{"topic":"Macro-Finance & Rates","items":[{"title":"Expectations and the Term Structure of Interest Rates","url":"/papers/ssrn/7497046/","summary":"Decomposing yield sensitivity without assuming rational expectations reveals that expectations rather than risk premia drive short- and medium-term bond yields, with systematic inconsistencies across horizons.","featured":"2026-09-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"fanfare"},{"title":"Banking-System Heterogeneity and Monetary Policy Transmission in the Euro Area: High-Frequency Shocks, Local Projections, and Regime Dependence","url":"/papers/ssrn/7519040/","summary":"A 100-basis-point contractionary monetary shock lowers inflation and sales across 20 euro-area economies, with transmission strength varying by bank asset-risk exposure and assets-to-GDP ratio rather than a simple weak-strong taxonomy.","featured":"2026-09-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"fanfare"},{"title":"Innovation, financial frictions, and persistent effects of monetary policy","url":"/papers/repec/boe-boeewp-023581/","summary":"Monetary tightening reduces R&D more sharply among firms lacking cash-flow-based borrowing, generating persistent 0.12% output loss that younger, high-patent firms bear disproportionately.","featured":"2026-09-25","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"fanfare"},{"title":"Prices and Monetary Policy: The Role of Financial Constraints","url":"/papers/repec/hhs-rbnkwp-0468/","summary":"Swedish data reveals that financially constrained firms adjust prices less to monetary shocks, materially dampening aggregate inflation response to policy changes.","featured":"2026-09-25","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"fanfare"},{"title":"Capital flows and exchange rates: A quantitative assessment of the dilemma hypothesis","url":"/papers/repec/boe-boeewp-023263/","summary":"In response to US monetary tightening, financial channels dominate for small open economies: credit spreads widen and output falls despite currency depreciation.","featured":"2026-09-25","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"fanfare"},{"title":"ESG in Auto Loans","url":"/papers/ssrn/4481545/","summary":"Higher ESG scores in auto loan securitizations lower costs and consumer interest rates, despite environmental concerns.","featured":"2025-12-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":1044,"scale":"shares"},{"title":"Twitter and Monetary Policy","url":"/papers/ssrn/4479590/","summary":"Online discussions about central bank policies correlate strongly with market volatility, especially around ECB announcements.","featured":"2025-12-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":181,"scale":"shares"},{"title":"Corporate Bond Pricing Challenges","url":"/papers/ssrn/4478575/","summary":"The effectiveness of multifactor models for corporate bond returns is debated, with a preference for the bond CAPM in analyses.","featured":"2025-12-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3698,"scale":"shares"},{"title":"Chinese Bond Dynamics During COVID-19","url":"/papers/ssrn/4469784/","summary":"The study examines the changes in the Chinese government bond yield curve during the pandemic, highlighting new behaviors and arbitrage potential.","featured":"2025-12-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":132,"scale":"shares"},{"title":"ESG Impact on Stock Prices","url":"/papers/ssrn/4463862/","summary":"The paper reveals that green firms experience smaller stock price declines than brown firms when interest rates rise due to sustainability preferences.","featured":"2025-12-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":543,"scale":"shares"},{"title":"Navigating the Low-Carbon Shift: Balancing Municipal Finances with Climate Goals","url":"/papers/ssrn/4955515/","summary":"This research details how falling coal production negatively impacts municipal finances, leading to higher debt and bond yields in less diverse counties.","featured":"2025-12-01","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":123,"scale":"shares"},{"title":"Causes of failure of the Phillips curve: Does tranquillity of economic environment matter?","url":"/papers/arxiv/2511.22785/","summary":"This paper examines the Phillips relationship, noting it works in developed nations but fails during recessions, emphasizing the need for economic stability for the theory to be valid.","featured":"2025-12-01","label":"arXiv","topic":"Macro-Finance & Rates","cites":8,"score":0,"scale":"shares"},{"title":"Regime Changes and Real-Financial Cycles: Searching Minsky's Hypothesis in a Nonlinear Setting","url":"/papers/arxiv/2511.04348/","summary":"A nonlinear model finds Minsky‑style boom–bust cycles tied to corporate debt in most countries and to interest rates everywhere, with household‑debt effects only in the US and UK — highlighting regime shifts.","featured":"2025-11-12","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":1,"scale":"shares"},{"title":"ESG Alpha in Corporate Bonds","url":"/papers/ssrn/5051908/","summary":"Firms' environmental traits create a distinct bond-market anomaly that improves portfolios beyond standard factors, and a simple model explains it.","featured":"2025-10-27","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":106,"scale":"shares"},{"title":"Topology of Currencies: Persistent Homology for FX Co-movements: A Comparative Clustering Study","url":"/papers/arxiv/2510.19306/","summary":"Topological Data Analysis finds clearer, more separated currency clusters than traditional methods, revealing co-movement patterns useful for risk management.","featured":"2025-10-27","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":9,"scale":"shares"},{"title":"Nowcasting NZ GDP with ML","url":"/papers/repec/een-camaaa-2018-47/","summary":"The paper reveals that machine learning algorithms are more effective than traditional statistical models in predicting real GDP growth in New Zealand.","featured":"2025-10-24","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":175,"scale":"shares"},{"title":"Panel regression for the GDP of the Central and Eastern European countries using time-varying coefficients","url":"/papers/arxiv/2510.04211/","summary":"The economic growth in Central and Eastern European countries due to their integration into the European Economic Area is largely influenced by private debt.","featured":"2025-10-09","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":16,"scale":"shares"},{"title":"Meyer risk measures","url":"/papers/arxiv/2509.24747/","summary":"The study delves into Meyer risk measures, their structure, applications, and existence, and uncovers a deeper connection between monetary risk measures and second-order stochastic dominance.","featured":"2025-10-03","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":8,"scale":"shares"},{"title":"In-between Transatlantic (Monetary) Disturbances","url":"/papers/arxiv/2509.13578/","summary":"Research shows that European Central Bank interest rate hikes result in a depreciation of the Canadian dollar and a contraction in economic activity, mainly through international trade, while U.S. Federal Reserve shocks impact Canadian financial conditions more directly.","featured":"2025-09-22","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":8,"scale":"shares"},{"title":"The Probability of Food Security: A new longitudinal data set using the Panel Study of Income Dynamics","url":"/papers/arxiv/2509.06144/","summary":"A study analyzing 40 years of US data on household-level food security offers insights into how recessions and policy changes impact different demographics.","featured":"2025-09-13","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":6,"scale":"shares"},{"title":"The European Union deforestation regulation: The impact on Argentina","url":"/papers/arxiv/2508.11796/","summary":"The European Union Deforestation Regulation could lower Argentina's GDP by 0.14% and reduce deforestation and greenhouse gas emissions, impacting soy and cattle industries the most.","featured":"2025-08-20","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":5,"scale":"shares"},{"title":"CATNet: A geometric deep learning approach for CAT bond spread prediction in the primary market","url":"/papers/arxiv/2508.10208/","summary":"Geometric Deep Learning for CAT Bond Spread: The research introduces CATNet, a new model that uses geometric deep learning to predict the catastrophe bond primary market, showing that network connectivity significantly influences price.","featured":"2025-08-20","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":14,"scale":"shares"},{"title":"Fiscal Spillovers through Informal Financial Channels","url":"/papers/doi/10-1016-j-jimonfin-2025-103378/","summary":"A paper using detailed cryptocurrency data finds a temporary rise in cryptocurrency outflows from the US after stimulus checks, with a maximum fiscal spillover of 2.52%.","featured":"2025-08-12","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":2,"scale":"shares"},{"title":"Equity, Emissions and the Inflation Reduction Act","url":"/papers/arxiv/2507.15054/","summary":"The 2022 Inflation Reduction Act's incentives for buying preowned EVs could help low-income households, but up to 8.4 million might not qualify due to different vehicle procurement methods, potentially hindering significant emissions reduction.","featured":"2025-07-25","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":6,"scale":"shares"},{"title":"An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework","url":"/papers/arxiv/2507.10041/","summary":"The paper investigates the estimation and asymptotic behavior of parameters in interest rate models, using Euler-Maruyama discretization for efficient simulation and estimation, providing a theoretical basis for the parameter estimation process.","featured":"2025-07-17","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":6,"scale":"shares"},{"title":"Can We Reliably Predict the Fed's Next Move? A Multi-Modal Approach to U.S. Monetary Policy Forecasting","url":"/papers/arxiv/2506.22763/","summary":"The study reveals that combining structured data with unstructured text from Federal Reserve communications improves the accuracy of central bank policy predictions.","featured":"2025-07-03","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":4,"scale":"shares"},{"title":"Beware of Large Shocks! A Non-Parametric Structural Inflation Model","url":"/papers/ssrn/5244264/","summary":"The study introduces a Bayesian machine learning model for inflation that reacts strongly to large shocks.","featured":"2025-06-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":4,"score":64,"scale":"shares"},{"title":"Fiscal Financing and Investment Reversibility","url":"/papers/ssrn/5245203/","summary":"The research shows that dividend tax hikes initially cause investment inactivity, followed by a surge due to tax arbitrage and hangover effects.","featured":"2025-06-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":32,"scale":"shares"},{"title":"Digital Asset Regulation in the U.S.","url":"/papers/ssrn/5245602/","summary":"The U.S.'s individual approach to digital asset regulation could isolate its markets and weaken its monetary power, indicating a need for global collaboration.","featured":"2025-06-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":62,"scale":"shares"},{"title":"The Bond Agio","url":"/papers/ssrn/5243376/","summary":"Bonds issued in varying interest rate environments have different coupons and market prices, leading to higher losses for investors if default occurs.","featured":"2025-06-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":59,"scale":"shares"},{"title":"Inflation Risk and Production Costs","url":"/papers/ssrn/5241864/","summary":"Companies with high fixed costs show negative exposure to inflation surprises, with variable costs being the main factor behind this negative inflation beta.","featured":"2025-06-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":35,"scale":"shares"},{"title":"Social Media Can Reduce Misinformation When Public Scrutiny is High","url":"/papers/arxiv/2506.16355/","summary":"The study finds that while Chinese local governments have exaggerated GDP, using social media for public communications can decrease misreporting in areas with high public scrutiny, contradicting the belief that social media mainly spreads misinformation.","featured":"2025-06-25","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":7,"scale":"shares"},{"title":"An Interpretable