Topic
Macro-Finance & Rates
Rates, the yield curve, monetary policy, inflation and macro-finance.
- Papers featured
- 283
- Last 12 months
- 42
- Cited 100+
- 0
- Top venue
- SSRN
Featured per quarter
The last four quarters are highlighted.
Methods that come up
Click one to search for it.
Most cited
Featured papers in this topic with the most citations today.
- 7 Jun 202339cites
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 202329cites
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
- 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
- 24 Jul 202413cites
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
- 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
- 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
- 7 Feb 202410cites
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
- 10 Jul 20249cites
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
- 9 Oct 20264fanfare
Monetary-Policy Risk and Equilibrium Asset Prices
Asset prices respond to monetary policy uncertainty around FOMC announcements; a New Keynesian model shows policy risk accounts for much of equity and inflation-bond risk premia and weakens activity when elevated.
SSRN
- 9 Oct 20263fanfare
Exchange Rate Regimes and Term-Premium Spillovers from U.S. Monetary Policy
U.S. monetary tightening raises term premia sharply in pegged economies but not floating ones; a DSGE model shows pegs force adjustment through domestic rates, tightening leverage constraints and amplifying spillovers.
SSRN
- 9 Oct 20263fanfare
Global Geopolitical Skewness Risk and Bond Risk Premia
A measure of cross-country geopolitical risk skewness predicts U.S. Treasury risk premia out-of-sample and forecasts weaker activity, adding incremental value beyond yield curves and standard macroeconomic predictors.
SSRN
- 9 Oct 20263fanfare
Expectations and the Transmission of Monetary Policy
Optimal rate-setting creates time-inconsistency: market expectations become too sensitive to policy surprises, amplifying real effects of central bank forecast errors; less aggressive rules cut output volatility.
SSRN
- 9 Oct 20263fanfare
Estimating Yield Impacts of Treasury Demand and Supply Changes
A demand-system framework quantifies that $100 billion in Treasury supply raises five-year yields by roughly 3 basis points, with effects driven by changing foreign and hedge-fund participation.
RePEc
- 9 Oct 20263fanfare
Collateral Advantage: Exchange Rates, Capital Flows, and Global Cycles
A model shows U.S. Treasury collateral advantage drives dollar appreciation during stress and reconciles exorbitant privilege, financial intermediation, and convenience yield perspectives.
RePEc
- 9 Oct 20263fanfare
Monetary Policy and the Wealth Distribution
Rate cuts initially reduce wealth inequality but increase it medium-term; housing drives effects at the bottom while equities drive them at the top.
RePEc
- 9 Oct 20262fanfare
The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy
A model with time-varying skewness in cost-push shocks generates persistent stagflationary effects; optimal policy leans against the balance of inflation risks.
RePEc
- 9 Oct 20262fanfare
Energy and Monetary Policy in the Euro Area
A DSGE model reveals energy and exchange-rate shocks drive euro inflation volatility, and optimal policy can exploit the exchange-rate channel rather than looking through energy shocks.
RePEc
- 9 Oct 20262fanfare
Where It All Begins: Eurodollars and International Monetary Policy Transmission under Bretton Woods
US monetary tightening attracted capital through Eurodollar borrowing but did not transmit to foreign output, revealing continued financial segmentation despite offshore growth.
RePEc
- 9 Oct 20262fanfare
Disappearing Dollar Convenience?
Dollar safe asset convenience yields remain stable domestically since 2019 but decline globally relative to other currencies, with repo markets leading.
RePEc
- 9 Oct 20262fanfare
What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times
Volatility and kurtosis reveal that dollar depreciation and rising Treasury yields reflect multiple distinct shocks rather than a single tariff announcement shock.
RePEc
- 2 Oct 20263fanfare
What Survives an FOMC Surprise? Confounding and the Persistence of Announcement Effects in Asset Prices
Analyzing 261 FOMC announcements shows that immediate stock and yield impacts from policy surprises persist, while post-announcement drift and monetary momentum unwind within days or weeks.
SSRN
- 2 Oct 20263fanfare
U.S. Monetary Policy and Global Market Liquidity
The study shows that US federal funds rate shocks widen bid-ask spreads on equities across 37 markets for up to two months, while longer-maturity yield surprises reprice equities without affecting liquidity.
