Articolo
Roberto Baviera and Michele Domenico Massaria, “The additive Bachelier model with an application to the oil option market in the Covid period”
Posted in: Articolo
Apr
30
2026
Abstract: In April 2020, the Chicago Mercantile Exchange temporarily switched the pricing formula for West Texas Intermediate oil market options from the Black model to the Bachelier model. In this context, we introduce an additive Bachelier model that provides a simple closed-form solution and a ...more »
Tagged width: capital markets
Federico D’Amario, Sebastian De-Ramon and William B. Francis “The economic effects of changes to bank capital regulation: evidence from the United Kingdom”
Bank of England, Working Paper n°1,172
Posted in: Articolo
Apr
29
2026
Abstract: Strong bank capitalisation provides long‑run financial‑stability benefits. However, transitioning to higher capital levels may involve short‑run costs. We analyse the effects of prudential capital changes on lending behaviour, macroeconomic outcomes, and banking competition using UK data within a structural VAR framework with sign and ...more »
Tagged width: banking, capital markets
Romain Baeriswyl, Kene Boun My and Camille Cornand “Central Bank Digital Currency and Gresham’s law: An experimental analysis”
Swiss National Bank, Working Paper n° 3/2026
Posted in: Articolo
Apr
29
2026
Abstract: In a monetary system in which risk-free and risky money coexist, Gresham’s law predicts that people will hoard risk-free money as a store of value and spend risky money as a medium of exchange. Establishing a payment system on the basis of risk-free money, ...more »
Tagged width: banking, blockchain, fintech
Giovanni Covi, Maren Froemel, Dennis Reinhardt and Nora Wegner “Climate policy and banks’ portfolio allocation”
Bank of England, Working Paper n° 1,149
Posted in: Articolo
Apr
29
2026
Abstract: How do banks respond to transition risk and which mechanisms drive this response? We shed new light on this question using data on granular international large exposures of UK banks. Climate policy is the main source of transition risk we use. We find that ...more »
Tagged width: banking, capital markets
Iñaki Aldasoro, Paula Beltrán and Federico Grinberg “Stablecoin flows and spillovers to FX markets”
Bank for International Settlements, BIS Working Papers n° 1340
Posted in: Articolo
Apr
29
2026
Abstract: Using data on four USD-pegged stablecoins and 27 fiat currencies, this paper documents spillovers from stablecoin-based foreign exchange (FX) to traditional FX markets. We document a gap between the cost of acquiring dollars via stablecoins and via the spot FX market (parity deviations). To ...more »
Tagged width: blockchain, capital markets, fintech
Bo Li, Tommaso Mancini-Griffoli, Marcello Miccoli, Brandon Joel Tan and Longmei Zhang “Making Stablecoins Stable”
International Monetary Fund, Working paper n° 26/74
Posted in: Articolo
Apr
29
2026
Abstract: Payment stablecoins are privately issued digital money with the potential to enhance payment efficiency, foster innovation, and improve financial inclusion. At the same time, they are vulnerable to runs and associated welfare losses. One way to lower run risk is to require stablecoin issuers ...more »
Tagged width: banking, blockchain, capital markets, fintech
Paul Konietschke, Julian Metzler and Aurea Ponte Marques “A quantile probability model for sectoral corporate defaults in Europe”
European Central Bank, Working Paper Series n° 3207
Posted in: Articolo
Apr
29
2026
Abstract: Conventional credit risk models understate tail risk by centering on mean default probabilities and neglecting distributional and sectoral heterogeneity. We propose a Quantile Probability of Default (QPD) framework based on unconditional quantile regressions estimated on flow default rates from five million non-financial firms across ...more »
Tagged width: capital markets
Andrés Azqueta-Gavaldón, Marina Diakonova, Corinna Ghirelli and Javier J. Pérez “Diverging signals from economic uncertainty measures: Uncovering coherence through news narratives”
BANCO DE ESPAÑA, Working paper n° 2641
Posted in: Articolo
Apr
29
2026
Abstract: The proliferation of economic uncertainty indicators —ranging from text-based indices like the Economic Policy Uncertainty (EPU) index to market-based measures such as the VIX and the ECB’s Country-Level Index of Financial Stress (CLIFS)— has enriched the analytical toolkit of economists and policymakers. Yet these ...more »
Tagged width: banking, blockchain, fintech
Fabien Gonguet, Xuehui Han, Choonsung Lim, To-Nhu Dao and Saraf Nawar “Climate Finance and Adaptation Needs In Pacific Island Countries”
International Monetary Fund, Working paper n° 26/83
Posted in: Articolo
Apr
29
2026
Abstract: Pacific Island Countries (PICs) face acute and rising climate adaptation needs due to high exposure to sea‑level rise, natural disasters, and structural vulnerabilities associated with small size and geographic remoteness. This paper develops a unified framework to produce the first region‑wide, internally consistent estimates ...more »
Tagged width: banking, capital markets
Apr
27
2026
Michele Azzone, Carlo Bechi, Gabriele Sbaiz 1. Introduction The increasing frequency, severity, and unpredictability of natural disasters and chronic climate threats pose unprecedented challenges to global financial markets. Traditional asset pricing models and portfolio management frameworks often struggle to incorporate the stochastic nature of physical ...more »
Tagged width: capital markets, green
