Capital markets
Cara Bordier, Lukas Frei, and Simon Stalder “Dollar Dominance: A Source of Dollar Volatility?”
Swiss National Bank, Working Paper n° 5/2026
Posted in: Articolo
Mag
29
2026
Abstract: The US dollar (USD) is involved in 88% of global foreign exchange transactions, partly due to its role as a vehicle currency. Using high-frequency data from primary interdealer platforms, we develop a novel methodology to identify USD cross-trades. We show both theoretically and empirically ...more »
Tagged width: banking, capital markets
Matthew Read “Shock-percentile Restrictions for SVARs”
Reserve Bank of Australia, Working Paper n° 2026-01
Posted in: Articolo
Mag
29
2026
Abstract: I propose identifying structural vector autoregressions using ‘shock-percentile’ restrictions. These restrictions require the realisation of a structural shock in a selected episode to lie in the tail of the shock’s historical distribution, representing the belief that a relatively large shock has occurred. I argue ...more »
Tagged width: banking, capital markets
Christian Friedrich and Laura Zhao “Patterns and Determinants of Global Cryptocurrency Flows”
Bank of Canada, Working paper 2026-15
Posted in: Articolo
Mag
29
2026
Abstract: In this paper, we examine the patterns and determinants of cross-border cryptocurrency flows. While our analysis focuses primarily on Bitcoin flows, the cryptocurrency with the largest market capitalization, we show that our key results also extend to four major stablecoins. After documenting global patterns ...more »
Tagged width: banking, blockchain, capital markets, fintech
Mattia Bevilacqua, Jon Danielsson, Lerby Ergun, Andreas Uthemann, and Jean-Pierre Zigrand “Central Bank Crisis Interventions and the Term Structure of Market Fear”
Bank of Canada, Working paper 2026-17
Posted in: Articolo
Mag
29
2026
Abstract: We study the impact of Fed crisis interventions on market fears — the perceived risk of large asset price drops. To do so, we develop a methodological framework that allows us to evaluate the causal effect of unexpected Fed actions on changes in market ...more »
Tagged width: banking, capital markets
Brooke E. Hathhorn, Laura E. Jackson, and Michael T. Owyang “Does Uncertainty Really Predict Recessions?”
FEDERAL RESERVE BANK OF ST. LOUIS, Working Paper n° 2026-010A
Posted in: Articolo
Mag
29
2026
Abstract: We evaluate the ability of economic uncertainty measures to forecast recessions in real time. We find that including uncertainty increases the predictive power of both in sample and out-of-sample forecast models relative to a baseline set of financial variables. A nonlinear maximum transformation of uncertainty, ...more »
Tagged width: banking, capital markets
Celso Brunetti and Christoph Frei “Bank Regulation and the Rise of Nonbank Intermediation”
Federal Reserve Board (Board of Governors), Working Paper n° 2026-030
Posted in: Articolo
Mag
29
2026
Abstract: We study the rise of nonbank financial intermediation and its implications for systemic risk. We develop a structural network model of banks and nonbank financial institutions (NBFIs) that decomposes intermediation into a capacity channel, driven by bank balance-sheet constraints, and a reliance channel, reflecting ...more »
Tagged width: banking, capital markets
Roberto Baviera and Michele Domenico Massaria, “The additive Bachelier model with an application to the oil option market in the Covid period”
Posted in: Articolo
Apr
30
2026
Abstract: In April 2020, the Chicago Mercantile Exchange temporarily switched the pricing formula for West Texas Intermediate oil market options from the Black model to the Bachelier model. In this context, we introduce an additive Bachelier model that provides a simple closed-form solution and a ...more »
Tagged width: capital markets
Federico D’Amario, Sebastian De-Ramon and William B. Francis “The economic effects of changes to bank capital regulation: evidence from the United Kingdom”
Bank of England, Working Paper n°1,172
Posted in: Articolo
Apr
29
2026
Abstract: Strong bank capitalisation provides long‑run financial‑stability benefits. However, transitioning to higher capital levels may involve short‑run costs. We analyse the effects of prudential capital changes on lending behaviour, macroeconomic outcomes, and banking competition using UK data within a structural VAR framework with sign and ...more »
Tagged width: banking, capital markets
Giovanni Covi, Maren Froemel, Dennis Reinhardt and Nora Wegner “Climate policy and banks’ portfolio allocation”
Bank of England, Working Paper n° 1,149
Posted in: Articolo
Apr
29
2026
Abstract: How do banks respond to transition risk and which mechanisms drive this response? We shed new light on this question using data on granular international large exposures of UK banks. Climate policy is the main source of transition risk we use. We find that ...more »
Tagged width: banking, capital markets
Iñaki Aldasoro, Paula Beltrán and Federico Grinberg “Stablecoin flows and spillovers to FX markets”
Bank for International Settlements, BIS Working Papers n° 1340
Posted in: Articolo
Apr
29
2026
Abstract: Using data on four USD-pegged stablecoins and 27 fiat currencies, this paper documents spillovers from stablecoin-based foreign exchange (FX) to traditional FX markets. We document a gap between the cost of acquiring dollars via stablecoins and via the spot FX market (parity deviations). To ...more »
Tagged width: blockchain, capital markets, fintech
