Anne Lundgaard Hansen

CV  //  Google Scholar  //  SSRN

I am a financial econometrician at the Federal Reserve Bank of Richmond in the Quantitative Supervision and Research department. I am interested in questions broadly related to financial stability, both concerning financial market risk and financial intermediation. 

Much of my research focuses on the extraction and interpretation of signals from financial markets particularly on term premia, recession probability, and inflation. In addition, with recent developments in Generative AI, I am interested in understanding the capabilities of these technologies and how they may impact financial markets.

My research agenda also spans financial intermediation, where I apply textual analysis to shed light on how banks are supervised, how the Fed communicates on this responsibility, and how banks communicate with the public during times of distress in the banking sector.

Research interests: Term structure modeling, financial econometrics, banking, and the application of large language models (LLMs).

E-mail address: anne.hansen [at] rich.frb.org.

Working papers

Does Media Sentiment Influence Bank Supervision?

Evaluating Local Language Models: An Application to Financial Earnings Calls

Financial Market Inflation Perceptions

Can ChatGPT Decipher Fedspeak?

Time-Varying Variance Decomposition of Macro-Finance Term Structure Models

Publications

Predicting Recessions Using VIX-Yield Curve Cycles

A Joint Model for the Term Structure of Interest Rates and Realized Volatility

Modeling Persistent Interest Rates with Double-Autoregressive Processes