Details about Stefania D'Amico

Access statistics for papers by Stefania D'Amico.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pda722

Working Papers

2024

1. Balance Sheet Policy Uncertainty and Its Aggregate Implications
   Working Paper Series, Federal Reserve Bank of Chicago
2. Open-Ended Treasury Purchases: From Market Functioning to Financial Easing
   Working Paper Series, Federal Reserve Bank of Chicago

2023

3. One Asset Does Not Fit All: Inflation Hedging by Index and Horizon
   Working Paper Series, Federal Reserve Bank of Chicago

2021

4. The Impact of Covid-19 Related Policy Responses on Municipal Debt Markets
   Working Paper Series, Federal Reserve Bank of Chicago

2020

5. Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX
   Working Paper Series, Federal Reserve Bank of Chicago View citations (20)
6. Issues in the Use of the Balance Sheet Tool
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
7. Unexpected Supply Effects of Quantitative Easing and Tightening
   Working Paper Series, Federal Reserve Bank of Chicago View citations (1)

2018

8. Special Repo Rates and the Cross-Section of Bond Prices: the Role of the Special Collateral Risk Premium
   Working Paper Series, Federal Reserve Bank of Chicago

2017

9. A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices
   Working Paper Series, Federal Reserve Bank of Chicago View citations (1)

2016

10. Macroeconomic Sources of Recent Interest Rate Fluctuations
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article Macroeconomic Sources of Recent Interest Rate Fluctuations, Chicago Fed Letter, Federal Reserve Bank of Chicago (2016) View citations (1) (2016)
11. The Term Structure and Inflation Uncertainty
    Working Paper Series, Federal Reserve Bank of Chicago View citations (3)

2015

12. What Does Anticipated Monetary Policy Do?
    Working Paper Series, Federal Reserve Bank of Chicago View citations (11)

2014

13. Inflation Uncertainty and Disagreement in Bond Risk Premia
    Working Paper Series, Federal Reserve Bank of Chicago View citations (9)
14. The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2013) View citations (3)
15. Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (21)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations (29)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2010) View citations (8)
    BIS Working Papers, Bank for International Settlements (2008) View citations (27)

2013

16. Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (16)

2012

17. Flow and stock effects of large-scale asset purchases: evidence on the importance of local supply
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
18. The Federal Reserve's large-scale asset purchase programs: rationale and effects
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (214)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (215)
    See also Journal Article The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects, Economic Journal, Royal Economic Society (2012) View citations (125) (2012)

2010

19. Flow and stock effects of large-scale Treasury purchases
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (31)

2008

20. Uncertainty and disagreement in economic forecasting
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (29)

2006

21. Learning, Expectations and the Business Cycle
    2006 Meeting Papers, Society for Economic Dynamics

2005

22. Density selection and combination under model ambiguity: an application to stock returns
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
23. Estimating the Deep Parameters of RBC Model with Learning
    Computing in Economics and Finance 2005, Society for Computational Economics
24. TIPS: Taking Inflation Premium Seriously
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (2)

2004

25. Density Estimation and Combination under Model Ambiguity
    Computing in Economics and Finance 2004, Society for Computational Economics

2003

26. The Fed and Stock Market: A Proxy and Instrumental Variable Identification
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (4)

Journal Articles

2023

1. Past and Future Effects of the Recent Monetary Policy Tightening
   Chicago Fed Letter, 2023, no 483, 6

2020

2. A Risk-Premium Adjustment to the Policy Rate Path
   Chicago Fed Letter, 2020, (432)
3. The impact of the pandemic and the Fed’s muni program on Illinois muni yields
   Chicago Fed Letter, 2020, (449), 7

2016

4. Macroeconomic Sources of Recent Interest Rate Fluctuations
   Chicago Fed Letter, 2016 View citations (1)
   See also Working Paper Macroeconomic Sources of Recent Interest Rate Fluctuations, FEDS Notes (2016) View citations (1) (2016)

2015

5. The Overnight Money Market
   Economic Perspectives, 2015, (Q III), 77-78

2013

6. Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply
   Journal of Financial Economics, 2013, 108, (2), 425-448 View citations (347)

2012

7. The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects
   Economic Journal, 2012, 122, (564), F415-F446 View citations (125)
   See also Working Paper The Federal Reserve's large-scale asset purchase programs: rationale and effects, Finance and Economics Discussion Series (2012) View citations (214) (2012)

2011

8. The Fed and the Stock Market: An Identification Based on Intraday Futures Data
   Journal of Business & Economic Statistics, 2011, 29, (1), 126-137 View citations (48)
   Also in Journal of Business & Economic Statistics, 2011, 29, (1), 126-137 (2011) View citations (53)