• Returns under the lens: the importance of ESG factors

Valerio Astuti, Adriano Baldeschi, Luca Bastianelli, Giuseppe Bruno, Riccardo Russo, Ajit Desai and Danica Marsden, “Liquidity Optimization in Gross Settlement Systems with Quantum Reordering: Application to TARGET2”

Bank of Canada, Working paper n° 2026-32

19 giorni fa

Abstract: In McMahon et al. (2024) the authors demonstrated the ...more »
Antonio Diez de los Rios, “A New Approach to Estimating Portfolio-Balance Models of the Yield Curve”

Bank of Canada, Working paper n° 2026-33

19 giorni fa

Abstract: We show that the parameters of a broad class of portfolio-balance models can be recovered from estimates of Gaussian dynamic term structure models (GDTSMs) using a two-step ...more »
Luís Fonseca, Giulia Martorana, Fabian Schupp and Giovanni Trebbi, “Inflation narratives and risk premia”

European Central Bank, Working paper n° 3288

19 giorni fa

Abstract: Theory suggests inflation risk premia are positive when supply shocks are expected to dominate demand shocks and negative otherwise. We measure these beliefs ...more »
Craig A. Chikis, Jonathan Goldberg and David López-Salido, “The Innovator’s Risk Premium: Sticky Hurdle Rates, the Cost of Capital, and Creative Destruction”

Banco de España, Working paper n° 2628

19 giorni fa

Abstract: Firms’ hurdle rates exceed their financial cost of capital. This gap varies across firms and has widened in ...more »
Lucas ter Steege and Sofia Velasco, “What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times”

Banco de España, Working paper n° 2629

19 giorni fa

Abstract: This paper studies the financial-market transmission of the April 2025 U.S. tariff announcements, with a particular ...more »
Marco Grotteria and Alex Kontoghiorghes, “One dollar, many prices: dealer-specific pricing of synthetic dollar funding”

Bank of England, Working paper n° 1,207

19 giorni fa

Abstract: Does the price of synthetic dollar funding depend on which dealer intermediates the trade? We answer this question by comparing FX forwards in the same ...more »
Erik Heitfield, Mallick Hossain and Katie Merritt, “Premiums or Peril”

Federal Reserve Board, Washington, D.C., Working paper n° 2026-063

19 giorni fa

Abstract: Using fine-grained data on 465,000 Florida home sales over twelve years and semiparametric machine learning methods, we examine how home prices respond to weather-related risk ...more »
Michele Modugno, Benjamin Roscoe and Sarah Zoi, “Beyond Financial Conditions: Measuring Structural Vulnerabilities in the U.S. Financial System”

Federal Reserve Board, Washington, D.C., Working paper n° 2026-065

19 giorni fa

Abstract: We introduce the Financial Vulnerability Index (FVI), a novel indicator of financial vulnerabilities ...more »