Topic
Macro-Finance & Rates
Rates, the yield curve, monetary policy, inflation and macro-finance.
- Papers featured
- 317
- Last 12 months
- 72
- Cited 100+
- 0
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- SSRN
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Most cited
Featured papers in this topic with the most citations today.
- 7 Jun 202341cites
The disruption index is biased by citation inflation
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.
arXivIn Quantitative Science Studies
- 17 Aug 202330cites
Inflation—Who Cares? Monetary Policy in Times of Low Attention
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.
arXivIn Journal of Money, Credit and Banking
- 7 Jun 202319cites
Post-COVID inflation and the monetary policy dilemma: an agent-based scenario analysis
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.
arXivIn Journal of Economic Interaction and Coordination
- 4 Oct 202317cites
Corporate Bond Factors: Replication Failures and a New Framework
The study criticizes inconsistent methodologies in corporate bond factors literature, suggesting a robust factor construction and a clean database for corporate bond returns.
SSRN
- 4 Oct 202317cites
A systematic review of early warning systems in finance
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.
arXiv
- 24 Jul 202416cites
The Software Complexity of Nations
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.
arXivIn Research Policy
- 18 Jun 202514cites
Measuring Communication Quality of Interest Rate Announcements
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.
arXivIn The Economists’ Voice
- 26 Feb 202511cites
Assessing Price Elasticity in US Residential Electricity Consumption: A Comparison of Monthly and Annual Data with Recession Implications
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.
SSRN
- 7 Feb 202411cites
The American put with finite‐time maturity and stochastic interest rate
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.
arXivIn Mathematical Finance
- 3 Oct 202410cites
Forecasting Macroeconomic Dynamics using a Calibrated Data-Driven Agent-based Model
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.
arXiv
- 10 Jul 202410cites
Machine Learning for Economic Forecasting: An Application to China's GDP Growth
Machine learning models are more accurate than traditional methods or expert forecasts in predicting China's quarterly GDP growth, especially during stable economic periods.
arXiv
- 1 Dec 20258cites
Causes of failure of the Phillips curve: Does tranquillity of economic environment matter?
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.
arXivIn The European Journal of Applied Economics
Latest
- 6 Nov 20263fanfare
Monetary Policy Expectations of Sophisticated Investors
Fine-tuned LLM analysis of hedge fund letters reveals policy expectations that predict yield-curve moves beyond market rates and correlate with fund returns.
SSRN
- 6 Nov 20263fanfare
Monetary Policy, Expected Dividend Growth, and the Equity Risk Premium
Using equity and risk-free rate term structures, monetary policy shocks affect both expected dividend growth and equity risk premium, with effects beyond duration matching.
SSRN
- 6 Nov 20263fanfare
Exchange Rate Disconnect with Disagreeing Arbitrageurs
Models how wealth redistribution among arbitrageurs with different beliefs amplifies exchange rate volatility and generates interest-parity wedges, accounting for 62 percent of observed variance.
SSRN
- 6 Nov 20263fanfare
Commodity Prices and Sovereign Risk
Research shows trade exposure determines whether commodity-price rises reduce or increase sovereign risk, with exporters gaining from higher prices and importers facing reinforced costs.
SSRN
- 6 Nov 20262fanfare
Quantitative Tightening in Segmented Interbank Markets
Models how central banks must retain more reserves for rate control when interbank trading cannot redistribute reserves across heterogeneous banks, even if aggregate demand is sufficient.
SSRN
- 6 Nov 20262fanfare
Target and Path Surprises in Brazil: Monetary Policy Announcements, Yield Curves, and Inflation Expectations
Analysis of COPOM announcements reveals target and path surprises move the yield curve differently, with nonlinear effects and sign asymmetries in inflation expectation responses.
RePEc
- 6 Nov 20262fanfare
Financial Conditions and U.S. Macro Tail Risk
Adding financial conditions to macro forecasts raises recession tail probabilities and lowers growth quantiles, though out-of-sample forecast improvement is inconsistent.
RePEc
- 6 Nov 20262fanfare
The Investment Channel of Monetary Policy: Disentangling Firm Heterogeneity
The study estimates the full distribution of firms' investment responses to monetary policy using clustering regression, finding only 5 percent of firm-time observations show strong sensitivity.
RePEc
- 6 Nov 20262fanfare
Government Debt and the Fiscal Channels of Monetary Policy
Analytical framework shows how debt size, composition, and fiscal rules drive three channels—debt service, debt composition, and fiscal cyclicality—that amplify or dampen monetary policy effects.
RePEc
- 6 Nov 20262fanfare
Demand roars, supply whispers: Monetary policy and housing in Canada
Rate increases substantially reduce house prices and mortgage purchases, with housing starts and permits falling slowly, suggesting demand responds more sharply than supply.
RePEc
- 6 Nov 20262fanfare
Timing matters: Seasonal anomalies in interest rate pass-through
The research finds that euro-area banks transmit interest rate changes more slowly to lending rates in the fourth quarter during tightening, consistent with year-end volume targets.
RePEc
- 30 Oct 20263fanfare
Jawboning the Fed: Do Markets Listen When Administrations Talk?
