Banking
David Borner and Heiko Sorg, “CIP violations as functional components of the dynamic cross-currency basis curve”
Swiss National Bank, Working paper n° 9/2026
Posted in: Articolo
Lug
31
2026
Abstract: The general search for U.S. dollars in forward currency markets, combined with the balance-sheet constraints of intermediary dealers, induces persistent failure of covered interest parity (CIP). We investigate these CIP deviations across the entire maturity spectrum by analyzing the daily dynamics of the USD/CHF ...more »
Tagged width: banking, capital markets
Boris Hofmann, Aaron Mehrotra and Jan Paulick, “Dollarisation and monetary control: what lessons for the rise of stablecoins?”
Bank for International Settlements, Working paper n° 1370
Posted in: Articolo
Lug
31
2026
Abstract: The emergence of stablecoins has created a new channel to access US dollar liquidity in emerging market and developing economies (EMDEs), similar to the historical role of foreign currency deposits, or “deposit dollarisation”. This has raised concerns about the possible implications for monetary control ...more »
Tagged width: banking, capital markets, fintech, politica monetaria
Michael McMahon, Matthew Naylor, Ryan Rholes and Peter Rickards, “Anchors aweigh? The effect of communicating forecast uncertainty”
Bank of England, Working Paper n° 1,196
Posted in: Articolo
Lug
31
2026
Abstract: We examine how central banks can effectively communicate forecast uncertainty in a two-part experimental study. Part I tests how different visual media – fan charts, dot plots, box-and-whisker plots, speedometers, and ranges – communicate uncertainty to both the general public and expert audiences. We ...more »
Tagged width: banking, capital markets
Enrico Minnella, Ana Pereira and Eugen Tereanu, “The devil in the DeTail: assessing state-contingent tail effects of a releasable macroprudential capital buffer using a parsimonious agent-based framework”
Bank of England, Working Paper n° 1,198
Posted in: Articolo
Lug
31
2026
Abstract: This paper develops an agent-based framework (DeTail) to assess the state-contingent tail effects of releasable macroprudential capital buffers. The model features heterogeneous firms, households, and banks, and a single central bank, all interacting in a fully integrated, stock-flow consistent framework which generates endogenous credit ...more »
Tagged width: banking, capital markets
Hyung Joo Kim and Dong Hwan Oh, “Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting”
Federal Reserve Board, Washington, D.C., Working paper n° 2026-049
Posted in: Articolo
Lug
31
2026
Abstract: Despite documented heterogeneity in volatility dynamics across the option surface, standard implied volatility forecasting models apply homogeneous parameters throughout. We introduce a machine-learning framework that uses regression trees to partition the surface along both moneyness and maturity dimensions, identifying data-driven regions where distinct forecasting ...more »
R. Matthew Darst, Lucia Gurrieri, Arazi Lubis and Alexandros P. Vardoulakis, “The Last Taxi: LCR Buffers and Bank Liquidity Provision”
Federal Reserve Board, Washington, D.C., Working paper n° 2026-051
Posted in: Articolo
Lug
31
2026
Abstract: This paper examines whether regulatory liquidity buffers enable banks to support corporate borrowers during financial stress. Using confidential bank-firm credit data and hand collected Liquidity Coverage Ratio regulation (LCR) disclosures during COVID-19, we find that banks with higher LCR buffers above the regulatory minimum ...more »
Tagged width: banking, capital markets
Simone Casellina, Gaetano Chionsini, Raphael M. Kopp and Maroua Riabi, “SYSTEMATIC BACKTESTING OF PROBABILITY OF DEFAULT MODELS WITH REGULATORY DATA”
European Banking Authority, Working Paper n° 24-4/2026
Posted in: Articolo
Giu
25
2026
Abstract: Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resource-intensive. In this paper, we contribute to the quantitative validation of probability of default models through a systematic backtesting exercise using ...more »
Tagged width: banking, capital markets
Fan Dora Xia and Omar Zulaica, “Embracing carbon uncertainty in portfolio construction”
Bank for International Settlements, Working Paper n° 1362
Posted in: Articolo
Giu
25
2026
Abstract: We propose a framework for constructing fixed-income portfolios of sovereign bonds that integrates financial and environmental considerations. Central to our approach is the introduction of carbon returns, a concept analogous to financial returns, modeled as random variables to capture the inherent uncertainty of future ...more »
Tagged width: banking, capital markets
Yuteng Cheng, Jonathan Chiu, Mohammad Davoodalhosseini and Janet Hua Jiang, “Data Externalities, Market Power, and the Optimal Design of Central Bank Digital Currencies”
Bank of Canada, Working paper n° 2026-21
Posted in: Articolo
Giu
25
2026
Abstract: We study the optimal design of a central bank digital currency (CBDC) in an economy where private payment service providers (PSPs) collect and monetize transaction data and may have market power. Payments data create social benefits through law enforcement and monitoring but also impose ...more »
Tagged width: banking, blockchain, fintech
Thomas Lustenberger, Enzo Rossi and Anna Zeitz, “Central bank communication: New data and stylized facts from a century of Fed speeches”
Swiss National Bank, Working Paper n° 6/2026
Posted in: Articolo
Giu
25
2026
Abstract: Drawing on a novel dataset of more than 10,000 speeches from 1914 to 2024, we track the evolution of Federal Reserve communication and identify three stylized facts. (1) Although the overall volume of speeches has declined over the past decade, the composition of Fed ...more »
Tagged width: banking, capital markets
