https://www.ml-quant.com/topics/macro-finance-rates/Rates, the yield curve, monetary policy, inflation and macro-finance. en https://www.ml-quant.com/papers/ssrn/7497046/https://www.ml-quant.com/papers/ssrn/7497046/Fri, 25 Sep 2026 07:00:00 +0000Decomposing 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. https://www.ml-quant.com/papers/ssrn/7519040/https://www.ml-quant.com/papers/ssrn/7519040/Fri, 25 Sep 2026 07:00:00 +0000A 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. https://www.ml-quant.com/papers/repec/boe-boeewp-023581/https://www.ml-quant.com/papers/repec/boe-boeewp-023581/Fri, 25 Sep 2026 07:00:00 +0000Monetary 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. https://www.ml-quant.com/papers/repec/hhs-rbnkwp-0468/https://www.ml-quant.com/papers/repec/hhs-rbnkwp-0468/Fri, 25 Sep 2026 07:00:00 +0000Swedish data reveals that financially constrained firms adjust prices less to monetary shocks, materially dampening aggregate inflation response to policy changes. https://www.ml-quant.com/papers/repec/boe-boeewp-023263/https://www.ml-quant.com/papers/repec/boe-boeewp-023263/Fri, 25 Sep 2026 07:00:00 +0000In response to US monetary tightening, financial channels dominate for small open economies: credit spreads widen and output falls despite currency depreciation. https://www.ml-quant.com/papers/ssrn/4481545/https://www.ml-quant.com/papers/ssrn/4481545/Sun, 28 Dec 2025 07:00:00 +0000Higher ESG scores in auto loan securitizations lower costs and consumer interest rates, despite environmental concerns. https://www.ml-quant.com/papers/ssrn/4479590/https://www.ml-quant.com/papers/ssrn/4479590/Sun, 28 Dec 2025 07:00:00 +0000Online discussions about central bank policies correlate strongly with market volatility, especially around ECB announcements. https://www.ml-quant.com/papers/ssrn/4478575/https://www.ml-quant.com/papers/ssrn/4478575/Sun, 28 Dec 2025 07:00:00 +0000The effectiveness of multifactor models for corporate bond returns is debated, with a preference for the bond CAPM in analyses. https://www.ml-quant.com/papers/ssrn/4469784/https://www.ml-quant.com/papers/ssrn/4469784/Sun, 28 Dec 2025 07:00:00 +0000The study examines the changes in the Chinese government bond yield curve during the pandemic, highlighting new behaviors and arbitrage potential. https://www.ml-quant.com/papers/ssrn/4463862/https://www.ml-quant.com/papers/ssrn/4463862/Sun, 28 Dec 2025 07:00:00 +0000The paper reveals that green firms experience smaller stock price declines than brown firms when interest rates rise due to sustainability preferences. https://www.ml-quant.com/papers/ssrn/4955515/https://www.ml-quant.com/papers/ssrn/4955515/Mon, 01 Dec 2025 07:00:00 +0000This research details how falling coal production negatively impacts municipal finances, leading to higher debt and bond yields in less diverse counties. https://www.ml-quant.com/papers/arxiv/2511.22785/https://www.ml-quant.com/papers/arxiv/2511.22785/Mon, 01 Dec 2025 07:00:00 +0000This 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. https://www.ml-quant.com/papers/arxiv/2511.04348/https://www.ml-quant.com/papers/arxiv/2511.04348/Wed, 12 Nov 2025 07:00:00 +0000A 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. https://www.ml-quant.com/papers/ssrn/5051908/https://www.ml-quant.com/papers/ssrn/5051908/Mon, 27 Oct 2025 07:00:00 +0000Firms' environmental traits create a distinct bond-market anomaly that improves portfolios beyond standard factors, and a simple model explains it. https://www.ml-quant.com/papers/arxiv/2510.19306/https://www.ml-quant.com/papers/arxiv/2510.19306/Mon, 27 Oct 2025 07:00:00 +0000Topological Data Analysis finds clearer, more separated currency clusters than traditional methods, revealing co-movement patterns useful for risk management. https://www.ml-quant.com/papers/repec/een-camaaa-2018-47/https://www.ml-quant.com/papers/repec/een-camaaa-2018-47/Fri, 24 Oct 2025 07:00:00 +0000The paper reveals that machine learning algorithms are more effective than traditional statistical models in predicting real GDP growth in New Zealand. https://www.ml-quant.com/papers/arxiv/2510.04211/https://www.ml-quant.com/papers/arxiv/2510.04211/Thu, 09 Oct 2025 07:00:00 +0000The economic growth in Central and Eastern European countries due to their integration into the European Economic Area is largely influenced by private debt. https://www.ml-quant.com/papers/arxiv/2509.24747/https://www.ml-quant.com/papers/arxiv/2509.24747/Fri, 03 Oct 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2509.13578/https://www.ml-quant.com/papers/arxiv/2509.13578/Mon, 22 Sep 2025 07:00:00 +0000Research 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. https://www.ml-quant.com/papers/arxiv/2509.06144/https://www.ml-quant.com/papers/arxiv/2509.06144/Sat, 13 Sep 2025 07:00:00 +0000A study analyzing 40 years of US data on household-level food security offers insights into how recessions and policy changes impact different demographics. https://www.ml-quant.com/papers/arxiv/2508.11796/https://www.ml-quant.com/papers/arxiv/2508.11796/Wed, 20 Aug 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2508.10208/https://www.ml-quant.com/papers/arxiv/2508.10208/Wed, 20 Aug 2025 07:00:00 +0000Geometric 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. https://www.ml-quant.com/papers/doi/10-1016-j-jimonfin-2025-103378/https://www.ml-quant.com/papers/doi/10-1016-j-jimonfin-2025-103378/Tue, 12 Aug 2025 07:00:00 +0000A 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%. https://www.ml-quant.com/papers/arxiv/2507.15054/https://www.ml-quant.com/papers/arxiv/2507.15054/Fri, 25 Jul 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2507.10041/https://www.ml-quant.com/papers/arxiv/2507.10041/Thu, 17 Jul 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2506.22763/https://www.ml-quant.com/papers/arxiv/2506.22763/Thu, 03 Jul 2025 07:00:00 +0000The study reveals that combining structured data with unstructured text from Federal Reserve communications improves the accuracy of central bank policy predictions. https://www.ml-quant.com/papers/ssrn/5244264/https://www.ml-quant.com/papers/ssrn/5244264/Wed, 25 Jun 2025 07:00:00 +0000The study introduces a Bayesian machine learning model for inflation that reacts strongly to large shocks. https://www.ml-quant.com/papers/ssrn/5245203/https://www.ml-quant.com/papers/ssrn/5245203/Wed, 25 Jun 2025 07:00:00 +0000The research shows that dividend tax hikes initially cause investment inactivity, followed by a surge due to tax arbitrage and hangover effects. https://www.ml-quant.com/papers/ssrn/5245602/https://www.ml-quant.com/papers/ssrn/5245602/Wed, 25 Jun 2025 07:00:00 +0000The U.S.'s individual approach to digital asset regulation could isolate its markets and weaken its monetary power, indicating a need for global collaboration. https://www.ml-quant.com/papers/ssrn/5243376/https://www.ml-quant.com/papers/ssrn/5243376/Wed, 25 Jun 2025 07:00:00 +0000Bonds issued in varying interest rate environments have different coupons and market prices, leading to higher losses for investors if default occurs.