Machine Learning Approach in Predicting Inflation Using Payments System Data: A Case Study of Indonesia","url":"/papers/arxiv/2506.10369/","summary":"A study shows machine learning algorithms, particularly the Extreme Gradient Boosting model, are more effective than traditional methods in predicting Indonesia's inflation.","featured":"2025-06-18","label":"arXiv","topic":"Macro-Finance & Rates","cites":4,"score":8,"scale":"shares"},{"title":"The Bones and Shapes of the Phillips Curve","url":"/papers/arxiv/2506.14030/","summary":"A study using MSA-level panel data investigates if the U.S. Phillips Curve's slope changed during and post-COVID-19, providing insights into the unemployment cost of disinflation.","featured":"2025-06-18","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":9,"scale":"shares"},{"title":"Recession Detection Using Classifiers on the Anticipation-Precision Frontier","url":"/papers/arxiv/2506.09664/","summary":"The article introduces a novel method for real-time detection of US recessions using unemployment and vacancy data, predicting a 71% chance of a current recession based on May 2025 data.","featured":"2025-06-18","label":"arXiv","topic":"Macro-Finance & Rates","cites":3,"score":31,"scale":"shares"},{"title":"Measuring Communication Quality of Interest Rate Announcements","url":"/papers/arxiv/2506.09868/","summary":"The study uses noncooperative game theory to characterize zonal ancillary market coupling, finding that multi-agent deep reinforcement learning leads to lower market costs but higher profit allocation variability.","featured":"2025-06-18","label":"arXiv","topic":"Macro-Finance & Rates","cites":14,"score":18,"scale":"shares"},{"title":"Impact of Anti-ESG Policies on Bonds","url":"/papers/ssrn/5287090/","summary":"Anti-ESG policies in Texas and Oklahoma have not significantly affected municipal bond markups or yields, contradicting the idea that such policies raise borrowing or transaction costs.","featured":"2025-06-11","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Business Cycles and Information Networks","url":"/papers/ssrn/5284645/","summary":"Network informativeness, or the ease of information flow across sectors, is a leading indicator of real business cycles, with increased information flow leading to stronger industrial production and real GDP.","featured":"2025-06-11","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Currency Mispricing","url":"/papers/ssrn/5285379/","summary":"A study reveals that mispricing in currency markets is common and is more influenced by currency characteristics than macroeconomic fundamentals.","featured":"2025-06-11","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Export Repatriation and Exchange Rates","url":"/papers/ssrn/5287255/","summary":"Mandatory export proceeds repatriation doesn't significantly affect exchange rate volatility in Iran, Sri Lanka, and Turkey, as per a study using the Generalized Synthetic Control framework.","featured":"2025-06-11","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Sovereign Debt Post Downgrades","url":"/papers/ssrn/5276268/","summary":"The research explores how governments adjust their funding structure in response to changes in credit ratings, with a shift from bonds to loans mainly occurring in countries with low ratings.","featured":"2025-06-04","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Equity Market Response to Shocks","url":"/papers/ssrn/5278755/","summary":"The note reexamines the impact of monetary policy on equity prices, considering changes in interest rates, term premia, and dividend risk compensation.","featured":"2025-06-04","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Time Preference and Premium","url":"/papers/ssrn/5278998/","summary":"The research studies the time variations of forward premiums in the currency market, pinpointing variables that can predict these changes, especially in less-developed countries.","featured":"2025-06-04","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Environmental impacts and monetary costs of healthy diets worldwide","url":"/papers/arxiv/2505.24457/","summary":"Research shows that the cheapest healthy diet worldwide would emit 0.67 kg CO2e and cost $6.95 per day, emphasizing the potential for changes in agricultural policy and food choice to promote healthier and more sustainable diets in a cost-effective manner.","featured":"2025-06-04","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":18,"scale":"shares"},{"title":"Macroeconomic Stability Quantum Model","url":"/papers/ssrn/5269697/","summary":"A novel theoretical framework uses quantum mechanics principles to model inflation and macroeconomic systems, treating economic goods and assets as quantum-like particles.","featured":"2025-05-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"The Fundamental Role of the Repo Market and Central Clearing","url":"/papers/ssrn/5271022/","summary":"The paper examines the economic functions of repo contracts and the structure of government bond repo markets, investigates the main factors influencing euro-area repo market dynamics, and discusses the role of central clearing services and new client clearing models in the repo market.","featured":"2025-05-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":4,"score":4,"scale":"shares"},{"title":"A General Theory of Growth, Employment, and Technological Change: Experiential Matrix Theory and the Transition from GDP to Humanist Experiential Growth in the Age of Artificial Intelligence","url":"/papers/arxiv/2505.19045/","summary":"The paper introduces Experiential Matrix Theory, a new theory for growth and employment in the AI age, and establishes Alignment Economics as a new field of research.","featured":"2025-05-30","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":17,"scale":"shares"},{"title":"Active Management Value","url":"/papers/ssrn/5256515/","summary":"Only a small percentage of active US equity and bond funds, which investors pay a premium for, actually increase the investor's utility.","featured":"2025-05-21","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":45,"scale":"shares"},{"title":"Borrowing for Impact: Leveraging Foundation Endowments with Debt","url":"/papers/ssrn/5262400/","summary":"The Ford Foundation and others plan to increase charity donations over two years, partly funded by issuing 1.2 billion in social bonds.","featured":"2025-05-21","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":4,"scale":"shares"},{"title":"Machine Learning for GDP Forecasting","url":"/papers/ssrn/5251604/","summary":"The study finds that machine learning models can effectively forecast U.S. GDP, especially during economic volatility.","featured":"2025-05-14","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Inflation Uncertainty Amplification","url":"/papers/ssrn/5250963/","summary":"The study suggests that aggressive policy responses can manage macroeconomic effects of uncertainty shocks during low inflation cycles.","featured":"2025-05-14","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Interest Rates vs Stock Returns","url":"/papers/ssrn/5251618/","summary":"A study reveals a strong negative correlation between expected inflation sensitivity and firm growth, with low inflation sensitivity firms experiencing high, sustained growth.","featured":"2025-05-14","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Venue Participation in China Bonds Market","url":"/papers/ssrn/5248810/","summary":"The article explores bond trading activity and transaction cost differences between Over-the-Counter and Central Limit Order Book venues in China's interbank government bonds market, showing how market structure and trading mechanism impact asset liquidity.","featured":"2025-05-14","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Impact of Tariff Wars on Global Economy","url":"/papers/doi/10-11648-j-ajmse-20251001-12/","summary":"The paper introduces an algorithm for creating fair trade relations based on a world trade model, aiming to prevent tariff wars and discussing the impact of tariff restrictions on trade prices and recession.","featured":"2025-05-14","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":13,"scale":"shares"},{"title":"Who's at Risk? Effects of Inflation on Unemployment Risk","url":"/papers/arxiv/2505.05757/","summary":"Inflation driven by supply increases unemployment risks for vulnerable workers, emphasizing the need for inflation control for fair labor market growth.","featured":"2025-05-14","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":16,"scale":"shares"},{"title":"Reassessing Unit Roots in Macro Variables: Evidence from Over 200 Years of Data across G7 Countries","url":"/papers/ssrn/5238504/","summary":"A 200-year study of 40 macroeconomic variables across G7 economies shows mean reversion in the U.S. and significant differences between countries.","featured":"2025-05-07","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":37,"scale":"shares"},{"title":"Yield Curve Forecasting with Deep Learning","url":"/papers/ssrn/5228495/","summary":"The study investigates if adding macroeconomic information to a Deep Learning Nelson-Siegel framework improves yield-curve forecasts, finding that including CPI inflation and M2 money supply improves prediction accuracy.","featured":"2025-04-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":5,"scale":"shares"},{"title":"Brexit Impact on Corporate Bonds","url":"/papers/ssrn/5230141/","summary":"Brexit has caused a 49% increase in bond listings in the EEA30 countries compared to the UK, indicating the European capital market's adaptation to losing its largest financial center.","featured":"2025-04-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":5,"scale":"shares"},{"title":"Macroeconomic Announcement Premia","url":"/papers/ssrn/5232941/","summary":"Stock returns are exceptionally high on days of scheduled macroeconomic announcements, with increased uncertainty about future monetary policy paths heightening market sensitivity to these releases.","featured":"2025-04-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Investors as Bond Market Backstop","url":"/papers/ssrn/5229934/","summary":"Investors serve as a liquidity safety net in the corporate bond market, with dealers offering discounts to investors for past liquidity services to maintain liquidity provider networks, particularly during market stress.","featured":"2025-04-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Financial Market Prediction Model","url":"/papers/ssrn/5232399/","summary":"The study presents a new financial market prediction model that integrates stock market dynamics, macroeconomic factors, and predictive modeling for enhanced forecasting accuracy.","featured":"2025-04-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Debt Revenue in General Equilibrium","url":"/papers/ssrn/5231455/","summary":"The author proposes an infinite rollover scheme in an economy with multiple bonds, demonstrating that deficit-financed fiscal stimulus is sustainable irrespective of the economic growth rate.","featured":"2025-04-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"GDP-GFCF Dynamics Across Global Economies: A Comparative Study of Panel Regressions and Random Forest","url":"/papers/arxiv/2504.20993/","summary":"The study uses Random Forest machine learning and econometric models to explore the link between GDP growth and Gross Fixed Capital Formation, highlighting regional differences and investment patterns.","featured":"2025-04-30","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":12,"scale":"shares"},{"title":"Recovery Time from 1929 Crash","url":"/papers/ssrn/5221568/","summary":"The recovery time for investments in the Dow Jones Industrial Average made at the 1929 peak varies between 16 and 29.75 years, depending on dividend reinvestment and inflation/deflation considerations.","featured":"2025-04-23","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Symmetry classification and invariant solutions of the classical geometric mean reversion process","url":"/papers/doi/10-3934-dcdss-2024202/","summary":"The Lie symmetry method is applied to a Feynman-Kac formula for a more accurate assumption of short-term interest rate dynamics than the geometric Brownian motion.","featured":"2025-04-23","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":14,"scale":"shares"},{"title":"Climate Risks on Bond Markets","url":"/papers/ssrn/5210836/","summary":"Research reveals that physical climate risks, inflation rates, and bonds