Banking
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
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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
Pau Belda, “Capital gains taxation and asset price volatility”
Bank of England, Working paper n° 1,200
Posted in: Articolo
Ago
26
2026
Abstract: Do capital gains tax cuts destabilize or stabilize asset prices? In an asset pricing model with heterogeneous agents and realization-based taxation, a tax cut has two opposing effects. It dampens volatility by reducing realization-based trading frictions, but also amplifies it by strengthening the pass ...more »
Tagged width: banking, capital markets
Ayelen Banegas, Lucas Devigne, Mulalo Mamburu, Kleopatra Nikolaou, Anna Samarina and Fabio Tamburrini, “Government bond-backed repo markets: between resilience and vulnerability”
Federal Reserve Board, Washington, D.C., Working paper n° 2026-057
Posted in: Articolo
Ago
26
2026
Abstract: This paper synthesizes the literature on vulnerabilities in government bond-backed repo markets, focusing on the features that contribute to both the fragility and stability of these markets. The literature shows that the same features that enable efficient liquidity provision, including short-term funding, dealer intermediation, ...more »
Tagged width: banking, capital markets
Hyung Joo Kim, “Characterizing the Conditional Pricing Kernel: A New Approach”
Federal Reserve Board, Washington, D.C., Working paper n° 2026-059
Posted in: Articolo
Ago
26
2026
Abstract: I propose a novel method to reliably estimate the conditional pricing kernel by incorporating conditioning variables. The VIX and the term spread are most informative variables for identifying state prices. The conditional kernel estimate exhibits significant time variation: the more favorable market expectations, the ...more »
Tagged width: banking, capital markets
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