Analysis of four decades of news finds dovish political pressure lowers near-term rate expectations by roughly one basis point per event, while hawkish pressure shows no effect.
arXiv
- 30 Oct 20263fanfare
Reserves or Collateral? Identifying the Source of Repo Market Pressure with Treasury Cash Flows
Treasury debt settlements, not reserve scarcity alone, explain recent repo-market pressure, with 100 billion in settlements raising the SOFR-IORB spread by 4.3 basis points.
SSRN
- 30 Oct 20264fanfare
US monetary policy spillovers through global commercial real estate
Research reveals that US quantitative easing raises global commercial real estate prices and credit, with spillback effects amplified through trade linkages and cross-border investor ownership.
RePEc
- 30 Oct 20263fanfare
A Model of U.S. Monetary Policy and the Global Financial Cycle
A general equilibrium model shows US monetary tightening erodes currency-mismatched arbitrageurs' wealth, raising global risk premia and generating spillovers to international asset prices.
RePEc
- 30 Oct 20263fanfare
Firms' Investment and the Real Transmission of the Global Financial Cycle
The study shows that rising risk premia trigger large investment contractions, especially among risky firms, through a channel linking global price of risk to financing costs via firm debt sensitivity.
RePEc
- 30 Oct 20263fanfare
It Matters Who Gets Automated: Monetary Policy in an AI Economy
A model shows monetary policy amplifies more when AI automates some workers but not others, because shielded workers' higher wages generate additional demand.
RePEc
- 30 Oct 20263fanfare
Beyond monetary policy: Macroprudential responses to inflationary shocks
Pre-emptive, countercyclical macroprudential tools strengthen banking resilience and dampen external shocks in a monetary union, while procyclical tightening worsens outcomes.
RePEc
- 30 Oct 20263fanfare
The Sovereign Constraint: Sentiment, Markets, and the Limits of Foreign Policy
A framework shows how domestic political polarization shifts both portfolio demand in sovereign bond markets and government incentives in crises, creating a sentiment-driven constraint on confrontational foreign policy.
RePEc
- 30 Oct 20263fanfare
Climate Risk Spillovers and Sovereign Financing
Global value chains transmit climate risk to sovereigns: ignoring foreign climate spillovers underestimates total risk by 30% and raises measured borrowing costs by 11 basis points.
RePEc
- 30 Oct 20262fanfare
The Power of Persistence How Demand Shocks and Monetary Policy Shape Macroeconomic Outcomes
The study shows that in New Keynesian models, more persistent demand shocks do not always boost output more; monetary policy stance determines whether permanent income or real interest rate effects dominate.
RePEc
- 23 Oct 20263fanfare
Prediction Markets as Arrow–Debreu Securities: Evidence from Polymarket: State Prices, No-Arbitrage Bounds and Macroeconomic News in Blockchain-Based Contingent Claims
State prices from binary prediction markets on the Fed decision and presidential election satisfy the law of one price for complete contingent claims, with overround declining steadily toward resolution.
SSRN
- 23 Oct 20263fanfare
Financial Innovation and the International Monetary System
Dollar-backed payment stablecoins and tokenization likely reinforce dollar dominance despite reducing transaction frictions, with multipolarity potentially increasing fragility.
RePEc
- 23 Oct 20263fanfare
Market creation without market authority: Ex-ante evidence from European emissions trading
Completing exchange and allocation authority in the EU's carbon market ETS2 cuts present-value policy costs by EUR 1.33 trillion over 2028-2048 versus partial market creation.
RePEc
- 23 Oct 20262fanfare
Beyond fragmentation: unraveling the drivers of yield divergence in the euro area
Research develops a high-frequency fragmentation index decomposing euro-area sovereign yields into common, market-driven, and fundamental components, showing Transmission Protection Instrument effectiveness.
RePEc
- 16 Oct 20263fanfare
The Deposit Channel of Quantitative Easing
The study shows deposit inflows from quantitative easing at primary dealers predict subsequent lending and employment growth in exposed counties, revealing a concentrated channel for monetary transmission.
SSRN
- 16 Oct 20263fanfare
This Time Is (Mostly) Different: U.S. Tightening Cycles and Global Resilience in the 1980s vs 2020s
The study compares monetary tightening in the 1980s and 2020s, finding that fiscal space—not exchange-rate flexibility alone—explains why emerging markets have avoided crisis this time.
RePEc
- 16 Oct 20263fanfare
Geopolitical Oil-Supply Scenarios and Macroeconomic Risks: A Bayesian Toolkit for Policy Analysis
A framework maps Middle East geopolitical risk to oil prices and inflation through scenario analysis updated in real time using market prices and expert assessments.
RePEc
- 16 Oct 20263fanfare
Financial Interdependence and Currency Internationalization
A model shows that as China's financial markets deepen, network effects allow the renminbi to compete with the dollar, triggering a discrete shift from cooperation to fragmentation.
RePEc
- 16 Oct 20262fanfare
The real economy effects of QE through the corporate bond market
Bank of England quantitative easing lowered corporate bond yields but did not increase real investment; instead firms used proceeds for buybacks and reduced bank borrowing.
RePEc