Katia Colaneri, Federico D’Amario, Daniele Mancinelli “Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information”
5 ore fa

Abstract: We investigate optimal proportional portfolio insurance (PPI) strategies aimed at reducing exposure to carbon intensive stocks. PPI strategies enable investors to mitigate downside ...more »
Iñaki Aldasoro, Sebastian Doerr, and Haonan Zhou, “Liquidity regulation and bank funding costs”

Bank for International Settlements, Working Paper n° 1352

5 ore fa

Abstract: We establish a causal link between liquidity regulation and a lower cost of bank wholesale funding. For identification, we use pre-determined ...more »
Nordine Abidi, Leonardo Gambacorta, Christoffer Kok, Leonardo Madio, Ixart Miquel-Flores, and Alberto Partida, “Disciplining digital risk: evidence from cyber stress tests”

Bank for International Settlements, Working Papers n° 1351

5 ore fa

Abstract: Investment in cybersecurity in an interconnected banking system has public-good ...more »
Yevheniia Bondarenko, Nayeon Kang, Vivien Lewis, Matthias Rottner, and Yves S. Schüler “Geopolitical Risk in the Euro Area: Measurement and Transmission”

Deutsche Bundesbank, Working Paper n° 5/2026

6 ore fa

Abstract: Geopolitical risk is a major concern for the euro area, yet widely used measures largely reflect a US ...more »
Cara Bordier, Lukas Frei, and Simon Stalder “Dollar Dominance: A Source of Dollar Volatility?”

Swiss National Bank, Working Paper n° 5/2026

6 ore fa

Abstract: The US dollar (USD) is involved in 88% of global foreign exchange transactions, partly due to its role as a vehicle currency. Using high-frequency data from ...more »
Matthew Read “Shock-percentile Restrictions for SVARs”

Reserve Bank of Australia, Working Paper n° 2026-01

6 ore fa

Abstract: I propose identifying structural vector autoregressions using ‘shock-percentile’ restrictions. These restrictions require the realisation of a structural shock in a selected episode to lie ...more »
Christian Friedrich and Laura Zhao “Patterns and Determinants of Global Cryptocurrency Flows”

Bank of Canada, Working paper 2026-15

6 ore fa

Abstract: In this paper, we examine the patterns and determinants of cross-border cryptocurrency flows. While our analysis focuses primarily on Bitcoin flows, the cryptocurrency ...more »
Mattia Bevilacqua, Jon Danielsson, Lerby Ergun, Andreas Uthemann, and Jean-Pierre Zigrand “Central Bank Crisis Interventions and the Term Structure of Market Fear”

Bank of Canada, Working paper 2026-17

6 ore fa

Abstract: We study the impact of Fed crisis interventions on market fears — the perceived risk of large ...more »