• Returns under the lens: the importance of ESG factors

Romain Baeriswyl, “Yesterday’s controversies for tomorrow’s money”

Swiss National Bank, Working paper n° 10/2026

21 giorni fa

Abstract: While money has evolved from natural commodities to digital tokens, the debate about the ideal money has remained the same throughout the ages. Historical controversies about the origin, ...more »
Mathias Drehmann and Xuewen Fu, “Hard to shift, easy to reshape: central bank reserve demand and frictions”

Bank for International Settlements, Working paper n° 1372

21 giorni fa

Abstract: How far can central banks shrink their balance sheets? The answer sets the limits to quantitative tightening (QT), and depends critically on the ...more »
Fabian Wagner, Julian Metzler, “When the crowd speaks: AI-based retail investor sentiment indicator with Reddit data”

European Central Bank, Working paper n° 3276

21 giorni fa

Abstract: Retail investors increasingly discuss markets in real time on social media, yet these discussions remain difficult to measure systematically. This ...more »
Luca Nocciola and Samuele Scaglioni, “Learning probability of default and stress testing”

European Central Bank, Working paper n° 3277

21 giorni fa

Abstract: We analyze the Probability of Default (PD) of non-financial corporations in Europe using Random Forests (RF) and assess implications for stress testing the banking sector. To this ...more »
Pau Belda, “Capital gains taxation and asset price volatility”

Bank of England, Working paper n° 1,200

21 giorni fa

Abstract: Do capital gains tax cuts destabilize or stabilize asset prices? In an asset pricing model with heterogeneous agents and realization-based taxation, a tax cut has two opposing effects. It dampens volatility by ...more »
Alexander Bick, Adam Blandin, David J. Deming, and Tyler Schumacher, “What Work Does Generative AI Do?”

Federal Reserve Bank of St. Louis, Working paper n° 2026-017A

21 giorni fa

Abstract: We measure how workers use genAI for their jobs in a nationally representative survey linking genAI adoption to detailed occupations and tasks. ...more »
Ayelen Banegas, Lucas Devigne, Mulalo Mamburu, Kleopatra Nikolaou, Anna Samarina and Fabio Tamburrini, “Government bond-backed repo markets: between resilience and vulnerability”

Federal Reserve Board, Washington, D.C., Working paper n° 2026-057

21 giorni fa

Abstract: This paper synthesizes the literature on vulnerabilities in ...more »
Hyung Joo Kim, “Characterizing the Conditional Pricing Kernel: A New Approach”

Federal Reserve Board, Washington, D.C., Working paper n° 2026-059

21 giorni fa

Abstract: I propose a novel method to reliably estimate the conditional pricing kernel by incorporating conditioning variables. The VIX and the term spread are most informative ...more »