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
  • 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
  • Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements
    Benjamin Gardner, Chiara Scotti, and Clara Vega
    Journal of Econometrics (Forthcoming)
    https://doi.org/10.1016/j.jeconom.2021.07.014
    See also » FRB Working Paper (2021)
  • 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
  • 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
Last update: March 7, 2022