Capital markets
Craig A. Chikis, Jonathan Goldberg and David López-Salido, “The Innovator’s Risk Premium: Sticky Hurdle Rates, the Cost of Capital, and Creative Destruction”
Banco de España, Working paper n° 2628
Posted in: Articolo
Set
24
2026
Abstract: Firms’ hurdle rates exceed their financial cost of capital. This gap varies across firms and has widened in the aggregate. In our Schumpeterian model, two frictions drive this gap: firm decision-makers require an innovator’s risk premium for undiversifiable innovation risk, and innovation profits are ...more »
Tagged width: banking, capital markets
Lucas ter Steege and Sofia Velasco, “What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times”
Banco de España, Working paper n° 2629
Posted in: Articolo
Set
24
2026
Abstract: This paper studies the financial-market transmission of the April 2025 U.S. tariff announcements, with a particular focus on the unusual combination of dollar depreciation and rising long-term U.S. Treasury yields. We ask whether the market reaction can be understood as the propagation of a ...more »
Tagged width: banking, capital markets
Marco Grotteria and Alex Kontoghiorghes, “One dollar, many prices: dealer-specific pricing of synthetic dollar funding”
Bank of England, Working paper n° 1,207
Posted in: Articolo
Set
24
2026
Abstract: Does the price of synthetic dollar funding depend on which dealer intermediates the trade? We answer this question by comparing FX forwards in the same dollar currency pair, half-hour, and maturity bucket, which removes the common forward curve and isolates dealer-specific pricing. These dealer-specific ...more »
Tagged width: banking, capital markets
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
Romain Baeriswyl, “Yesterday’s controversies for tomorrow’s money”
Swiss National Bank, Working paper n° 10/2026
Posted in: Articolo
Ago
26
2026
Abstract: While money has evolved from natural commodities to digital tokens, the debate about the ideal money has remained the same throughout the ages. Historical controversies about the origin, nature, and double-spending of money offer valuable insights for navigating the new forms of money tokens ...more »
Tagged width: blockchain, capital markets, fintech
Mathias Drehmann and Xuewen Fu, “Hard to shift, easy to reshape: central bank reserve demand and frictions”
Bank for International Settlements, Working paper n° 1372
Posted in: Articolo
Ago
26
2026
Abstract: How far can central banks shrink their balance sheets? The answer sets the limits to quantitative tightening (QT), and depends critically on the demand for reserves and whether the drivers widely thought to have increased it over the past decade actually do so. We ...more »
Tagged width: capital markets, politica monetaria
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
Ago
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
