Banking
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
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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
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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
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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
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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
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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
