Details about Chiara Scotti

Access statistics for papers by Chiara Scotti.

Last updated 2024-02-13. Update your information in the RePEc Author Service.

Short-id: psc465

Working Papers

2024

1. Interconnectedness in the Corporate Bond Market
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2023

2. Fed Communication, News, Twitter, and Echo Chambers
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
3. Financial Shocks in an Uncertain Economy
   Working Papers, Federal Reserve Bank of Dallas

2022

4. The Financial Stability Implications of Digital Assets
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
   Also in Staff Reports, Federal Reserve Bank of New York (2022) View citations (3)
   See also Journal Article The Financial Stability Implications of Digital Assets, Economic Policy Review, Federal Reserve Bank of New York (2024) (2024)

2021

5. Macroeconomic and Financial Risks: A Tale of Mean and Volatility
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
6. The COVID-19 Crisis and the Federal Reserve's Policy Response
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (10)
7. Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (13)
   See also Journal Article Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements, Journal of Econometrics, Elsevier (2022) View citations (24) (2022)

2020

8. How Correlated is LIBOR with Bank Funding Costs?
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
9. Monitoring the Liquidity Profile of Mutual Funds
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2019

10. Measuring the Liquidity Profile of Mutual Funds
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article Measuring the Liquidity Profile of Mutual Funds, International Journal of Central Banking, International Journal of Central Banking (2020) View citations (2) (2020)

2016

11. Does Anyone Listen when Politicians Talk? The Effect of Political Commentaries on Policy Rate Decisions and Expectations
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article Does anyone listen when politicians talk? The effect of political commentaries on policy rate decisions and expectations, Journal of International Money and Finance, Elsevier (2019) View citations (14) (2019)
12. Is the intrinsic value of macroeconomic news announcements related to their asset price impact?
    Working Paper Series, European Central Bank View citations (13)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015) View citations (12)
    Boston College Working Papers in Economics, Boston College Department of Economics (2015) View citations (16)
13. Unconventional Monetary Policy and International Risk Premia
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
    See also Journal Article Unconventional Monetary Policy and International Risk Premia, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (94) (2018)

2014

14. Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (185)

2013

15. Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (107)
    See also Journal Article Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises, Journal of Monetary Economics, Elsevier (2016) View citations (230) (2016)

2010

16. Has international financial co-movement changed? Emerging markets in the 2007-2009 financial crisis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Chapter Has International Financial Co-Movement Changed? Emerging Markets in the 2007–2009 Financial Crisis, Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited (2011) (2011)

2009

17. Exchange rates dependence: what drives it?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (8)

2008

18. Real-Time Measurement of Business Conditions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (5)
    Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (23)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (4)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (9)
    See also Journal Article Real-Time Measurement of Business Conditions, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (467) (2009)
19. Real-Time Measurement of Business Conditions, Second Version
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (5)

2007

20. Markov switching GARCH models of currency turmoil in southeast Asia
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
    See also Journal Article Markov switching GARCH models of currency turmoil in Southeast Asia, Emerging Markets Review, Elsevier (2008) View citations (25) (2008)

2006

21. A bivariate model of Fed and ECB main policy rates
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (6)

2003

22. Markov Switching Garch Models of Currency Crises in Southeast Asia
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (9)

Journal Articles

2024

1. The Financial Stability Implications of Digital Assets
   Economic Policy Review, 2024, 30, (2), 1-48
   See also Working Paper The Financial Stability Implications of Digital Assets, Finance and Economics Discussion Series (2022) View citations (5) (2022)

2022

2. Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements
   Journal of Econometrics, 2022, 231, (2), 387-409 View citations (24)
   See also Working Paper Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements, Finance and Economics Discussion Series (2021) View citations (13) (2021)

2020

3. Measuring the Liquidity Profile of Mutual Funds
   International Journal of Central Banking, 2020, 16, (5), 143-178 View citations (2)
   See also Working Paper Measuring the Liquidity Profile of Mutual Funds, Finance and Economics Discussion Series (2019) View citations (1) (2019)

2019

4. Does anyone listen when politicians talk? The effect of political commentaries on policy rate decisions and expectations
   Journal of International Money and Finance, 2019, 95, (C), 95-111 View citations (14)
   See also Working Paper Does Anyone Listen when Politicians Talk? The Effect of Political Commentaries on Policy Rate Decisions and Expectations, Finance and Economics Discussion Series (2016) (2016)

2018

5. Unconventional Monetary Policy and International Risk Premia
   Journal of Money, Credit and Banking, 2018, 50, (8), 1827-1850 View citations (94)
   See also Working Paper Unconventional Monetary Policy and International Risk Premia, International Finance Discussion Papers (2016) View citations (9) (2016)

2017

6. Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?
   Journal of Monetary Economics, 2017, 92, (C), 78-95 View citations (46)

2016

7. Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises
   Journal of Monetary Economics, 2016, 82, (C), 1-19 View citations (230)
   See also Working Paper Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises, International Finance Discussion Papers (2013) View citations (107) (2013)

2014

8. Comment
   Journal of Business & Economic Statistics, 2014, 32, (4), 504-506
9. Evaluating asset-market effects of unconventional monetary policy: a multi-country review
   (Uncertainty of interest rate path as a monetary policy instrument)
   Economic Policy, 2014, 29, (80), 749-799 View citations (200)

2011

10. A Bivariate Model of Federal Reserve and ECB Main Policy Rates
    International Journal of Central Banking, 2011, 7, (3), 37-78 View citations (31)

2009

11. Real-Time Measurement of Business Conditions
    Journal of Business & Economic Statistics, 2009, 27, (4), 417-427 View citations (467)
    See also Working Paper Real-Time Measurement of Business Conditions, NBER Working Papers (2008) View citations (9) (2008)

2008

12. Markov switching GARCH models of currency turmoil in Southeast Asia
    Emerging Markets Review, 2008, 9, (2), 104-128 View citations (25)
    See also Working Paper Markov switching GARCH models of currency turmoil in southeast Asia, International Finance Discussion Papers (2007) View citations (11) (2007)

Chapters

2011

1. Has International Financial Co-Movement Changed? Emerging Markets in the 2007–2009 Financial Crisis
   A chapter in The Impact of the Global Financial Crisis on Emerging Financial Markets, 2011, pp 231-253
   See also Working Paper Has international financial co-movement changed? Emerging markets in the 2007-2009 financial crisis, Board of Governors of the Federal Reserve System (U.S.) (2010) View citations (2) (2010)