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Research Staff and Resources

International Finance Staff | Financial Markets Section
photograph of Mico Loretan
Mico Loretan
Chief
Financial Markets Section
Division of International Finance
(on leave to Bank for International Settlements, Representative Office for Asia and the Pacific, Hong Kong)

Contact Information
mico.loretan@bis.org

Fields of Interest
Financial Markets
Econometrics and Statistics
Monetary Policy

Education
Ph.D., Economics, Yale University, 1991
M.A., Economics, Yale University, 1986
B.S., Economics and Business Administration, University of Zurich, 1984

Professional Experience
Board of Governors of the Federal Reserve System, 1994-present
Senior Economist, Bank for International Settlements, Representative Office for Asia and the Pacific, Hong Kong, 2007-2009
Visiting Scholar, Bank of Japan, Institute for Monetary and Economic Studies, 1997
Visiting Assistant Professor, University of Virginia, Charlottesville VA, 1993-1994
Assistant Professor, University of Wisconsin, Madison WI, 1990-1993

Selected Publications

  • A note on the coefficient of determination in models with infinite variance variables (with Jeong-Ryeol Kurz-Kim), International Finance Discussion Papers 895. Washington: Board of Governors of the Federal Reserve System, 2007.
  • Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets (with Alain Chaboud, Ben Chiquoine, and Erik Hjalmarsson), International Finance Discussion Papers 905. Washington: Board of Governors of the Federal Reserve System, 2007.
  • ''Indexes of the Foreign Exchange Value of the Dollar,'' Federal Reserve Bulletin, vol. 91 (Winter 2005), pp. 1-8.
  • Evaluating "correlation breakdowns" during periods of market volatility (with William B. English. A shortened version of this paper was published later in 2000 in the BIS Quarterly Review and in Global Investor Magazine), International Finance Discussion Papers 658. Washington: Board of Governors of the Federal Reserve System, 2000.
  • Pitfalls in tests for changes in correlations (with Brian H. Boyer and Michael S. Gibson), International Finance Discussion Papers 597. Washington: Board of Governors of the Federal Reserve System, 1997.
  • ''Systemic risk in banking: Concepts and Models,'' in George M. von Furstenberg, ed., Regulation and supervision of financial institutions in the NAFTA countries and beyond. Boston/Dordrecht/London: Kluwer Academic Publishers, 1997.
  • ''Systemic risk in a model economy with a stylized banking system,'' in Mico Loretan, ed., Risk measurement and systemic risk: Proceedings of a joint central bank research conference, November 1995. Washington, DC: Board of Governors of the Federal Reserve System, 1996.
  • ''On the theory of testing covariance stationarity under moment condition failure'' (with Peter C. B. Phillips), in G. S. Maddala, Peter C. B. Phillips, and T. N. Srinivasan, ed., Advances in ecometrics and quantitative economics. Essays in honor of Professor C. R. Rao. Oxford UK and Cambridge USA: Blackwell, 1995.
  • ''Economic models of systemic risk in financial systems,'' North American Journal of Economics and Finance, vol. 7 (1996), pp. 147-52.
  • ''Testing the covariance stationarity of heavy-tailed economic time series: An overview of the theory with applications to financial data sets'' (with Peter C. B. Phillips), Journal of Empirical Finance, vol. 1 (1994), pp. 211-48.
  • ''Estimating long-run economic equilibria'' (with Peter C. B. Phillips), Review of Economic Studies, vol. 58 (1991), pp. 307-36.
  • ''The Durbin-Watson ratio under infinite-variance errors'' (with Peter C. B. Phillips), Journal of Econometrics, vol. 47 (1991), pp. 85-114.

Last update: December 4, 2009