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. 

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: 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, 2024

Evaluating Local Language Models: An Application to Financial Earnings Calls

With Thomas R. Cook, Sophia Kazinnik, and Peter McAdamVersion: December 19, 2023 

Financial Market Inflation Perceptions

With Marius MihaiVersion: September 18, 2024

Can ChatGPT Decipher Fedspeak?

With Sophia KazinnikVersion: April 11, 2024Reject & Resubmit, Journal of Financial and Quantitative AnalysisOnline appendixMedia coverage: Bloomberg, Financial Times, Business Insider, Axios, Washington Post, The Times, LinkedIn News, Fortune 

Publications

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

 Journal of Empirical Finance (forthcoming)Online appendix

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 blog 

A 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 appendix

Modeling 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