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
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
Lug
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
Eoghan O’Neill and Sofia Velasco, “Let the tree decide: FABART. A non-parametric factor model for nonlinear oil shock transmission”
European Central Bank, Working paper n° 3265
Posted in: Articolo
Lug
31
2026
Abstract: The question of how oil supply news shocks transmit to real activity, financial conditions, and regional labor markets is back at the center of the macroeconomic research agenda. To answer this question, we introduce the Factor Bayesian Additive Regression Tree (FABART) model, a nonlinear ...more »
Tagged width: capital markets, ecb, politica monetaria
Tatjana Dahlhaus, Malik Shukayev, and Alexander Ueberfeld, “Balancing Act: Monetary Policy Responses to Natural Disasters”
Bank of Canada, Working paper n° 2026-28
Posted in: Articolo
Lug
31
2026
Abstract: Natural disasters pose complex challenges for monetary policy in resource-rich small open economies. Using an open-economy dynamic stochastic general equilibrium model calibrated to Canada, we embed stochastic disaster shocks affecting capital, productivity, and the commodity sector. Drawing on detailed historical data, we quantify disaster-specific ...more »
Tagged width: capital markets, politica monetaria
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
Lug
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
Susanne Griebsch and Andreas Röthig, “Bivariate sudden stop analysis of equity and bond fund flows to emerging markets using isolation forest”
Deutsche Bundesbank, Working Paper n° 15/2026
Posted in: Articolo
Giu
25
2026
Abstract: This paper applies machine learning methods and anomaly detection to sudden stop analysis of portfolio flows. Using the isolation forest methodology, univariate as well as bivariate sudden stops of equity and bond fund flows to emerging markets are generated. An anomaly score and an ...more »
Tagged width: capital markets
Boris Hofmann, Matthias Kaldorf and Matthias Rottner, “The macroeconomics of stablecoins”
Bank for International Settlements, Working Paper n° 1363
Posted in: Articolo
Giu
25
2026
Abstract: We analyse the macroeconomic impact of stablecoins using a quantitative macroeconomic model. Stablecoins influence the economy through two opposing channels: (i) a bank lending channel, as household demand for stablecoins raises deposit rates, increases bank funding costs, and reduces loan supply; and (ii) a ...more »
Tagged width: blockchain, capital markets, fintech
