Details about Clara Vega

Access statistics for papers by Clara Vega.

Last updated 2023-03-11. Update your information in the RePEc Author Service.

Short-id: pve43

Working Papers

2023

1. Fed Communication, News, Twitter, and Echo Chambers
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2022

2. All-to-All Trading in the U.S. Treasury Market
   Staff Reports, Federal Reserve Bank of New York

2021

3. 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 (10)

2016

4. Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (12)

2015

5. Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (12)

2009

6. Rise of the machines: algorithmic trading in the foreign exchange market
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (25)

2008

7. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (30)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations (24)
8. Do fundamentals explain the international impact of U.S. interest rates? evidence at the firm level
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
9. Soft information in earnings announcements: news or noise?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (28)

2007

10. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (546)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (15)
    See also Journal Article Real-time price discovery in global stock, bond and foreign exchange markets, Journal of International Economics, Elsevier (2007) View citations (514) (2007)

2006

11. Asymmetric Information in the Stock Market: Economic News and Co-movement
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
12. Informed and strategic order flow in the bond markets
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (21)
    See also Journal Article Informed and Strategic Order Flow in the Bond Markets, The Review of Financial Studies, Society for Financial Studies (2007) View citations (91) (2007)
13. The monetary origins of asymmetric information in international equity markets
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    Also in Staff Working Papers, Bank of Canada (2004) View citations (4)

2005

14. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (83)

2002

15. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics View citations (34)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (62)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) View citations (34)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (35)
    See also Journal Article Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, American Economic Review, American Economic Association (2003) View citations (827) (2003)

1996

16. What do chain store sales tell us about consumer spending?
    Research Paper, Federal Reserve Bank of New York
    See also Journal Article What do chain store sales tell us about consumer spending?, Economic Policy Review, Federal Reserve Bank of New York (1996) (1996)

Journal Articles

2007

1. Informed and Strategic Order Flow in the Bond Markets
   The Review of Financial Studies, 2007, 20, (6), 1975-2019 View citations (91)
   See also Working Paper Informed and strategic order flow in the bond markets, International Finance Discussion Papers (2006) View citations (21) (2006)
2. Real-time price discovery in global stock, bond and foreign exchange markets
   Journal of International Economics, 2007, 73, (2), 251-277 View citations (514)
   See also Working Paper Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets, CREATES Research Papers (2007) View citations (546) (2007)

2006

3. Stock price reaction to public and private information
   Journal of Financial Economics, 2006, 82, (1), 103-133 View citations (146)

2003

4. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
   American Economic Review, 2003, 93, (1), 38-62 View citations (827)
   See also Working Paper Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, Working Papers (2002) View citations (34) (2002)

1996

5. What do chain store sales tell us about consumer spending?
   Economic Policy Review, 1996, 2, (Oct), 15-35
   See also Working Paper What do chain store sales tell us about consumer spending?, Research Paper (1996) (1996)

Chapters

2021

1. Demand for Information, Uncertainty, and the Response of US Treasury Securities to News
   A chapter in Big Data: Long-Term Implications for Financial Markets and Firms, 2021, pp 3403-3455 View citations (10)