Welcome
My name is Benjamin Knox. I am an economist at the Federal Reserve Board in the Division of International Finance. Prior to joining the Federal Reserve, I obtained my PhD in Financial Economics from Copenhagen Business School.
Please get in touch at ben.knox@frb.gov
Research
Equity Premium Events (February 2024)
[SSRN] with Juan M. Londono, Mehrdad Samadi and Annette Vissing-Jorgensen
A new data-driven approach to identify events that are significantly priced by equity markets without taking a stance on what those events are. A variety of economic and political events matter, but the elevated equity premia on macroeconomic release days are quantitatively far from explaining the large realized excess returns.
We propose and test a new theory of insurance pricing that shows that insurance premiums are lower when insurance companies have higher expected investment returns. The asset allocation decision and the product pricing decision of insurance companies are more connected than previously thought.
A Stock Return Decomposition using Observables (January 2023)
[SSRN] [slides]with Annette Vissing-Jorgensen
A new approach for stock return decomposition that is based on observables and is easily implemented on a daily basis. We apply the approach in 2020, shedding light on the evolution of the return on US stocks during the COVID crisis.
Stagflationary Stock Returns (April 2024)
[SSRN] with Yannick Timmer
On average stocks suffer negative returns on inflationary news but firms with high market power outperform those with low market power. The results are consistent with stock market investors having a stagflationary view of the world.
Federal Reserve Board Policy Notes
Discussions
Jixing Li and Matthew Ringgenberg (2023, AFA) "Does Secondary Market Liquidity affect the Economy?" [slides]