Stefania D’Amico
Biographic Data
| ID | 5729949 |
|---|---|
| NAME | Stefania D’Amico |
| GIVEN NAMES | Stefania |
| FAMILY NAME | D’Amico |
| SIGNATURE | D’AMICO S |
| AFFILIATIONS | Federal Reserve Board of Governors |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 8 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2011 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 1 |
Unexpected Supply Effects of Quantitative Easing and Tightening
To analyse the evolution of the effects of quantitative easing and tightening across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to quantitative tightening supply surprises are on average larger than sensitivities to quantitative easing surprises, implying that supply effects did not diminish during periods of market calm amid economic expansion. Yield sensitivities to later quantitative easing …
The Federal Reserve's Large‐scale Asset Purchase Programmes
Journal Article The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects Get access Stefania D’Amico, Stefania D’Amico Federal Reserve Board Search for other works by this author on: Oxford Academic Google Scholar William English, William English Federal Reserve Board Search for other works by this author on: Oxford Academic Google Scholar David López‐Salido, David López‐Salido Federal Reserve Board Search for other work…
The Fed and the Stock Market
This article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression (VAR) framework. The approach combines high-frequency data from the futures market with the VAR methodology to circumvent exclusion restrictions and achieve identification. Our analysis casts doubt on VAR models imposing a recursive structure between innovations in policy rates a…
The Federal Reserve's Large‐scale Asset Purchase Programmes
Journal Article The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects Get access Stefania D’Amico, Stefania D’Amico Federal Reserve Board Search for other works by this author on: Oxford Academic Google Scholar William English, William English Federal Reserve Board Search for other works by this author on: Oxford Academic Google Scholar David López‐Salido, David López‐Salido Federal Reserve Board Search for other work…
The Fed and the Stock Market
This article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression (VAR) framework. The approach combines high-frequency data from the futures market with the VAR methodology to circumvent exclusion restrictions and achieve identification. Our analysis casts doubt on VAR models imposing a recursive structure between innovations in policy rates a…
The Federal Reserve's Large‐scale Asset Purchase Programmes
Journal Article The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects Get access Stefania D’Amico, Stefania D’Amico Federal Reserve Board Search for other works by this author on: Oxford Academic Google Scholar William English, William English Federal Reserve Board Search for other works by this author on: Oxford Academic Google Scholar David López‐Salido, David López‐Salido Federal Reserve Board Search for other work…
Unexpected Supply Effects of Quantitative Easing and Tightening
To analyse the evolution of the effects of quantitative easing and tightening across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to quantitative tightening supply surprises are on average larger than sensitivities to quantitative easing surprises, implying that supply effects did not diminish during periods of market calm amid economic expansion. Yield sensitivities to later quantitative easing …
Monetary Policy and Economic Impact (3 works) · Economics (2 works) · Monetary economics (2 works) · Monetary policy (2 works) · Asset (computer security (1 work) · Autoregressive model (1 work) · Cartography (1 work) · Central bank (1 work) · Computer Science (1 work) · Econometrics (1 work)