SSRN
- 2 Oct 20263fanfare
Global Debt, Currency Mismatch, and the Spillovers of U.S. Monetary Policy
US monetary tightening triggers larger currency depreciation and sovereign stress in emerging markets when global public debt is high and foreign-currency debt exposure is elevated.
SSRN
- 2 Oct 20263fanfare
Monetary Policy and Bond Return Decomposition Across Regimes
The research decomposes bond returns into real rates, risk premia, and inflation expectations, finding that forward guidance and asset purchases had opposite effects at the zero lower bound versus normal times.
SSRN
- 2 Oct 20263fanfare
The Rollover Clock: Debt Maturity, the Central-Bank Balance Sheet, and the Debt Limit of a Reserve-Currency Sovereign
Rollover clock measurement of consolidated Treasury and central bank liability repricing predicts U.S. Treasury interest rates and prices inflation costs of fiscal deficits.
SSRN
- 2 Oct 20262fanfare
Geopolitical Risk and Global Financial Market Integration: Dynamic Connectedness across Energy, Commodity, Carbon, and Equity Markets
Global connectedness across energy, commodity, carbon, and equity markets averages 52.4 percent and spikes to approximately 95 percent during major geopolitical disruptions.
SSRN
- 2 Oct 20263fanfare
The implications of AI for monetary policy: a first assessment
The paper assesses how artificial intelligence affects monetary policy transmission and central bank reactions, finding AI could improve risk assessment and communication but may also amplify systemic vulnerabilities and herding dynamics.
RePEc
- 2 Oct 20263fanfare
Artificial Intelligence and the Indian Sovereign Yield Curve: Empirical Evidence in Times of Macroeconomic Turmoil.
Post-AI adoption, longer-maturity Indian bond yields show reduced sensitivity to expected inflation and money supply growth, while short-term yields exhibit heightened inflation sensitivity, suggesting structural transmission changes.
RePEc
- 2 Oct 20263fanfare
Green is the new black
U.S. green bond share declined from 1.7 to 0.6 percent after Trump's re-election and Paris Agreement withdrawal, with the greenium turning positive.
RePEc
- 2 Oct 20262fanfare
A New Approach to Estimating Portfolio-Balance Models of the Yield Curve
Proposes a two-step estimator to recover portfolio-balance model parameters from Gaussian term structure models, identifying shocks to hedging risk premiums and risk-bearing capacity.
RePEc
- 2 Oct 20262fanfare
Repo Markets and the Fed's Balance Sheet: Implications for Monetary Policy Implementation
The paper examines how Federal Reserve balance sheet changes affect overnight Treasury repo markets and the transmission of monetary policy through money markets.
RePEc
- 2 Oct 20262fanfare
Measuring the Effects of US Unconventional Monetary Policy Surprises on Exchange Rates across Monetary Conditions
The research shows that both large-scale asset purchases and forward guidance appreciate foreign currencies against the dollar, with guidance having larger effects, especially during zero lower bound periods.
RePEc
- 2 Oct 20262fanfare
Geopolitical risk and emerging market sovereign risk premia
The study finds that geopolitical risk raises sovereign credit spreads in emerging markets, with threats having larger effects than acts, and responses shifting substantially after the Ukraine invasion.
RePEc
- 25 Sep 20263fanfare
Expectations and the Term Structure of Interest Rates
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.
SSRN
- 25 Sep 20262fanfare
Banking-System Heterogeneity and Monetary Policy Transmission in the Euro Area: High-Frequency Shocks, Local Projections, and Regime Dependence
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.
SSRN
- 25 Sep 20263fanfare
Innovation, financial frictions, and persistent effects of monetary policy
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.
RePEc
- 25 Sep 20263fanfare
Prices and Monetary Policy: The Role of Financial Constraints
Swedish data reveals that financially constrained firms adjust prices less to monetary shocks, materially dampening aggregate inflation response to policy changes.
RePEc
- 25 Sep 20263fanfare
Capital flows and exchange rates: A quantitative assessment of the dilemma hypothesis
In response to US monetary tightening, financial channels dominate for small open economies: credit spreads widen and output falls despite currency depreciation.
RePEc