themselves influence risk across bond markets during periods of high volatility.","featured":"2025-04-09","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":4,"scale":"shares"},{"title":"Tariffs and Inflation Effects","url":"/papers/ssrn/5206224/","summary":"A study investigates the macroeconomic effects of President Trump's Liberation Day tariffs, particularly their impact on inflation expectations, capital investment, and output.","featured":"2025-04-09","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Information Leakages in the Green Bond Market","url":"/papers/arxiv/2504.03311/","summary":"Anonymous leaks on the Bloomberg Terminal about upcoming green bond issues significantly affect the equity trading dynamics of the issuing firms, indicating a strong impact on market behavior that should be considered in green bond studies.","featured":"2025-04-09","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":16,"scale":"shares"},{"title":"Information Leakages in Bond Market","url":"/papers/ssrn/5198657/","summary":"Leaked information about upcoming green bond issues on the Bloomberg Terminal significantly impacts the equity trading dynamics of the issuing firms, resulting in negative abnormal returns and increased trading volumes.","featured":"2025-04-02","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Survey-Based Recession Indicators","url":"/papers/ssrn/5198217/","summary":"Research shows updated macroeconomic beliefs can forecast recessions and improve portfolio performance when applied.","featured":"2025-04-02","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Where the trees fall: Macroeconomic forecasts for forest-reliant states","url":"/papers/arxiv/2503.23569/","summary":"A study predicts a decline in employment and businesses in forestry and paper manufacturing, but a rise in wood manufacturing jobs in six US states using a vector error correction model.","featured":"2025-04-02","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":15,"scale":"shares"},{"title":"The Quantum Reserve Token: A Decentralized Digital Currency Backed by Quantum Computational Capacity as a Candidate for Global Reserve Status","url":"/papers/arxiv/2503.22056/","summary":"Digital Currency: The Quantum Reserve Token (QRT), a decentralized digital currency backed by quantum computational capacity, is proposed as a potential alternative to the U.S. dollar as the global reserve currency. It promises stability, neutrality, and scalability.","featured":"2025-04-02","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":18,"scale":"shares"},{"title":"Emerging Markets Debt","url":"/papers/ssrn/5188171/","summary":"The paper analyzes the traits, returns, and risks of different emerging markets bonds from 2003 to 2025, highlighting growth in local-currency market and changes in emerging debt value.","featured":"2025-03-26","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"GoldAdjusted GDP","url":"/papers/ssrn/5190705/","summary":"The research uses AI to study nominal GDP per capita in fifteen major economies from 2000 to 2023, noting significant differences in gold-adjusted output between advanced and emerging economies.","featured":"2025-03-26","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":5,"scale":"shares"},{"title":"Rate Hikes vs. QT","url":"/papers/ssrn/5191037/","summary":"The paper equates interest rate hikes and quantitative tightening, estimating that a $2.2 trillion passive rolloff of Treasury securities equals a 29 basis point increase in the federal funds rate.","featured":"2025-03-26","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"ESG Controversies in Strategies","url":"/papers/ssrn/5189713/","summary":"The research incorporates ESG controversy data into equity and corporate bond strategies, suggesting that shorting ESG-controversial firms improves risk-adjusted returns and lowers ESG risk.","featured":"2025-03-26","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"The Impact Of Industrial Production On Economic Growth: New Empirical Evidence For Turkiye In A Material Development Framework","url":"/papers/arxiv/2503.16301/","summary":"The study analyzes the influence of the Heavy Industry Initiative on Turkey's economic growth, highlighting a stronger GDP connection with the Manufacturing Sector and diminishing sectoral shocks over time.","featured":"2025-03-26","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":18,"scale":"shares"},{"title":"Index Effect in Corporate Bonds","url":"/papers/ssrn/5181327/","summary":"Investment funds' rise in the corporate bond market has led to more index-driven bond trading, improving liquidity during index closing times.","featured":"2025-03-20","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Cross-Asset Trend Factor for Bonds","url":"/papers/ssrn/5181153/","summary":"XTREND, a proposed cross-asset trend factor, uses machine learning to predict corporate bond returns using equity market data, showing resilience in various market conditions.","featured":"2025-03-20","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":4,"scale":"shares"},{"title":"Timevarying predictability in EU bond market","url":"/papers/ssrn/5185475/","summary":"The LASSO method effectively predicts European sovereign bond market returns, except for German bonds.","featured":"2025-03-20","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Gold prices and electricity rates","url":"/papers/ssrn/5179817/","summary":"Inflation and exchange rate fluctuations significantly affect gold prices and electricity rates, while geopolitical risks have a minor direct impact.","featured":"2025-03-20","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Inflation Data for Gold and Treasury Investments","url":"/papers/ssrn/5151557/","summary":"The piece examines the intricate relationship between inflation and the value of gold and treasury bonds, influenced by factors such as market sentiment and monetary policy.","featured":"2025-03-20","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":57,"scale":"shares"},{"title":"Forecasting GDP Growth Rates: A Large Panel Micro Data Approach","url":"/papers/ssrn/5151633/","summary":"Using individual accounting earnings from corporate financial reports can provide more accurate GDP forecasts, according to a new micro-forecasting approach.","featured":"2025-03-20","label":"SSRN","topic":"Macro-Finance & Rates","cites":1,"score":22,"scale":"shares"},{"title":"The Volterra Stein-Stein model with stochastic interest rates","url":"/papers/arxiv/2503.01716/","summary":"The Volterra Stein-Stein model with stochastic interest rates unifies various models while maintaining analytical tractability for pricing and hedging financial derivatives, capturing key empirical features for cap options.","featured":"2025-03-05","label":"arXiv","topic":"Macro-Finance & Rates","cites":3,"score":14,"scale":"shares"},{"title":"Understanding the Commodity Futures Term Structure Through Signatures","url":"/papers/arxiv/2503.00603/","summary":"The article introduces signature perturbations as a way to explain the success of signature-based classification in commodities markets, with convenience yield volatility as a key factor.","featured":"2025-03-05","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":12,"scale":"shares"},{"title":"Monetary Policy Frictions and Nonperforming Loans","url":"/papers/repec/eee-ecofin-v-76-y-2025-i-c-s106294082400278x/","summary":"The study uses machine learning to analyze the impact of a monetary policy frictions index on commercial banks' nonperforming loans, advocating for more transparency in monetary policy transmission.","featured":"2025-03-05","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":12,"scale":"shares"},{"title":"Housing Market Connectedness","url":"/papers/repec/eee-jimfin-v-152-y-2025-i-c-s0261560625000014/","summary":"The research uses machine learning and quantile connectedness models to study the international housing market, emphasizing the significant influence of the US housing market and its interest rates.","featured":"2025-03-05","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":10,"scale":"shares"},{"title":"Assessing Price Elasticity in US Residential Electricity Consumption: A Comparison of Monthly and Annual Data with Recession Implications","url":"/papers/ssrn/5141364/","summary":"The study analyzes state-level data since 2001 to understand how changes in electricity prices impact demand and how economic shocks, such as recessions, affect electricity consumption.","featured":"2025-02-26","label":"SSRN","topic":"Macro-Finance & Rates","cites":11,"score":13,"scale":"shares"},{"title":"Fiscal Policy and Household Savings in Central Europe (Poland, Croatia, and Slovak Republic) -- A Markov Switching VAR with Covid Shock","url":"/papers/arxiv/2502.14041/","summary":"A study on the effects of fiscal policies on household consumption and income during COVID-19 in Croatia, Slovakia, and Poland found Slovakia's policies most effective, while Poland's led to reduced consumption and income, indicating the need for custom fiscal measures.","featured":"2025-02-26","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":16,"scale":"shares"},{"title":"Forecasting Corporate Bond Index Returns","url":"/papers/ssrn/5116120/","summary":"The research explores the return predictability of U.S. corporate bond indexes, identifying key predictors and potential economic benefits for investors.","featured":"2025-02-19","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":65,"scale":"shares"},{"title":"Sector-Specific Substitution and the Effect of Sectoral Shocks","url":"/papers/arxiv/2502.07896/","summary":"The article presents a strategy to estimate the impact of a negative sectoral shock on GDP, highlighting the varying effects based on sectors' ability to substitute inputs and their role as input suppliers.","featured":"2025-02-19","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":15,"scale":"shares"},{"title":"Differential Returns in Germany","url":"/papers/repec/zbw-ifsowp-309421/","summary":"The study uses machine learning to analyze rates of return on wealth in Germany, revealing a negative return for the bottom 50% when adjusted for inflation and interest, with socio-economic factors predicting wealth distribution.","featured":"2025-02-19","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":11,"scale":"shares"},{"title":"Short Interest in Bonds and Stock Returns","url":"/papers/ssrn/5099127/","summary":"The study reveals that short interest in corporate bonds is a stronger predictor of aggregate stock returns than short interest in stocks and other known predictors.","featured":"2025-02-05","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":39,"scale":"shares"},{"title":"Supervised Similarity for High-Yield Corporate Bonds with Quantum Cognition Machine Learning","url":"/papers/arxiv/2502.01495/","summary":"The research applies quantum cognition machine learning to distance metric learning in corporate bond markets, outperforming traditional models in high-yield markets and performing similarly or better in investment grade markets.","featured":"2025-02-05","label":"arXiv","topic":"Macro-Finance & Rates","cites":4,"score":5,"scale":"shares"},{"title":"Implications of zero-growth economics analysed with an agent-based model","url":"/papers/arxiv/2501.19168/","summary":"Research indicates a zero-growth economy could be more stable with fewer crises and lower unemployment, but may increase inflation and financial risk.","featured":"2025-02-05","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":6,"scale":"shares"},{"title":"Selective Inflation Forecasting","url":"/papers/repec/aob-wpaper-62/","summary":"The research indicates that using machine learning in inflation forecasting can enhance prediction accuracy, particularly in volatile economic conditions.","featured":"2025-02-05","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":7,"scale":"shares"},{"title":"South Africa's Economic Challenges","url":"/papers/repec/ers-ijebaa-v-xii-y-2024-i-4-p-72-86/","summary":"The study uncovers a complex interplay between corruption, political instability, inflation, and exchange rate changes in South Africa, highlighting the need for holistic policy solutions.","featured":"2025-02-05","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Macroeconomic Models","url":"/papers/ssrn/5104068/","summary":"The article reviews the influence of heterogeneity on macroeconomic modeling, especially in monetary and fiscal policy, and evaluates methods