Capital markets
Javier Ojea Ferreiro, Andrea Ugolini and Juan C. Reboredo, “Artificial Intelligence and Financial Tail Risks”
Bank of Canada, Working paper n° 2026-40
Posted in: Articolo
Ott
30
2026
Abstract: Artificial intelligence (AI) has a double-edged relationship with financial stability: it may improve efficiency and risk management, while also creating new vulnerabilities and amplification channels. This paper studies whether market-perceived exposure to AI is reflected in the tails of financial-sector returns, and whether this ...more »
Tagged width: banking, capital markets, fintech
Bruno Buchetti, Christian Eufinger, Luca X. Lin, Ixart Miquel-Flores, “Headwind or tailwind? How banks interpret borrowers’ AI exposure”
European Central Bank, Working paper n° 3302
Posted in: Articolo
Ott
30
2026
Abstract: General-purpose technologies create large opportunities but make their distribution across firms difficult to assess in real time. We use banks as interpreters of the rise of generative AI by studying lender-specific probability-of-default (PD) estimates for private firms in four large euro-area economies. As public ...more »
Tagged width: banking, capital markets, fintech
Thomas Garcia, Claudia Lambert, Cosimo Pancaro, Claire Rimbaud, Alice Soldà, “When less is more: behavioral effects of CBDC holding limits”
European Central Bank Working paper n° 3300
Posted in: Articolo
Ott
30
2026
Abstract: Holding limits are a central design feature of proposed retail central bank digital currencies (CBDC). While such limits mechanically prevent individuals from exceeding a maximum balance, they may also generate behavioral responses whose directions are a priori unclear. We conducted an incentivized online experiment ...more »
Tagged width: banking, capital markets
Pierlauro Lopez, Francisco Vázquez-Grande and David López-Salido, “A New Keynesian model of the term structures of equity and bond returns”
Banco de España, Working Paper n° 2635
Posted in: Articolo
Ott
30
2026
Abstract: A simple production economy with nominal price rigidities explains several key asset pricing facts, including the average slopes and cyclicality of equity and interest rate term structures. Nominal rigidities amplify the procyclicality of dividends after negative productivity shocks and generate countercyclical inflation, as sluggish ...more »
Tagged width: capital markets, politica monetaria
Nicolò Bandera, Kristina Bluwstein, Michael Kumhof, Mauricio Salgado-Moreno and Jacob Stevens, “Lighting the shadows: central bank policy transmission through banks and non-banks”
Bank of England, Working Paper n° 1,212
Posted in: Articolo
Ott
30
2026
Abstract: Non-bank financial institutions (NBFIs) account for an increasingly large share of credit provision and play a central role in quantitative easing (QE). We develop a DSGE model with banks, NBFIs and a central bank interacting through wholesale deposits, bonds and reserve markets to study ...more »
Tagged width: capital markets, politica monetaria
Marco Carli, Francesca Diluiso and Mathias Hoffmann “Navigating climate policy shocks: optimal monetary policy responses”
Bank of England, Working Paper n° 1,211
Posted in: Articolo
Ott
30
2026
Abstract: How should monetary policy respond to climate policy shocks? We develop an Environmental New-Keynesian model with green and fossil energy to assess the macroeconomic impacts of carbon pricing and green subsidy shocks and to identify the optimal monetary policy responses. Our findings indicate that ...more »
Tagged width: capital markets, politica monetaria
Dante Amengual and Lluc Puig-Codina, “A Bayesian analysis of the Cox-Ingersoll-Ross model”
Banco de España, Working Paper n° 2640
Posted in: Articolo
Ott
30
2026
Abstract: The Cox-Ingersoll-Ross model (CIR) is a diffusion process with widespread applications in economics, finance and population biology. In this paper we first obtain a full Gibbs Sampler for the exact CIR process observed at equidistant times. We do not require the imposition of the ...more »
Tagged width: banking, capital markets
Valerio Astuti, Adriano Baldeschi, Luca Bastianelli, Giuseppe Bruno, Riccardo Russo, Ajit Desai and Danica Marsden, “Liquidity Optimization in Gross Settlement Systems with Quantum Reordering: Application to TARGET2”
Bank of Canada, Working paper n° 2026-32
Posted in: Articolo
Set
24
2026
Abstract: In McMahon et al. (2024) the authors demonstrated the effectiveness of a hybrid quantum solver in improving the liquidity efficiency of Canada’s high-value payments system (HVPS), altering the payment queue in order to minimize liquidity requirements. In this work, we apply a similar technique ...more »
Tagged width: banking, capital markets
Antonio Diez de los Rios, “A New Approach to Estimating Portfolio-Balance Models of the Yield Curve”
Bank of Canada, Working paper n° 2026-33
Posted in: Articolo
Set
24
2026
Abstract: We show that the parameters of a broad class of portfolio-balance models can be recovered from estimates of Gaussian dynamic term structure models (GDTSMs) using a two-step estimator that bypasses the fixed-point problem that characterizes portfolio balance models. Specifically, we develop a novel canonical ...more »
Tagged width: banking, capital markets
Luís Fonseca, Giulia Martorana, Fabian Schupp and Giovanni Trebbi, “Inflation narratives and risk premia”
European Central Bank, Working paper n° 3288
Posted in: Articolo
Set
24
2026
Abstract: Theory suggests inflation risk premia are positive when supply shocks are expected to dominate demand shocks and negative otherwise. We measure these beliefs using demand and supply narratives derived from inflation news via Causality Extraction, which identifies causal relations between inflation and its drivers. ...more »
Tagged width: banking, capital markets
