Quote Life
conference
January 2014AEA/AFA Meetings in Philadelphia
Government Intervention and Strategic Trading in the U.S. Treasury Market
conference
June 20141st International Conference on Sovereign Bond Markets, Waseda University
Government Intervention and Strategic Trading in the U.S. Treasury Market
conference
December 2011NBER Market Microstructure Group, Boston
Government Intervention and Strategic Trading in the U.S. Treasury Market
conference
August 2011EFA annual meetings, Stockholm
Government Intervention and Strategic Trading in the U.S. Treasury Market
seminar
May 2011University College London
Government Intervention and Strategic Trading in the U.S. Treasury Market
seminar
April 2014Washington State University
Government Intervention and Strategic Trading in the U.S. Treasury Market
seminar
February 2011Swiss National Bank
Government Intervention and Strategic Trading in the U.S. Treasury Market
seminar
October 2010University of Warwick
Government Intervention and Strategic Trading in the U.S. Treasury Market
seminar
June 2010Banque du France
Government Intervention and Strategic Trading in the U.S. Treasury Market
conference
September 2012Federal Reserve Board of Governors
Using Systemic Risk Measures to Understand Financial Vulnerabilities
seminar
March 2012INSEAD
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
seminar
March 2012EDHEC Business School, Paris
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
seminar
March 2010Imperial College Business School
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
seminar
May 2010University of Washington
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
seminar
May 2010SEC
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
conference
October 2009NBER Market Microstructure Group, Boston
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
seminar
May 2009SAIS International Economics Seminar, Washington DC
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
conference
August 2009SITE 2009 conference at Stanford
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
conference
August 2009European Economic Association, Barcelona
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
conference
January 2009AEA/AFA Meetings San Francisco
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
conference
October 2008NBER Market Microstructure Meetings in Boston
Strategic Cross-Trading in the U.S. Stock Market
conference
January 2010AFA annual meetings, Atlanta
Strategic Cross-Trading in the U.S. Stock Market
seminar
October 2009Ecole Polytechnique Fédérale de Lausanne
Strategic Cross-Trading in the U.S. Stock Market
conference
June 2009Second Erasmus Liquidity Conference, Rotterdam
Strategic Cross-Trading in the U.S. Stock Market
seminar
March 2009University of Notre Dame
Strategic Cross-Trading in the U.S. Stock Market
seminar
November 2008University of Toronto
Strategic Cross-Trading in the U.S. Stock Market
seminar
November 2008Vanderbilt University
Strategic Cross-Trading in the U.S. Stock Market
conference
October 2008NBER Market Microstructure Group, Boston
Strategic Cross-Trading in the U.S. Stock Market
seminar
October 2008University of Amsterdam
Strategic Cross-Trading in the U.S. Stock Market
seminar
September 2008University of North Carolina
Strategic Cross-Trading in the U.S. Stock Market
seminar
December 2008Lancaster University Management School, Lancaster, UK,
Soft Information in Earnings Announcements: News or Noise?
conference
November 2008Conference on Forensic Accounting, Internal Control and Corporate Governance, University of Toronto
Soft Information in Earnings Announcements: News or Noise?
seminar
April 2008Swiss Finance Institute, University of Lugano
Soft Information in Earnings Announcements: News or Noise?
seminar
May 2008National University of Singapore
Soft Information in Earnings Announcements: News or Noise?
seminar
August 2008American Accounting Association Annual Meeting
Soft Information in Earnings Announcements: News or Noise?
seminar
November 2007Duke University
Soft Information in Earnings Announcements: News or Noise?
conference
August 2009Society 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