to solve these models.","featured":"2025-01-23","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":397,"scale":"shares"},{"title":"FX and Bonds Risk","url":"/papers/ssrn/5095671/","summary":"The demand shifts for U.S. Treasuries impact foreign exchange and bond markets, causing the U.S. dollar to depreciate against G9 currencies when demand is high.","featured":"2025-01-23","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":23,"scale":"shares"},{"title":"Dollarized Economies in Latin America. An Inflationary Analysis of Pre, During and Post Pandemic","url":"/papers/arxiv/2501.12358/","summary":"The paper suggests that dollarization in Latin American countries can guard against inflation, but domestic policies and government action are more crucial for economic stability.","featured":"2025-01-23","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":6,"scale":"shares"},{"title":"Green Bonds and Russia Ukraine","url":"/papers/repec/eee-riibaf-v-74-y-2025-i-c-s0275531924005270/","summary":"The paper finds that green inclusive bonds showed stronger resilience to the Russia-Ukraine conflict compared to standard green bonds.","featured":"2025-01-23","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":13,"scale":"shares"},{"title":"Economic Policy Uncertainty and Exchange Rate","url":"/papers/repec/eee-finana-v-97-y-2025-i-c-s1057521924007567/","summary":"The study finds that the spillover effect of economic policy uncertainty on real effective exchange rate volatility is stronger in emerging markets than in developed markets.","featured":"2025-01-23","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":10,"scale":"shares"},{"title":"Predicting Bond Returns","url":"/papers/repec/eee-jbfina-v-171-y-2025-i-c-s0378426624002863/","summary":"Machine learning models show strong bond return predictability, especially during high risk aversion and slow economic growth, emphasizing the importance of using both cross-sectional and time-series predictors.","featured":"2025-01-23","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":13,"scale":"shares"},{"title":"Enhancing Inflation Forecasts","url":"/papers/ssrn/5092410/","summary":"A thick modeling approach combining time and frequency-domain models enhances inflation forecasts, particularly during periods of high inflation volatility.","featured":"2025-01-15","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":10,"scale":"shares"},{"title":"Climate-Linked Bonds","url":"/papers/ssrn/5091140/","summary":"Climate-related bonds issued by governments and international organizations are vital for a net-zero economy, offering investors protection against long-term climate risks and demonstrating government dedication to climate action.","featured":"2025-01-15","label":"SSRN","topic":"Macro-Finance & Rates","cites":3,"score":8,"scale":"shares"},{"title":"Interest Rate Tightening and Financial Fragility","url":"/papers/ssrn/5084513/","summary":"The study reveals that monetary tightening worsens financial stress after supply shocks, recommending less aggressive monetary policy tightening when financial fragility is present.","featured":"2025-01-08","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Co-Movement Analysis","url":"/papers/ssrn/5086571/","summary":"A study shows a positive link between bond and equity returns, with less stakeholder conflict leading to more comovement, emphasizing the need for good corporate governance and regulations.","featured":"2025-01-08","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Enflasyon Öngörüsü Türkiye'de","url":"/papers/repec/ahs-journl-v-9-y-2025-i-4-p-877-895/","summary":"A study found that XGBoost performs better in predicting inflation during economic crises in Turkey with large datasets, while the ARMA model performs better with smaller datasets.","featured":"2025-01-08","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":1,"scale":"shares"},{"title":"Imported Sovereign Risk Spillover to China","url":"/papers/repec/eee-finlet-v-70-y-2024-i-c-s1544612324013369/","summary":"The paper discovers that imported sovereign risks from developing G20 countries have a more significant impact on China under normal conditions.","featured":"2025-01-08","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":15,"scale":"shares"},{"title":"Monetary Transmission in Equity Markets","url":"/papers/ssrn/5078670/","summary":"The study suggests that contractionary monetary policy can cause equity outflows from mutual funds, which are then absorbed by banks charging a premium for market making.","featured":"2025-01-01","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Normative General (Janus) Equilibrium","url":"/papers/ssrn/5076057/","summary":"The study presents a general equilibrium model where investors aim for multiple stochastic investment goals, suggesting that unique bonds issued by Brazil in 2023 could be seen as Goals-based Arrow Debreu securities.","featured":"2025-01-01","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"War in Ukraine Impact on CEE","url":"/papers/ssrn/5064007/","summary":"The research explores the macroeconomic effects of the Russian invasion of Ukraine on Central and Eastern European economies, indicating increased inflation and decreased GDP.","featured":"2025-01-01","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":16,"scale":"shares"},{"title":"Twin Stars: Rates and Currency Risk","url":"/papers/ssrn/5066288/","summary":"Rates and Currency Risk: The currency risk premium links the neutral interest rates of two countries, with global interest rates showing strong correlations across foreign countries.","featured":"2025-01-01","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":8,"scale":"shares"},{"title":"Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing","url":"/papers/arxiv/2312.07614/","summary":"A study using the DICE model with variable discount rates shows that current climate change mitigation cost decisions lead to intergenerational inequality, suggesting a revised optimization for better fairness.","featured":"2025-01-01","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":8,"scale":"shares"},{"title":"Monetary Policy Impact","url":"/papers/ssrn/5060006/","summary":"The study reveals that companies with access to big data adjust their capital investment more in response to monetary policy shocks, especially if the data feedback loop is strong.","featured":"2024-12-18","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":6,"scale":"shares"},{"title":"FX Dealer Constraints and External Imbalances","url":"/papers/ssrn/5059440/","summary":"The study examines the theory that changes in a country's external capital dependence can reprice currencies, using a new intermediary constraints index.","featured":"2024-12-18","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":13,"scale":"shares"},{"title":"Predicting Stock Market Crises","url":"/papers/repec/gam-jjrfmx-v-17-y-2024-i-12-p-554-d-1540423/","summary":"Extreme gradient boosting (XGBoost) is the best machine learning algorithm for predicting African stock market crises, with historical stock prices and exchange rates as key predictors.","featured":"2024-12-18","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":22,"scale":"shares"},{"title":"GDP Nowcast Model for India","url":"/papers/ssrn/5045024/","summary":"The article calls for a reassessment of Indian GDP nowcasting models due to COVID-19 related distortions and the influence of high-frequency indicators.","featured":"2024-12-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":14,"scale":"shares"},{"title":"Trade Partner Concentration in EU","url":"/papers/ssrn/5046307/","summary":"The study shows that global GDP growth increases export and import concentration, internal rates of return diversify exports but not imports, and European uncertainty decreases concentration of product countries’ origin/destination.","featured":"2024-12-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":5,"scale":"shares"},{"title":"Factors Influencing Bond Selling","url":"/papers/repec/eme-isetez-s1571-038620240000034006/","summary":"The sale of government retail bonds in the secondary market and the holding period are greatly influenced by their return performance compared to other investment options.","featured":"2024-12-12","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":21,"scale":"shares"},{"title":"Turkey Financial Dollarization","url":"/papers/repec/spr-qualqt-v-58-y-2024-i-6-d-10-1007-s11135-024-01911-z/","summary":"Machine learning has been used to study the effect of dollarization on Turkey's monetary policy, showing a slight impact on economic growth and a possible positive link with financial deepening.","featured":"2024-12-04","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":13,"scale":"shares"},{"title":"Real Estate Stock Inflation Resilience","url":"/papers/repec/gam-jjrfmx-v-17-y-2024-i-12-p-530-d-1527108/","summary":"The Fama-French seven-factor model effectively estimates returns on Indonesian property and real estate stocks, which can hedge inflation and interest rates.","featured":"2024-11-27","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":14,"scale":"shares"},{"title":"SafeHaven Assets in COVID-19","url":"/papers/ssrn/5013017/","summary":"The COVID-19 pandemic showed that gold, Treasury Bonds, and the Euro were effective safe haven assets in reducing risk during the equities bear market.","featured":"2024-11-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":6,"scale":"shares"},{"title":"Fiscal Policy Uncertainty and Multiplier in China","url":"/papers/ssrn/5013538/","summary":"Research indicated that fiscal policy uncertainty in China reduces the fiscal multiplier, implying that reducing this uncertainty could enhance fiscal policy effectiveness.","featured":"2024-11-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":4,"scale":"shares"},{"title":"Financial Impact of COVID-19 vs. Disasters","url":"/papers/ssrn/5013034/","summary":"A study showed that large pandemic-related losses during COVID-19 were recovered faster than in previous bear markets, with gold and Treasury bonds offering some relief for equity investors.","featured":"2024-11-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Disaster Risk, Inequality, Fiscal Sustainability","url":"/papers/ssrn/5012550/","summary":"The paper examines the impact of climate change on budget sustainability and inequality, suggesting that climate-related disaster risks increase government debt and inequality, especially among low-income households.","featured":"2024-11-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Macroeconomic Belief Distortions","url":"/papers/ssrn/5006789/","summary":"An economic belief indicator, developed using a data-rich environment and machine learning, corrects macroeconomic expectation errors and predicts bond returns.","featured":"2024-11-06","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Testing $\\Alpha$-Attractor Inflation","url":"/papers/ssrn/4989939/","summary":"The research explores alpha-attractor quintessential inflation, finding it provides a better fit than Lambda-CDM based on various cosmic measurements.","featured":"2024-11-06","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":5,"scale":"shares"},{"title":"Public Debt's Impact on Welfare","url":"/papers/repec/eee-finlet-v-69-y-2024-i-pa-s1544612324011930/","summary":"A model was used to study the effect of public debt on macroeconomic equilibrium and wealth distribution, revealing that income channel has the most significant impact on welfare changes due to public debt.","featured":"2024-11-06","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":17,"scale":"shares"},{"title":"FX Interventions and USD/MXN Exchange Rate","url":"/papers/ssrn/4992672/","summary":"The Bank of Mexico's 2017 domestic nondeliverable forwards (DNDF) policy successfully reduced depreciation pressure and volatility of the USDMXN exchange rate, strengthening the Mexican Peso.","featured":"2024-10-23","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Cross-Currency Basis Swaps Referencing Backward-Looking Rates","url":"/papers/arxiv/2410.08477/","summary":"The article discusses the pricing and hedging methods for financial products linked to the SOFR and AONIA, which have replaced LIBOR as the main benchmark rate for borrowing costs.","featured":"2024-10-23","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":4,"scale":"shares"},{"title":"Green Bond Cost Optimization","url":"/papers/repec/wly-jforec-v-43-y-2024-i-7-p-2607-2634/","summary":"The