Anne Lundgaard Hansen
CV // Google Scholar // SSRN
I am a Senior Financial Economist at the Federal Reserve Bank of Richmond in the Quantitative Supervision and Research department. I am also affiliated with Financial Stability at the Federal Reserve Board of Governors.
My research broadly explores issues related to financial stability, focusing on both financial market risk and intermediation. A significant portion of my work involves extracting and interpreting signals from financial markets, with an emphasis on term premia, recession probabilities, and inflation dynamics. I also investigate financial intermediation, using textual analysis to understand how banks are supervised, how the Federal Reserve communicates its supervisory role, and how banks engage with the public during periods of financial distress.
Research interests: Banking, financial econometrics, generative AI, term structure modeling, textual analysis.
E-mail address: anne.hansen [at] rich.frb.org.
Working papers
Under Pressure: Strategic Signaling in Bank Earnings Calls
Previously circulated under the title Evaluating Local Language Models: An Application to Financial Earnings CallsWith Thomas R. Cook, Sophia Kazinnik, and Peter McAdamVersion: August 7, 20235Biased Signals? Rethinking Stock Market Indices as Leading Economic Indicators
Version: March 14, 2025.Submitted.Simulating the Survey of Professional Forecasters
With John J. Horton, Sophia Kazinnik, Daniela Puzzello, and Ali ZarifhonarvarVersion: February 18, 2025.Submitted.Mentions: Bloomberg (Money Stuff by Matt Levine), FRB Vice Chair for Supervision Michael S. Barr speech on "Artificial Intelligence: Hypothetical Scenarios for the Future", FRB governor Lisa D. Cook speech on "AI: A Fed Policymaker's View".Estimating Worst-Case Scenario Probabilities
With Azamat Abdymomunov and Jeffrey R. GerlachVersion: January 28, 2025.Submitted.Does Media Sentiment Influence Bank Supervision?
With David Aldama-Navarrete, Filippo Curti, and Sophia KazinnikVersion: April 4, 2024.R&R, Journal of Financial Stability.Financial Market Inflation Perception and Firm Investment
With Marius MihaiVersion: January 6, 2025Submitted.Can ChatGPT Decipher Fedspeak?
With Sophia KazinnikVersion: April 11, 2024.Reject & Resubmit, Journal of Financial and Quantitative Analysis.Online appendixMedia coverage: Bloomberg, Financial Times, Business Insider, Axios, Washington Post, The Times, LinkedIn News, FortunePublications
Time-Varying Variance Decomposition of Macro-Finance Term Structure Models
Journal of Empirical Finance, Volume 79, 2024.https://doi.org/10.1016/j.jempfin.2024.101563 Working paper | Online appendixPredicting Recessions Using VIX-Yield Curve Cycles
International Journal of Forecasting, Volume 40, Issue 1, January-March 2024, Pages 409-422.https://doi.org/10.1016/j.ijforecast.2023.04.002 Working paperMedia coverage: CME Group blogA Joint Model for the Term Structure of Interest Rates and Realized Volatility
Journal of Financial Econometrics, Volume 21, Issue 4, Fall 2023, Pages 1196-1227.https://doi.org/10.1093/jjfinec/nbac001Working paper | Online appendixModeling Persistent Interest Rates with Double-Autoregressive Processes
Journal of Banking & Finance, 2021, 133.https://doi.org/10.1016/j.jbankfin.2021.106302Working paper | Online appendixOther work
Designing Market Shock Scenarios
With Azamat Abdymomunov, Zheng Duan, and Ulas MisirliVersion: December 30, 2024