• Returns under the lens: the importance of ESG factors

Javier Ojea Ferreiro, Andrea Ugolini and Juan C. Reboredo, “Artificial Intelligence and Financial Tail Risks”

Bank of Canada, Working paper n° 2026-40

5 giorni fa

Abstract: Artificial intelligence (AI) has a double-edged relationship with financial stability: it may improve efficiency and risk management, while also creating new ...more »
Bruno Buchetti, Christian Eufinger, Luca X. Lin, Ixart Miquel-Flores, “Headwind or tailwind? How banks interpret borrowers’ AI exposure”

European Central Bank, Working paper n° 3302

5 giorni fa

Abstract: General-purpose technologies create large opportunities but make their distribution across firms difficult to assess in real time. ...more »
Thomas Garcia, Claudia Lambert, Cosimo Pancaro, Claire Rimbaud, Alice Soldà, “When less is more: behavioral effects of CBDC holding limits”

European Central Bank Working paper n° 3300

5 giorni fa

Abstract: Holding limits are a central design feature of proposed retail central bank digital currencies (CBDC). While such limits ...more »
Pierlauro Lopez, Francisco Vázquez-Grande and David López-Salido, “A New Keynesian model of the term structures of equity and bond returns”

Banco de España, Working Paper n° 2635

5 giorni fa

Abstract: A simple production economy with nominal price rigidities explains several key asset pricing facts, including the average slopes and ...more »
Nicolò Bandera, Kristina Bluwstein, Michael Kumhof, Mauricio Salgado-Moreno and Jacob Stevens, “Lighting the shadows: central bank policy transmission through banks and non-banks”

Bank of England, Working Paper n° 1,212

5 giorni fa

Abstract: Non-bank financial institutions (NBFIs) account for an increasingly large share of credit ...more »
Marco Carli, Francesca Diluiso and Mathias Hoffmann “Navigating climate policy shocks: optimal monetary policy responses”

Bank of England, Working Paper n° 1,211

5 giorni fa

Abstract: How should monetary policy respond to climate policy shocks? We develop an Environmental New-Keynesian model with green and fossil energy to assess the ...more »
Dante Amengual and Lluc Puig-Codina, “A Bayesian analysis of the Cox-Ingersoll-Ross model”

Banco de España, Working Paper n° 2640

5 giorni fa

Abstract: The Cox-Ingersoll-Ross model (CIR) is a diffusion process with widespread applications in economics, finance and population biology. In this paper we first obtain a full Gibbs Sampler ...more »
Roberto Baviera, Michele Domenica Massaria “The additive Bachelier model with an application to the oil option market in the Covid period”
5 giorni fa

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 ...more »