Banking
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
Fabian Wagner, Julian Metzler, “When the crowd speaks: AI-based retail investor sentiment indicator with Reddit data”
European Central Bank, Working paper n° 3276
Posted in: Articolo
Ago
26
2026
Abstract: Retail investors increasingly discuss markets in real time on social media, yet these discussions remain difficult to measure systematically. This paper introduces the Reddit Retail Investor Sentiment Indicator (R-RISI), a high-frequency measure of retail investor sentiment based on Reddit posts from major investing and ...more »
Tagged width: banking, blockchain, capital markets, fintech
Luca Nocciola and Samuele Scaglioni, “Learning probability of default and stress testing”
European Central Bank, Working paper n° 3277
Posted in: Articolo
Ago
26
2026
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 end, we exploit data on firms’ financial statements (Orbis) and banks’ credit registry (Anacredit). We show that ...more »
Tagged width: banking, capital markets, ecb
