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?

Evaluating Local Language Models: An Application to Financial Earnings Calls

Financial Market Inflation Perceptions

Can ChatGPT Decipher Fedspeak?

Publications

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

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