Research Staff and Resources
International Finance Staff | Financial Markets Section
Clara Vega
Economist
Financial Markets Section
Division of International Finance
Contact Information
202-452-2379
clara.vega@frb.gov
Fields of Interest
Asset Pricing
International Finance
Market Microstructure
Education
Ph.D., Economics, Univesity of Pennsylvania, 2002
B.A., Math and Economics, Rutgers University, 1995
Professional Experience
Board of Governors of the Federal Reserve System, 2005-present
Assistant Professor, William E. Simon School of Business, University of Rochester, 2002-2007
Selected Publications
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''Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets''
(with Torben Andersen, Tim Bollerslev, and Francis X. Diebold),
Journal of International Economics, vol. 73
(2007), pp. 251-277.
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''Informed and Strategic Order Flow in the Bond Markets''
(with Paolo Pasquariello),
Review of Financial Studies, vol. 20
(2007), pp. 1975-2019.
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''Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange''
(with Torben Andersen, Tim Bollerslev, and Francis X. Diebold),
American Economic Review, vol. 93
(2003), pp. 38-62.
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''Stock Price Reaction to Public and Private Information,''
Journal of Financial Economics, vol. 82
(2005), pp. 103-133.
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''The Monetary Origins of Asymmetric Information in International Equity Markets''
(with Greg Bauer),
Journal of International Money and Finance (forthcoming).
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''The On-The-Run Liquidity Phenomenon''
(with Paolo Pasquariello),
Journal of Financial Economics
(2008).
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''Economic News and International Stock Market Co-Movement''
(with Rui Albuquerque),
Review of Finance
(2008).
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