research creates a multi-stage stochastic model to predict the issuance of green bonds, determining that the model effectively identifies the most cost-effective conditions for issuing these bonds considering various risk factors.","featured":"2024-10-23","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":10,"scale":"shares"},{"title":"Macroeconomic Predictability","url":"/papers/ssrn/4988114/","summary":"The research investigates if macroeconomic factors and policy interest rates can benefit a risk-averse investor diversifying her wealth in different hedge fund strategies.","featured":"2024-10-17","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":5,"scale":"shares"},{"title":"MA Outcomes Prediction","url":"/papers/ssrn/4987268/","summary":"Machine learning can predict the success of mergers and acquisitions using accounting and macroeconomic data, but not immediate post-deal earnings.","featured":"2024-10-17","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Does Futures Market Information Improve Macroeconomic Forecasting: Evidence from China","url":"/papers/ssrn/4989500/","summary":"A Chinese study reveals that commodity futures data significantly enhances the precision of macroeconomic predictions, especially for the Producer Price Index (PPI).","featured":"2024-10-17","label":"SSRN","topic":"Macro-Finance & Rates","cites":1,"score":3,"scale":"shares"},{"title":"Forecasting Macroeconomic Dynamics using a Calibrated Data-Driven Agent-based Model","url":"/papers/arxiv/2409.18760/","summary":"A new economic model, featuring housing markets and synthetic populations, has been created for all 38 OECD countries, surpassing previous models and providing a basis for future research.","featured":"2024-10-03","label":"arXiv","topic":"Macro-Finance & Rates","cites":10,"score":3,"scale":"shares"},{"title":"Bottom-up Inflation Forecast","url":"/papers/repec/bkr-journl-v-83-y-2024-i-3-p-23-44/","summary":"Machine learning methods, especially the bottom-up approach, can accurately forecast CPI inflation, as shown with Russian data.","featured":"2024-10-03","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":27,"scale":"shares"},{"title":"Machine Learning for Forecasting Recessions","url":"/papers/repec/zbw-dicedp-303050/","summary":"The study uses machine learning to predict German business cycles, showing fewer indicators are needed to model recessions and these models are effective during quantitative easing periods.","featured":"2024-10-03","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":23,"scale":"shares"},{"title":"Topological components in a community currency network","url":"/papers/arxiv/2409.13674/","summary":"Analysis of Kenya's Sarafu token network data shows the significance of cycles in economic networks and potential system misuse by some users.","featured":"2024-09-25","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":2,"scale":"shares"},{"title":"Nowcasting GDP with Payments","url":"/papers/ssrn/4956446/","summary":"The study uses high frequency payment systems data to predict Nigeria's GDP, finding the Mixed Frequency VAR model to be the most precise, with promising results also from the Mixed Data Sampling models combined with principal component analysis.","featured":"2024-09-18","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Deep Learning for Multi-Country GDP Prediction: A Study of Model Performance and Data Impact","url":"/papers/arxiv/2409.02551/","summary":"A study on predicting GDP growth in various countries using deep learning algorithms reveals that linear regression outperforms when only GDP growth values are considered, but deep learning excels when specific economic indicators are included, and light intensity data doesn't necessarily enhance prediction accuracy.","featured":"2024-09-10","label":"arXiv","topic":"Macro-Finance & Rates","cites":4,"score":7,"scale":"shares"},{"title":"Risky Sovereign Bond Holdings","url":"/papers/ssrn/4945893/","summary":"Banks in vulnerable euro area countries hold a significant amount of high-yielding sovereign debt, with variations in bank funding costs explaining the differing risk appetites for riskier government bonds over bonds issued by core countries or EU supranational entities.","featured":"2024-09-05","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":4,"scale":"shares"},{"title":"Machine Learning for Yield Curve","url":"/papers/ssrn/4934442/","summary":"A unique tree-growing algorithm can detect regime-shifting patterns in the yield curve, providing easy economic interpretation and computation, with macroeconomic variables predicting the yield curve when the short rate is high.","featured":"2024-08-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Interest Rates & Corporate Investment","url":"/papers/ssrn/4934071/","summary":"The research links interest rates and climate change uncertainty, stating that climate uncertainty reduces corporate investment, but this effect decreases as climate change awareness increases.","featured":"2024-08-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"IMF Arrangements","url":"/papers/ssrn/4932630/","summary":"Research on 56 frontier and emerging markets reveals that global financial conditions and debt-to-GDP ratio significantly influence access to international capital markets, with IMF reforms playing a key role.","featured":"2024-08-21","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Money Laundering: Consequences","url":"/papers/repec/eme-jmlcpp-jmlc-09-2022-0139/","summary":"Consequences: The research suggests that 1.23% of global GDP is laundered annually, negatively impacting economic and financial indicators, except inflation rates.","featured":"2024-08-21","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":10,"scale":"shares"},{"title":"Boosting Corporate Bond Earnings","url":"/papers/ssrn/4925181/","summary":"Insurers are increasing corporate bond investments and reducing equity and cash holdings to enhance earnings, especially when parent companies barely meet or exceed quarterly earnings forecasts.","featured":"2024-08-15","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Has the Recession Started?","url":"/papers/arxiv/2408.05856/","summary":"A new recession indicator using job vacancy and unemployment data suggests a 40% chance the US is currently in a recession, improving on the existing Sahm rule.","featured":"2024-08-15","label":"arXiv","topic":"Macro-Finance & Rates","cites":4,"score":16,"scale":"shares"},{"title":"Yield Curve Forecasting Poland","url":"/papers/repec/nbp-nbpbik-v-56-y-2024-i-4-p-459-478/","summary":"The article discusses the use of PCA and LSTM machine learning methods for predicting Poland's yield curve, with LSTM providing the most accurate results.","featured":"2024-08-15","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":16,"scale":"shares"},{"title":"Machine Learning-based Relative Valuation of Municipal Bonds","url":"/papers/arxiv/2408.02273/","summary":"A data-driven model using the CatBoost algorithm is introduced to create a supervised similarity framework for the muni bond market, outperforming both rule-based and heuristic-based methods.","featured":"2024-08-07","label":"arXiv","topic":"Macro-Finance & Rates","cites":3,"score":5,"scale":"shares"},{"title":"Macroeconomic Impact of AI","url":"/papers/repec/igg-jsem00-v-11-y-2022-i-1-p-1-43/","summary":"The paper studies the effects of AI and digitalization on the macroeconomics of EU countries, including Romania, using correlation analysis and interdependence studies.","featured":"2024-08-07","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":1,"scale":"shares"},{"title":"Monetary Policy Uncertainty","url":"/papers/ssrn/4908063/","summary":"The study investigates the effect of monetary policy uncertainty on mutual fund flows and fund managers' ability to generate positive alpha risk-adjusted returns during Federal Open Market Committee meetings.","featured":"2024-07-31","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Kenfo's Long-Term Liabilities","url":"/papers/ssrn/4910865/","summary":"Long-term projections suggest that the German nuclear waste fund Kenfo can meet its liabilities until 2100 with 90% certainty, even under stress, and shifting more bonds to private equity can increase safety.","featured":"2024-07-31","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"The Software Complexity of Nations","url":"/papers/arxiv/2407.13880/","summary":"The article uses data on programming languages in open-source projects to estimate a country's software economic complexity, demonstrating its relevance to international differences in GDP per capita, income inequality, and emissions.","featured":"2024-07-24","label":"arXiv","topic":"Macro-Finance & Rates","cites":11,"score":3,"scale":"shares"},{"title":"Estimating Mean Reversions in Interest Rates","url":"/papers/ssrn/4897350/","summary":"The article introduces a new method for calculating the rate at which interest rates return to their average in multifactor HJM models, important for pricing derivatives.","featured":"2024-07-17","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":6,"scale":"shares"},{"title":"Performance of Multi-Asset Funds During Crises","url":"/papers/repec/kap-empiri-v-51-y-2024-i-3-d-10-1007-s10663-024-09614-2/","summary":"The paper studies the performance of multi-asset funds investing internationally, finding that these funds underperformed from 2004 to 2021, but performed better during market crises, with bond-focused funds doing better in non-crisis periods and equity-focused funds doing better during crises.","featured":"2024-07-17","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":22,"scale":"shares"},{"title":"Incomplete Equilibrium Model for Bond Investments","url":"/papers/ssrn/4887743/","summary":"The paper presents a multiagent equilibrium model with discrete cash flow in an incomplete market, deriving the equilibrium interest rate and market price of risk for government bonds.","featured":"2024-07-10","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Navigating External Shocks: Capital Flow Responses and Policy Effectiveness in Turbulent Times","url":"/papers/ssrn/4887978/","summary":"In emerging economies with limited foreign exchange markets, a mix of monetary policy and foreign exchange intervention can stabilize the economy, as demonstrated in Korea.","featured":"2024-07-10","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":2,"scale":"shares"},{"title":"Machine Learning for Economic Forecasting: An Application to China's GDP Growth","url":"/papers/arxiv/2407.03595/","summary":"Machine learning models are more accurate than traditional methods or expert forecasts in predicting China's quarterly GDP growth, especially during stable economic periods.","featured":"2024-07-10","label":"arXiv","topic":"Macro-Finance & Rates","cites":9,"score":5,"scale":"shares"},{"title":"Macroeconomic Time Series Unit Roots","url":"/papers/repec/kap-compec-v-63-y-2024-i-6-d-10-1007-s10614-023-10397-0/","summary":"Machine Learning methods are more effective than Classical Bayesian methods in predicting unit root in univariate time-series models, particularly when there is class imbalance.","featured":"2024-07-10","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":14,"scale":"shares"},{"title":"Currency Risk Pricing","url":"/papers/repec/bla-jfinan-v-78-y-2023-i-2-p-693-730/","summary":"The study uses various signals to build an efficient currency portfolio, finding that a majority of risk in these assets does not impact their risk premiums.","featured":"2024-07-10","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":21,"scale":"shares"},{"title":"Non-Linearities in International Spillovers of the ECB$^\\prime$s Monetary Policy. The Case of Non-ERM II Countries and Anti-Fragmentation Policy","url":"/papers/arxiv/2406.19938/","summary":"The research explores the effects of the European Central Bank's Anti-Fragmentation Policy on non-ERM II, EU countries, finding significant evidence of non-linearities in the international spillovers of ECB policy.","featured":"2024-07-03","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":2,"scale":"shares"},{"title":"Machine Learning for GDP","url":"/papers/repec/snb-snbwpa-2024-06/","summary":"Ridge, elastic net, and SVR machine learning algorithms are the most effective for nowcasting GDP, outperforming other methods by up to 28% in out-of-sample RMSE.","featured":"2024-06-20","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":21,"scale":"shares"},{"title":"Outages