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
Fan Dora Xia and Omar Zulaica, “Embracing carbon uncertainty in portfolio construction”
Bank for International Settlements, Working Paper n° 1362
Posted in: Articolo
Giu
25
2026
Abstract: We propose a framework for constructing fixed-income portfolios of sovereign bonds that integrates financial and environmental considerations. Central to our approach is the introduction of carbon returns, a concept analogous to financial returns, modeled as random variables to capture the inherent uncertainty of future ...more »
Tagged width: banking, capital markets
Thomas Lustenberger, Enzo Rossi and Anna Zeitz, “Central bank communication: New data and stylized facts from a century of Fed speeches”
Swiss National Bank, Working Paper n° 6/2026
Posted in: Articolo
Giu
25
2026
Abstract: Drawing on a novel dataset of more than 10,000 speeches from 1914 to 2024, we track the evolution of Federal Reserve communication and identify three stylized facts. (1) Although the overall volume of speeches has declined over the past decade, the composition of Fed ...more »
Tagged width: banking, capital markets
Walter Beckert, Peter Eccles and Paolo Siciliani, “Capital requirements and process innovation”
Bank of England, Working Paper n° 1,188
Posted in: Articolo
Giu
25
2026
Abstract: This paper investigates the relationship between the optimal level minimum capital requirements aimed at preventing moral hazard by banks and banks’ incentives to invest in process innovation aimed at improving operational efficiency. We extend Hellmann et al (2000)’s dynamic model of banking competition to ...more »
Tagged width: banking, capital markets
