Anne Lundgaard Hansen
CV // Google Scholar // SSRN
Financial Economist at the Federal Reserve Bank of Richmond in the Quantitative Supervision and Research department.
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?
With David Aldama-Navarrete, Filippo Curti, and Sophia KazinnikVersion: April 4, 2024Evaluating Local Language Models: An Application to Financial Earnings Calls
With Thomas R. Cook, Sophia Kazinnik, and Peter McAdamVersion: December 19, 2023Financial Market Inflation Perceptions
With Marius MihaiVersion: August 28, 2023Can ChatGPT Decipher Fedspeak?
With Sophia KazinnikVersion: April 11, 2024Under revisionOnline appendixMedia coverage: Bloomberg, Financial Times, Business Insider, Axios, Washington Post, The Times, LinkedIn News, FortuneTime-Varying Variance Decomposition of Macro-Finance Term Structure Models
Version: March 1, 2023 R&R, Journal of Empirical FinanceOnline appendixPublications
Predicting 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/nbac001.Working paper | Online appendixModeling Persistent Interest Rates with Double-Autoregressive Processes
Journal of Banking & Finance, 2021, 133.https://doi.org/10.1016/j.jbankfin.2021.106302.Working paper | Online appendix