in Sovereign Bond Markets","url":"/papers/ssrn/4860755/","summary":"Market disruptions in the euro area futures market result in reduced trading activity, liquidity shortages, and price deviations, with dealers pulling out and clients trading amongst themselves, leading to significant mispricing.","featured":"2024-06-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":2,"score":3,"scale":"shares"},{"title":"Inflation Forecasting in Emerging Economies","url":"/papers/repec/eee-finana-v-94-y-2024-i-c-s1057521924001704/","summary":"The study combines traditional forecasting and machine learning to predict inflation in an emerging economy, with machine learning proving more effective, especially when foreign exchange reserves are included.","featured":"2024-06-12","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":26,"scale":"shares"},{"title":"Implied Covariance Term Structure","url":"/papers/ssrn/4852018/","summary":"The note explains Rolloos' approximation for the covariance between an asset and its realised volatility, a tool that can help monitor the term structure of implied asset-realised volatility covariance and guide trading decisions.","featured":"2024-06-05","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":4,"scale":"shares"},{"title":"Monetary Policy Effects","url":"/papers/ssrn/4851701/","summary":"Monetary policy impacts sector-specific credit card spending unevenly, decreasing spending in some areas while increasing it in others.","featured":"2024-06-05","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Inflation, Capital Structure, and Firm Value","url":"/papers/ssrn/4849543/","summary":"Companies with higher financial leverage see larger stock returns following a positive inflation surprise, as per a study of nonfinancial Eurozone firms from 2020-2022.","featured":"2024-06-05","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Unconventionally green","url":"/papers/ssrn/4849959/","summary":"The study evaluates the impact of the ECB's Pandemic Emergency Purchase Programme (PEPP), revealing it significantly lowered the yield on eligible green-labelled bonds, indicating such programmes can boost climate-friendly investments.","featured":"2024-06-05","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":2,"scale":"shares"},{"title":"Effect of Interest Payments on External Debt on Economic Growth in Kenya","url":"/papers/arxiv/2405.16193/","summary":"A study on Kenya's economy from 1991-2015 shows that high-interest external debt negatively impacts GDP growth, suggesting future borrowings should be at lower interest rates.","featured":"2024-05-28","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":2,"scale":"shares"},{"title":"ML for Trade Direction in Corporate Bonds","url":"/papers/repec/kap-rqfnac-v-63-y-2024-i-1-d-10-1007-s11156-024-01252-w/","summary":"Machine learning can enhance trade direction classification in corporate bond markets, with trade timing and information environment impacting the accuracy of existing rules.","featured":"2024-05-28","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":22,"scale":"shares"},{"title":"Downside Risk and Its Drivers in China’s Securities Markets: Does Greenness Make Bonds A Safer Haven?","url":"/papers/ssrn/4836928/","summary":"The paper presents a new risk assessment model for financial markets, demonstrating that green bond markets are riskier than non-green ones using Chinese data.","featured":"2024-05-22","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":3,"scale":"shares"},{"title":"Term Spreads and Recessions","url":"/papers/ssrn/4836614/","summary":"Research shows that credit market sentiment affects the real economy through the term premium, with term spreads predicting recessions and affecting future growth.","featured":"2024-05-22","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":13,"scale":"shares"},{"title":"Cultural Bonds","url":"/papers/ssrn/4836119/","summary":"Cultural differences, particularly between Italian and Germanic origins, significantly affect investment in government bonds, especially during the European sovereign debt crisis.","featured":"2024-05-22","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":5,"scale":"shares"},{"title":"Multi-Currency Modeling","url":"/papers/repec/spr-annopr-v-336-y-2024-i-1-d-10-1007-s10479-022-04982-z/","summary":"A new framework for modeling multiple currencies using CBI-time-changed Lévy processes has been created, offering a semi-closed pricing formula for currency options and two calibration methods using deep-learning techniques.","featured":"2024-05-22","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":10,"scale":"shares"},{"title":"Bayesian Inflation Uncertainty","url":"/papers/ssrn/4826538/","summary":"Using a Bayesian framework, the study finds that trade openness, COVID-19, and the Ukraine crisis increase inflation volatility in G20 countries.","featured":"2024-05-15","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Corporate Bond IPO Underpricing","url":"/papers/ssrn/4825082/","summary":"Bond IPO underpricing is common and rises during times of market uncertainty, suggesting underwriters struggle to estimate asset value in volatile periods.","featured":"2024-05-15","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Reserve Currency","url":"/papers/ssrn/4826060/","summary":"The article suggests a model that links global recessions to increased demand for U.S. safe bonds, strengthening the dollar and boosting U.S. wealth and consumption.","featured":"2024-05-15","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Stock-Bond Correlation: Theory & Empirical Results","url":"/papers/ssrn/4823094/","summary":"The study discusses the significance of stock-bond correlation modeling in portfolio allocation, emphasizing the current preference for negative correlation due to its risk reduction during equity market distress.","featured":"2024-05-15","label":"SSRN","topic":"Macro-Finance & Rates","cites":2,"score":3,"scale":"shares"},{"title":"Urban GDP Growth Forecasting in South Sudan","url":"/papers/repec/eee-tefoso-v-203-y-2024-i-c-s0040162524001951/","summary":"A machine learning model using remote sensing data can predict future urban light patterns in South Sudan, which can be used to estimate urban GDP growth.","featured":"2024-05-15","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":19,"scale":"shares"},{"title":"Factors Affecting Gold Prices in Malaysia","url":"/papers/repec/rnd-arimbr-v-15-y-2023-i-3-p-195-205/","summary":"The research investigates the factors affecting gold prices in Malaysia, including GDP, inflation rate, interest rate, unemployment rate, and exchange rate.","featured":"2024-05-01","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":7,"scale":"shares"},{"title":"Big Data Fan Charts","url":"/papers/repec/eee-finlet-v-61-y-2024-i-c-s1544612324000333/","summary":"The article suggests using machine learning to create big data-driven macroeconomic fan charts for better public policy decision-making.","featured":"2024-04-24","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":16,"scale":"shares"},{"title":"International CPI Inflation Comovement Strengthened","url":"/papers/repec/cup-macdyn-v-27-y-2023-i-1-p-111-140-6/","summary":"A study finds a structural break in international CPI inflation comovement in 2008, based on data from 29 countries from 2001 to 2018.","featured":"2024-04-24","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":6,"scale":"shares"},{"title":"Machine Learning for CAT Bond Pricing","url":"/papers/ssrn/4789671/","summary":"The study introduces a machine learning approach for pricing catastrophe bonds, offering more accuracy and robustness than conventional methods, and highlighting key nonlinear relationships between risk factors and bond spreads.","featured":"2024-04-10","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Multi-Country Macroeconomic Monitoring","url":"/papers/ssrn/4784283/","summary":"A new model accounting for differences across countries and macroeconomic time series effectively assesses the impact of global shocks on country-level macroeconomic risks.","featured":"2024-04-10","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence","url":"/papers/arxiv/2404.04105/","summary":"The study finds that while US output growth rate predictions are generally unbiased, the use of judgment does not necessarily improve their accuracy.","featured":"2024-04-10","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":2,"scale":"shares"},{"title":"Revisiting elastic string models of forward interest rates","url":"/papers/arxiv/2403.18126/","summary":"A revised model of the forward interest rate curve, considering market forces and return correlation, accurately replicates the curve's correlation structure from 1994-2023 with less than 2% error, confirming that perceived time in interest rate markets is a sub-linear function of real time.","featured":"2024-04-03","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":3,"scale":"shares"},{"title":"Forecasting China’s Inflation Rate: Evidence from Machine Learning Methods","url":"/papers/ssrn/4781171/","summary":"Eight machine learning models, notably the gradient boost decision tree and forecast combination model, excel in predicting China's inflation rate over the autoregressive benchmark.","featured":"2024-04-03","label":"SSRN","topic":"Macro-Finance & Rates","cites":1,"score":4,"scale":"shares"},{"title":"False Discoveries in Currency Analysis","url":"/papers/ssrn/4781905/","summary":"A new method, robust to data dependence and estimation errors, is developed to assess predictive models' performance, when applied to currency technical trading rules, it yields a Sharpe ratio around one for about 50 years.","featured":"2024-04-03","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Complex economics of simple periodic systems","url":"/papers/arxiv/2403.08678/","summary":"The research challenges the belief that profit rate and return rate on equity depend on divestments, capitalization path, and market interest rate, respectively, in periodic growth processes.","featured":"2024-03-20","label":"arXiv","topic":"Macro-Finance & Rates","cites":3,"score":4,"scale":"shares"},{"title":"Predicting Individual Corporate Bond Returns","url":"/papers/ssrn/4753422/","summary":"Machine learning, particularly Random Forest, shows strong evidence of return predictability and investment gains for individual corporate bonds, especially in private bonds.","featured":"2024-03-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":3,"scale":"shares"},{"title":"Corporate Bond Valuation Factors","url":"/papers/ssrn/4751242/","summary":"Corporate bond credit spreads are affected by default risk and convenience services, with the European Central Bank's corporate quantitative easing programs significantly impacting corporate bonds' convenience yields.","featured":"2024-03-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"A unifying approach for the pricing of debt securities","url":"/papers/arxiv/2403.06303/","summary":"A new framework for pricing debt securities under varying short-rate diffusion processes has been proposed, including an efficient algorithm for pricing callable/putable debts and convertible bonds, and aligns perfectly with the current market interest rates.","featured":"2024-03-13","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":4,"scale":"shares"},{"title":"Testing Business Cycle Theories: Evidence from the Great Recession","url":"/papers/arxiv/2403.04104/","summary":"Credit Expansion and Business Cycles: The study reveals that the 1999-2010 U.S. business cycle was primarily driven by credit expansion in private-label mortgages, leading to a significant boom and bust in housing-related industries. This contradicts several previous theories about the cycle's cause.","featured":"2024-03-13","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":2,"scale":"shares"},{"title":"Inflation Model","url":"/papers/ssrn/4742904/","summary":"The article presents a new model for predicting inflation volatility, claiming superior performance over traditional methods.","featured":"2024-03-06","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":20,"scale":"shares"},{"title":"Corporate Refinancing and Bond Returns","url":"/papers/ssrn/4749327/","summary":"The paper reveals that the urgency of refinancing maturing debt can increase future corporate bond returns, particularly during periods of high default and liquidity