Banking
Nabil Bouamara, Kris Boudt, Sébastien Laurent and Christopher J. Neely, “Sluggish news reactions: A combinatorial approach for synchronizing stock jumps”
Federal Reserve Bank of St. Louis, Working paper n° 2024-006B
Posted in: Articolo
Feb
26
2026
Abstract: Stock prices often react sluggishly to news, producing gradual and delayed jumps. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. We introduce new methods to synchronize mistimed stock returns on a fine ...more »
Tagged width: banking, capital markets
Sami Alpanda and Serdar Kabaca, “Portfolio Rebalancing Channel and the Effects of Large-Scale Stock and Bond Purchases”
Bank of Canada, Working paper n° 2025-38
Posted in: Articolo
Feb
26
2026
Abstract: We quantify the effects of large-scale stock purchases by a central bank and compare these to bond purchases, using an estimated dynamic stochastic general equilibrium macro-finance model with nominal and real rigidities and portfolio rebalancing effects. The latter arise from imperfect substitutability between stocks ...more »
Tagged width: banking, capital markets, politica monetaria
Gerardo Ferrara and Helene Hall, “The value of trading relationships in FX derivatives: evidence from Credit Suisse’s collapse”
Bank of England, Working paper n° 1154
Posted in: Articolo
Feb
26
2026
Abstract: Using granular transaction-level data, this paper investigates the characteristics and implications of dealer-client trading relationships in the over-the-counter FX derivatives market. We first document that dealer-client trading relationships are persistent over time. Then, to shed light on the role of relationship strength for client ...more »
Tagged width: banking, capital markets
Danish Us-Salam, “Mitigating Vulnerability: The Role of Risk Warnings, Information Order & Salience in Crypto Assets”
Central Bank of Ireland, Working paper n° 9
Posted in: Articolo
Feb
26
2026
Abstract: The growing popularity of crypto assets has driven increased engagement, often fuelled by promotional content that highlights past returns while downplaying risks. This paper evaluates the effectiveness of behaviourally informed risk warnings in such a setting. Using an online randomized controlled trial, participants viewed ...more »
Giulio Mazzolini, Dilyara Salakhova, Margherita Giuzio and Sujit Kapadia, “Sustainability labels vs. reality: how climate-friendly are green and ESG funds?”
European Central Bank, Working Paper n° 3121
Posted in: Articolo
Feb
26
2026
Abstract: This paper assesses the environmental performance of sustainability-related investment funds compared to conventional ones across three dimensions: financed activities, portfolio carbon footprint, and investment in firms with ambitious science-based targets. We identify ESG funds using Morningstar (MS) strategies, the Sustainable Finance Disclosure Regulation’s Article ...more »
Tagged width: banking, capital markets
Fabio Fornari, Daniele Pianeselli and Andrea Zaghini, “Environmental score and bond pricing: it better be good, it better be green”
European Central Bank, Working Paper n° 3176
Posted in: Articolo
Feb
26
2026
Abstract: We provide empirical evidence that the pricing of green bonds tends to be highly sophisticated and based on a two-tiered approach. When buying a green bond, investors do not look only at the presence of a green label, but also consider additional characteristics of ...more »
Tagged width: banking, capital markets
Anna Amirdjanova, David Lynch and Anni Zheng, “Initial Margin for Crypto Currencies Risks in Uncleared Markets”
Federal Reserve Board, Washington, D.C., Working n° 2026-009
Posted in: Articolo
Feb
26
2026
Abstract: We examine prospective classification of crypto currencies risks within the ISDA Standardized Initial Margin Model (SIMM) framework for calculation of initial margin on trades sensitive to cryptocurrencies’ risk factors in the uncleared market. Consistent with the view that cryptocurrencies are digital assets that fundamentally ...more »
Tagged width: banking, capital markets, fintech
Simone Di Paolo, Danilo Liberati and Lorenzo Rubeo, “(Green)washing the trust: climate information and banking policies”
Banca d’Italia, Working paper n° 1514
Posted in: Articolo
Feb
26
2026
Abstract: The paper proposes a methodology to identify firms engaged in greenwashing, that is, firms that claim to be more sustainable than they actually are. It then assesses the potential impact of this practice on the price and volume of bank loans, also following changes ...more »
Tagged width: banking, capital markets
Manuel Buchholz, Axel Loeffler and Patrick Sigel, “Do capital requirements and their international differences affect banks’ profitability?”
Deutsche Bundesbank, Working paper n° 31/2025
Posted in: Articolo
Gen
29
2026
Abstract: A key element of the Basel III reforms are stricter capital requirements, which have been implemented with varying degrees of stringency across jurisdictions. We examine the impact of these requirements on bank profitability in the US and Europe between 2019 and 2024. We find ...more »
Tagged width: banking, capital markets
Mahmoud Fatouh, Benjamin Guin and Haluk Unal, “Product innovation in the UK mortgage market: the case of green mortgages”
Bank of England, Working paper n° 1167
Posted in: Articolo
Gen
29
2026
Abstract: We study product innovation in the UK mortgage market by analysing when and how attributes outside the traditional structure of mortgage contracts become pricing relevant. To do so, we develop a stylised framework that treats mortgage products as structured bundles of attributes, focusing on ...more »
Tagged width: banking, capital markets
