Articolo
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
Posted in: Articolo
Set
24
2026
Abstract: In McMahon et al. (2024) the authors demonstrated the effectiveness of a hybrid quantum solver in improving the liquidity efficiency of Canada’s high-value payments system (HVPS), altering the payment queue in order to minimize liquidity requirements. In this work, we apply a similar technique ...more »
Tagged width: banking, capital markets
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
Posted in: Articolo
Set
24
2026
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 estimator that bypasses the fixed-point problem that characterizes portfolio balance models. Specifically, we develop a novel canonical ...more »
Tagged width: banking, capital markets
Luís Fonseca, Giulia Martorana, Fabian Schupp and Giovanni Trebbi, “Inflation narratives and risk premia”
European Central Bank, Working paper n° 3288
Posted in: Articolo
Set
24
2026
Abstract: Theory suggests inflation risk premia are positive when supply shocks are expected to dominate demand shocks and negative otherwise. We measure these beliefs using demand and supply narratives derived from inflation news via Causality Extraction, which identifies causal relations between inflation and its drivers. ...more »
Tagged width: banking, capital markets
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
Posted in: Articolo
Set
24
2026
Abstract: Firms’ hurdle rates exceed their financial cost of capital. This gap varies across firms and has widened in the aggregate. In our Schumpeterian model, two frictions drive this gap: firm decision-makers require an innovator’s risk premium for undiversifiable innovation risk, and innovation profits are ...more »
Tagged width: banking, capital markets
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
Posted in: Articolo
Set
24
2026
Abstract: This paper studies the financial-market transmission of the April 2025 U.S. tariff announcements, with a particular focus on the unusual combination of dollar depreciation and rising long-term U.S. Treasury yields. We ask whether the market reaction can be understood as the propagation of a ...more »
Tagged width: banking, capital markets
Marco Grotteria and Alex Kontoghiorghes, “One dollar, many prices: dealer-specific pricing of synthetic dollar funding”
Bank of England, Working paper n° 1,207
Posted in: Articolo
Set
24
2026
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 dollar currency pair, half-hour, and maturity bucket, which removes the common forward curve and isolates dealer-specific pricing. These dealer-specific ...more »
Tagged width: banking, capital markets
Erik Heitfield, Mallick Hossain and Katie Merritt, “Premiums or Peril”
Federal Reserve Board, Washington, D.C., Working paper n° 2026-063
Posted in: Articolo
Set
24
2026
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 factors. After controlling for geography, home characteristics, and transaction features, we find that home prices are negatively related to ...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
Posted in: Articolo
Set
24
2026
Abstract: We introduce the Financial Vulnerability Index (FVI), a novel indicator of financial vulnerabilities in the U.S. Unlike financial condition indices, which measure current credit market conditions and spike during periods of financial turmoil, the FVI displays the gradual build-up of structural financial weaknesses and ...more »
Tagged width: banking, capital markets
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari, Fausto Gozzi “Existence and Uniqueness Results for a Mean-Field Game of Optimal Investment”
Posted in: Articolo
Set
19
2026
Abstract: We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company with a mass of identical and indistinguishable firms is modeled ...more »
Tagged width: Calvia Alessandro, Optimal investment, Price formation
Romain Baeriswyl, “Yesterday’s controversies for tomorrow’s money”
Swiss National Bank, Working paper n° 10/2026
Posted in: Articolo
Ago
26
2026
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, nature, and double-spending of money offer valuable insights for navigating the new forms of money tokens ...more »
Tagged width: blockchain, capital markets, fintech