risk.","featured":"2024-03-06","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Central Clearing and Interest Rate Swap Spreads","url":"/papers/ssrn/4728232/","summary":"The study investigates how the determinants of interest rate swap spreads have changed since the implementation of Title VII of the Dodd-Frank Act of 2010, finding that increases in swap volatility correspond to a tightening of swap spreads and that the Treasury liquidity premium no longer significantly influences swap spreads after the implementation of SEF trading.","featured":"2024-02-21","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Euro Area Sovereign Bond Market Resiliency","url":"/papers/repec/eee-intfin-v-90-y-2024-i-c-s1042443123001609/","summary":"The research examines the resilience of the euro area sovereign bond market, finding a negative correlation with spreads and a positive correlation with depths.","featured":"2024-02-21","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":12,"scale":"shares"},{"title":"Beyond Carry: The Prospective Interest Rate Differential and Currency Excess Returns","url":"/papers/ssrn/4721897/","summary":"The study reveals that the prospective interest rate differential is a better predictor of currency excess returns than carry, explaining returns of various currency portfolios.","featured":"2024-02-14","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":3,"scale":"shares"},{"title":"The American put with finite‐time maturity and stochastic interest rate","url":"/papers/arxiv/2104.08502/","summary":"The paper investigates the pricing of American put options in the Black and Scholes market with a stochastic interest rate, proving the existence of an optimal exercise boundary and providing a numerical study of the option price.","featured":"2024-02-07","label":"arXiv","topic":"Macro-Finance & Rates","cites":9,"score":24,"scale":"shares"},{"title":"Uncertainty and Exchange Rates","url":"/papers/repec/eme-sefpps-sef-12-2022-0579/","summary":"Research shows that economic policy and global financial market uncertainties increase exchange rate volatility, while US monetary policy uncertainty reduces it.","featured":"2024-02-07","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":29,"scale":"shares"},{"title":"Cash non-additive risk measures: horizon risk and generalized entropy","url":"/papers/arxiv/2401.14443/","summary":"Horizon Risk & Generalized Entropy: A new risk measure based on generalized Tsallis entropy is introduced, which can dynamically assess the risk of losses considering both horizon risk and interest rate uncertainty, and can be used to quantify capital requirement.","featured":"2024-01-30","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":7,"scale":"shares"},{"title":"Futures Markets' Impact on Currency Variance Forecasts in Asian Markets","url":"/papers/ssrn/4704913/","summary":"The volatility of currency markets has become harder to predict with the introduction of futures, with machine learning models performing better than GARCH models, and simple historical volatility forecasts surpassing both.","featured":"2024-01-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"ECB's PEPP Program and Corporate Bond Market Crisis","url":"/papers/ssrn/4701825/","summary":"The study evaluates the effectiveness of the ECB's QE program in mitigating the financial crisis in the European corporate bond market post-COVID-19, finding it reduced credit spreads but didn't improve liquidity.","featured":"2024-01-23","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"USD Bonds: Exchange Rate Risk and Foreign Discount","url":"/papers/ssrn/4700242/","summary":"Exchange Rate Risk and Foreign Discount: The research explores the impact of differential exchange rate risk on pricing disparities in U.S. dollar bonds, emphasizing the significant role of exchange rate risk in bond pricing and its transmission mechanisms.","featured":"2024-01-23","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":195,"scale":"shares"},{"title":"The geometry of multi-curve interest rate models","url":"/papers/arxiv/2401.11619/","summary":"The research investigates the stability and existence of finite-dimensional realizations in multi-curve interest rate models, using a three-curve Hull-White model for analysis.","featured":"2024-01-23","label":"arXiv","topic":"Macro-Finance & Rates","cites":5,"score":6,"scale":"shares"},{"title":"Macroeconomic Factors and Financing Strategies in Working Capital","url":"/papers/repec/wly-ijfiec-v-29-y-2024-i-1-p-35-57/","summary":"A study reveals a complex relationship between working capital finance and firm performance, influenced by macroeconomic indicators, which became linear and negative during the 2008-2010 financial crisis.","featured":"2024-01-23","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":11,"scale":"shares"},{"title":"Bond Market Fragility and Large Funds","url":"/papers/ssrn/4673873/","summary":"The study shows that large fund trades stabilize the corporate bond market but can introduce fragility during illiquid markets, with bond return volatility and fund size inversely related.","featured":"2024-01-03","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Inflation Forecasting with Economic Narratives","url":"/papers/ssrn/4666638/","summary":"The research finds that economic narratives from Wall Street Journal articles and machine learning algorithms can accurately predict inflation, particularly during economic downturns.","featured":"2023-12-20","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Estimating Prices and Yields for Equity Term Structures","url":"/papers/ssrn/4657486/","summary":"The study estimates equity yields using a detailed model of equity prices and dividends, expanding equity term-structure data over time and across different portfolios, offering new empirical data for asset pricing models.","featured":"2023-12-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":1502,"scale":"shares"},{"title":"Euro Area Corporate Bond Service Flows","url":"/papers/ssrn/4656963/","summary":"The article examines the euro area corporate bond market, showing variations in convenience yields across sectors, with the highest yield in the ECB's portfolio after corporate quantitative easing.","featured":"2023-12-13","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":6,"scale":"shares"},{"title":"Bond Selection","url":"/papers/repec/wsi-wschap-9789811272578-0007/","summary":"The chapter discusses the challenges of bond selection and the use of traditional optimization techniques, highlighting the need for thorough analysis in portfolio construction.","featured":"2023-12-06","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":20,"scale":"shares"},{"title":"Asset Returns in India: A Historical Survey, 2023 Inflation's Shadow","url":"/papers/ssrn/4641106/","summary":"Historical Survey 1992-2023: The paper examines the historical returns of different asset classes in India from 1992 to 2023, highlighting the need to understand dynamic correlations among these assets for effective portfolio management.","featured":"2023-11-29","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":12,"scale":"shares"},{"title":"Yield Curve Attribution for Global Bonds","url":"/papers/repec/wsi-wschap-9789811272578-0012/","summary":"The chapter outlines a yield curve-based method for attributing performance in global bond portfolios, emphasizing the need for accurate data and pricing.","featured":"2023-11-29","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":16,"scale":"shares"},{"title":"Strategic Investors and Exchange Rate Dynamics","url":"/papers/ssrn/4621461/","summary":"A study shows that exchange rate dynamics are affected by the diversity of investors and their price impact, with more concentrated markets having a stronger price impact.","featured":"2023-11-08","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Investor Risk Appetite and High-Beta Stock Valuation Analysis","url":"/papers/ssrn/4623331/","summary":"The study reveals a pattern in high-beta stock returns around macroeconomic announcements, indicating that investor risk appetite significantly influences these returns.","featured":"2023-11-08","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Explainable AI Reveals Bond Excess Return Determinants","url":"/papers/repec/spr-jbecon-v-93-y-2023-i-9-d-10-1007-s11573-023-01149-5/","summary":"The SHapley Additive exPlanations technique is used in a paper to identify key factors influencing bond excess return predictions made by machine learning models.","featured":"2023-11-02","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":21,"scale":"shares"},{"title":"Does Heterogeneity in Risk Aversion Imply a Downward-Sloping Equity Term Structure?","url":"/papers/ssrn/4608133/","summary":"The study explores a two-agent model's ability to explain equity term structure, suggesting more research is needed to align preference-heterogeneous agent models in asset pricing with empirical evidence.","featured":"2023-10-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":2,"scale":"shares"},{"title":"Forecasting Inflation Spikes with Machine Learning","url":"/papers/ssrn/4610424/","summary":"A study using machine learning predicts spikes in the U.S. inflation rate with an accuracy of 87.27%.","featured":"2023-10-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":1,"score":2,"scale":"shares"},{"title":"Sustainability Bonds & Market Reaction","url":"/papers/ssrn/4608606/","summary":"The research finds that the market reaction to sustainability bonds is stronger than traditional bonds and that ESG scores significantly affect corporate performance.","featured":"2023-10-25","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"HighFrequency Alternative Data for Japan's GDP Nowcasts","url":"/papers/repec/spr-jbuscr-v-19-y-2023-i-2-d-10-1007-s41549-023-00085-1/","summary":"The study reveals that credit card data can enhance the accuracy of real-time nowcasting of Japan's GDP, particularly in the early stages of forecasting when traditional data is unavailable.","featured":"2023-10-18","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":15,"scale":"shares"},{"title":"Inflation Rates Forecast: Micro-Level Data Approach","url":"/papers/ssrn/4594444/","summary":"Micro-Level Data Approach: The paper introduces a microeconometric approach to inflation forecasting using individual stock prices and machine learning, which is more accurate than traditional aggregate data methods.","featured":"2023-10-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Bottom-Up Approach to Equity Yield Term Structure","url":"/papers/ssrn/4598202/","summary":"The article offers a new approach to understanding the term structure of market equity yields, showing a positive aggregation effect when using aggregated equity yields of individual firms to estimate the market equity yield curve.","featured":"2023-10-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Bond Fund Industry Concentration and Market Fragility","url":"/papers/ssrn/4594337/","summary":"The article investigates the corporate bond fund industry, concluding that while large funds stabilize the corporate bond market, they also increase the risk to underlying bonds in illiquid markets.","featured":"2023-10-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Empirical Analysis of the Impact of Legal Tender Digital Currency on Monetary Policy -Based on China's Data","url":"/papers/arxiv/2310.07326/","summary":"The paper suggests that China should develop a more effective monetary policy while promoting Central bank digital currencies, examining their impact on China's monetary policy and money supply multiplier.","featured":"2023-10-12","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":4,"scale":"shares"},{"title":"Local-Currency Bond Markets in Emerging Economies and Foreign Investors","url":"/papers/ssrn/4586788/","summary":"When global risk aversion rises, foreign mutual funds increase net sales of Indonesian Rupiah bonds, causing the IDR to depreciate against the US dollar and increasing bond market volatility.","featured":"2023-10-04","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"Corporate Bond Factors: Replication Failures and a New Framework","url":"/papers/ssrn/4586652/","summary":"The study criticizes inconsistent methodologies in corporate bond factors literature, suggesting a robust factor construction and a clean database for corporate bond returns.","featured":"2023-10-04","label":"SSRN","topic":"Macro-Finance & Rates","cites":16,"score":20,"scale":"shares"},{"title":"A