Banking
Juan S. Mora-Sanguinetti, Cristina Peñasco and Rok Spruk, “THE IMPACT OF “GREEN REGULATION” ON FIRMS’ INNOVATION”
Banco de España, Working Paper n° 2611
Posted in: Articolo
Mar
26
2026
Abstract: This paper analyses the impact of “green regulations” – i.e. those aimed at mitigating the effects of climate change and environmental externalities – on innovation, using a novel regulatory database covering the period 2008-2022 for Spain. The database identifies regulations at both the national ...more »
Tagged width: banking, capital markets, eurozone
Enzo D’Innocenzo, André Lucas, Bernd Schwaab and Xin Zhang, “Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter”
European Central Bank, Working Paper n° 3166
Posted in: Articolo
Mar
26
2026
Abstract: We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for peaks-over-threshold (POT) dynamics. Unlike earlier ...more »
Tagged width: banking, capital markets
Reiner Martin, Edward O’Brien, Udara Peiris and Dimitrios P. Tsomoco, “Stabilizing credit when nonperforming loans surge: the role of asset management companies”
European Central Bank, Working paper n° 3195
Posted in: Articolo
Mar
26
2026
Abstract: When default losses elevate borrowing costs, expanding credit cannot stabilize the economy because default rates feed back to lending rates through bank balance sheets. Asset management companies (AMCs) break this loop by purchasing nonperforming loans at their long-run recovery values, thereby fixing the effective ...more »
Tagged width: banking, capital markets, ecb
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