systematic review of early warning systems in finance","url":"/papers/arxiv/2310.00490/","summary":"The bibliometric review studies the research on early warning systems in finance, emphasizing the shift towards machine learning methods and the importance of using both macroeconomic and microeconomic data for better predictive accuracy.","featured":"2023-10-04","label":"arXiv","topic":"Macro-Finance & Rates","cites":17,"score":4,"scale":"shares"},{"title":"Handling missing data in Burundian sovereign bond market","url":"/papers/arxiv/2309.17379/","summary":"The Linear Regression method is suggested for handling missing data in the Burundian sovereign bond market, aiding in the development of financial products and trading strategies in Burundi.","featured":"2023-10-04","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":3,"scale":"shares"},{"title":"The Time-Interlaced Self-Consistent Master System of Heterogeneous-Agent Models","url":"/papers/arxiv/2303.12567/","summary":"The paper questions the standard approach to achieving constant equilibrium in macroeconomic models, suggesting a new method that allows simultaneous adjustment of prices, policy, and population distribution.","featured":"2023-10-04","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":40,"scale":"shares"},{"title":"Public Asset Purchases and Private Risk Sharing","url":"/papers/ssrn/4580286/","summary":"Government interventions that increase interest rates enhance risk sharing efficiency, while those that lower rates promote inefficient risk-taking, a study suggests.","featured":"2023-09-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Corporate Bond Funds and Underpriced New Issues","url":"/papers/ssrn/4582729/","summary":"From 2002-2019, active investment-grade corporate bond mutual funds saw significant positive returns, largely due to underpriced new bond offerings to funds with strong underwriting relationships.","featured":"2023-09-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":121,"scale":"shares"},{"title":"The Past, Present, and Future of Low-Risk Corporate Bonds","url":"/papers/ssrn/4574834/","summary":"The research indicates that low-risk corporate bonds yield high returns due to leverage-constrained investors 'reaching for yield', and presents new systematic volatility measures for all bonds.","featured":"2023-09-21","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":3,"scale":"shares"},{"title":"Geopolitical Risk in Green and Conventional Bonds","url":"/papers/ssrn/4566554/","summary":"Green bonds are significantly influenced by geopolitical risk and are also affected by sovereign and corporate bonds, indicating they behave differently from conventional bonds, especially during high volatility periods.","featured":"2023-09-14","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":3,"scale":"shares"},{"title":"A New Framework to Estimate Return on Investment for Player Salaries in the National Basketball Association","url":"/papers/arxiv/2309.05783/","summary":"The article introduces a new method for estimating the return on investment for NBA player contracts, using a game contribution percentage measure and a standard currency conversion calculation.","featured":"2023-09-14","label":"arXiv","topic":"Macro-Finance & Rates","cites":2,"score":5,"scale":"shares"},{"title":"Corporate Bond Pricing: Implications of Institutional Demand","url":"/papers/ssrn/4550658/","summary":"Implications of Institutional Demand: The research indicates that corporate bond pricing is significantly affected by institutional demand, with different institutions having different preferences for maturity credit risk and liquidity.","featured":"2023-08-30","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":1744,"scale":"shares"},{"title":"Exchange Rates Forecasting with Interpretable Machine Learning","url":"/papers/repec/taf-apeclt-v-30-y-2023-i-15-p-2052-2059/","summary":"The Light Gradient Boosting Machine model has been found to be the most effective at predicting 12 exchange rates due to its ability to extract short-term information and robustness on small datasets.","featured":"2023-08-30","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":14,"scale":"shares"},{"title":"Agree to Disagree: Measuring Hidden Dissents in FOMC Meetings","url":"/papers/arxiv/2308.10131/","summary":"A deep learning model study reveals that disagreement among FOMC members is primarily driven by current or forecasted macroeconomic data, and intensifies with more aggressive monetary policy action.","featured":"2023-08-24","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":5,"scale":"shares"},{"title":"Inflation—Who Cares? Monetary Policy in Times of Low Attention","url":"/papers/arxiv/2105.05297/","summary":"Who Cares?: The decrease in public attention to inflation after the Great Inflation period in the U.S. complicates managing inflation expectations and can lead to inflation-attention traps, suggesting a need to increase the inflation target.","featured":"2023-08-17","label":"arXiv","topic":"Macro-Finance & Rates","cites":28,"score":42,"scale":"shares"},{"title":"Uncertainty Indices in Macroeconomy","url":"/papers/repec/hit-ecorev-v-72-y-2021-i-3-p-246-267/","summary":"The paper reveals significant differences in the properties of major uncertainty indices and their relationship with macroeconomic variables in the U.S. and Japan.","featured":"2023-08-17","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":17,"scale":"shares"},{"title":"Statistically consistent term structures have affine geometry","url":"/papers/arxiv/2308.02246/","summary":"The research examines finite dimensional models for energy futures' term structure, revealing that the compatibility between potential yield curves and diffusion coefficient enforces a specific geometry of possible yield curves.","featured":"2023-08-09","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":4,"scale":"shares"},{"title":"ML vs. Econometrics for Real GDP Predictions","url":"/papers/ssrn/4526942/","summary":"Machine learning algorithms are more accurate than OLS models in predicting GDP growth, but understanding economic causality requires knowledge in economics and econometrics.","featured":"2023-08-02","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"Private Activity Bonds as Investment Subsidy: Evidence from the 1986 Cap on Bond Volumes","url":"/papers/ssrn/4528286/","summary":"The research finds that increased availability of private activity bonds leads to a rise in corporate investment and employment.","featured":"2023-08-02","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":10,"scale":"shares"},{"title":"Deep Learning for Corporate Bonds","url":"/papers/ssrn/4527372/","summary":"A U.S. corporate bonds market asset pricing model shows that maximizing the Sharpe ratio performs better for individual bonds, with significant excess returns shown in out-of-sample annual SDF portfolio Sharpe ratios.","featured":"2023-08-02","label":"SSRN","topic":"Macro-Finance & Rates","cites":1,"score":7,"scale":"shares"},{"title":"Bond Fund Herding","url":"/papers/ssrn/4517569/","summary":"The study reveals that collective behavior of mutual funds, known as fund herding, can sway a company's decision to issue new bonds, particularly in uncertain times.","featured":"2023-07-26","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":69,"scale":"shares"},{"title":"Portable Alpha for Taxable Investors","url":"/papers/ssrn/4513238/","summary":"Capital efficient retail products, like a 90/60 equity/bond strategy, can effectively replace long-only equity positions and help implement portable alpha strategies for taxable investors.","featured":"2023-07-19","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":2,"scale":"shares"},{"title":"The Beginning of the Trend: Interest Rates, Profits, and Markups","url":"/papers/arxiv/2307.08968/","summary":"Research indicates that altering the start dates of economic samples by four years can significantly change profit growth trends, and high corporate profits don't necessarily lead to inflation.","featured":"2023-07-19","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":4,"scale":"shares"},{"title":"Side-by-Side Management and Bond Fund Performance","url":"/papers/ssrn/4506409/","summary":"The research reveals that bond mutual funds managed by managers with performance-based fees receive fewer fund flows and inflate their asset values, indicating potential conflicts of interest in side-by-side management.","featured":"2023-07-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":5,"scale":"shares"},{"title":"International Corporate Bond Returns Prediction with ML","url":"/papers/ssrn/4506223/","summary":"Machine learning is used to forecast global corporate bond returns, showing varying influential factors in U.S. and non-U.S. markets and different levels of bond integration among countries.","featured":"2023-07-12","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":239,"scale":"shares"},{"title":"Machine Learning for Inflation Forecasting in Brazil","url":"/papers/repec/eee-lajcba-v-4-y-2023-i-2-s2666143823000042/","summary":"The paper investigates the use of machine learning for improved inflation forecasting in Brazil, outdoing traditional econometric models and aiding in identifying crucial inflation predictors.","featured":"2023-07-12","label":"RePEc","topic":"Macro-Finance & Rates","cites":null,"score":13,"scale":"shares"},{"title":"Offshore Bonds and Maturity Diversification","url":"/papers/ssrn/4486422/","summary":"Offshore bonds can diversify the maturity structure of domestic bonds, but only within specific maturity ranges.","featured":"2023-06-28","label":"SSRN","topic":"Macro-Finance & Rates","cites":0,"score":4,"scale":"shares"},{"title":"Optimal Investment with Stochastic Interest Rates and Ambiguity","url":"/papers/arxiv/2306.13343/","summary":"Study finds investors hedge risk but not ambiguity in dynamic asset allocation.","featured":"2023-06-28","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":5,"scale":"shares"},{"title":"Sovereign Debt & Equity Returns in Disasters","url":"/papers/ssrn/4474659/","summary":"Firms with high exposure to sovereign debt have increased comovement with the market during disasters.","featured":"2023-06-14","label":"SSRN","topic":"Macro-Finance & Rates","cites":null,"score":842,"scale":"shares"},{"title":"Auctioning Corporate Bonds: A Uniform-Price under Investment Mandates","url":"/papers/arxiv/2306.07134/","summary":"Study examines how risk and budget limits affect bidding strategy in corporate bond auctions.","featured":"2023-06-14","label":"arXiv","topic":"Macro-Finance & Rates","cites":0,"score":4,"scale":"shares"},{"title":"The Shape of Business Cycles: A Cross-country Analysis of Friedman’s Plucking Theory","url":"/papers/arxiv/2306.01552/","summary":"Flexible labor markets lead to cyclical unemployment rates in line with Friedman's plucking theory. Output recoveries differ across countries and sectors, with construction-driven recessions being more persistent.","featured":"2023-06-07","label":"arXiv","topic":"Macro-Finance & Rates","cites":1,"score":2,"scale":"shares"},{"title":"Post-COVID inflation and the monetary policy dilemma: an agent-based scenario analysis","url":"/papers/arxiv/2306.01284/","summary":"A new modelling approach using the Mark-0 Agent-Based Model explores the impact of regulatory policies on inflationary dynamics resulting from COVID-19-related shocks.","featured":"2023-06-07","label":"arXiv","topic":"Macro-Finance & Rates","cites":18,"score":2,"scale":"shares"},{"title":"The disruption index is biased by citation inflation","url":"/papers/arxiv/2306.01949/","summary":"Scientific publications and patents are not becoming less disruptive over time, but rather the reported decrease in disruptiveness is due to systematic shifts in citation networks.","featured":"2023-06-07","label":"arXiv","topic":"Macro-Finance & Rates","cites":35,"score":5,"scale":"shares"},{"title":"Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature","url":"/papers/arxiv/2305.17474/","summary":"Review of literature on inflation targeting finds no convincing evidence of superior macroeconomic benefits compared to alternative strategies.","featured":"2023-06-01","label":"arXiv","topic":"Macro-Finance & Rates","cites":3,"score":2,"scale":"shares"}],"per_quarter":{"2023 Q2":8,"2023 Q3":20,"2023 Q4":22,"2024 Q1":19,"2024 Q2":27,"2024 Q3":24,"2024 Q4":24,"2025 Q1":42,"2025 Q2":46,"2025 Q3":8,"2025 Q4":13,"2026 Q1":0,"2026 Q2":0,"2026 Q3":5}}