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/7585438/https://www.ml-quant.com/papers/ssrn/7585438/Fri, 09 Oct 2026 07:00:00 +0000Asset 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. https://www.ml-quant.com/papers/ssrn/7588778/https://www.ml-quant.com/papers/ssrn/7588778/Fri, 09 Oct 2026 07:00:00 +0000U.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. https://www.ml-quant.com/papers/ssrn/7570538/https://www.ml-quant.com/papers/ssrn/7570538/Fri, 09 Oct 2026 07:00:00 +0000A 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. https://www.ml-quant.com/papers/ssrn/7588262/https://www.ml-quant.com/papers/ssrn/7588262/Fri, 09 Oct 2026 07:00:00 +0000Optimal 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. https://www.ml-quant.com/papers/repec/fip-fedgif-103792/https://www.ml-quant.com/papers/repec/fip-fedgif-103792/Fri, 09 Oct 2026 07:00:00 +0000A 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. https://www.ml-quant.com/papers/repec/ces-ceswps-13008/https://www.ml-quant.com/papers/repec/ces-ceswps-13008/Fri, 09 Oct 2026 07:00:00 +0000A model shows U.S. Treasury collateral advantage drives dollar appreciation during stress and reconciles exorbitant privilege, financial intermediation, and convenience yield perspectives. https://www.ml-quant.com/papers/repec/bfr-banfra-1064/https://www.ml-quant.com/papers/repec/bfr-banfra-1064/Fri, 09 Oct 2026 07:00:00 +0000Rate cuts initially reduce wealth inequality but increase it medium-term; housing drives effects at the bottom while equities drive them at the top. https://www.ml-quant.com/papers/repec/bde-wpaper-2626/https://www.ml-quant.com/papers/repec/bde-wpaper-2626/Fri, 09 Oct 2026 07:00:00 +0000A model with time-varying skewness in cost-push shocks generates persistent stagflationary effects; optimal policy leans against the balance of inflation risks. https://www.ml-quant.com/papers/repec/adl-wpaper-2026-07/https://www.ml-quant.com/papers/repec/adl-wpaper-2026-07/Fri, 09 Oct 2026 07:00:00 +0000A 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. https://www.ml-quant.com/papers/repec/aim-wpaimx-2625/https://www.ml-quant.com/papers/repec/aim-wpaimx-2625/Fri, 09 Oct 2026 07:00:00 +0000US monetary tightening attracted capital through Eurodollar borrowing but did not transmit to foreign output, revealing continued financial segmentation despite offshore growth. https://www.ml-quant.com/papers/repec/nbr-nberwo-35742/https://www.ml-quant.com/papers/repec/nbr-nberwo-35742/Fri, 09 Oct 2026 07:00:00 +0000Dollar safe asset convenience yields remain stable domestically since 2019 but decline globally relative to other currencies, with repo markets leading. https://www.ml-quant.com/papers/repec/bde-wpaper-2629e/https://www.ml-quant.com/papers/repec/bde-wpaper-2629e/Fri, 09 Oct 2026 07:00:00 +0000Volatility and kurtosis reveal that dollar depreciation and rising Treasury yields reflect multiple distinct shocks rather than a single tariff announcement shock. https://www.ml-quant.com/papers/ssrn/7533561/https://www.ml-quant.com/papers/ssrn/7533561/Fri, 02 Oct 2026 07:00:00 +0000Analyzing 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. https://www.ml-quant.com/papers/ssrn/7535199/https://www.ml-quant.com/papers/ssrn/7535199/Fri, 02 Oct 2026 07:00:00 +0000The 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. https://www.ml-quant.com/papers/ssrn/7541599/https://www.ml-quant.com/papers/ssrn/7541599/Fri, 02 Oct 2026 07:00:00 +0000US 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. https://www.ml-quant.com/papers/ssrn/7549733/https://www.ml-quant.com/papers/ssrn/7549733/Fri, 02 Oct 2026 07:00:00 +0000The 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. https://www.ml-quant.com/papers/ssrn/7542158/https://www.ml-quant.com/papers/ssrn/7542158/Fri, 02 Oct 2026 07:00:00 +0000Rollover clock measurement of consolidated Treasury and central bank liability repricing predicts U.S. Treasury interest rates and prices inflation costs of fiscal deficits. https://www.ml-quant.com/papers/ssrn/7549731/https://www.ml-quant.com/papers/ssrn/7549731/Fri, 02 Oct 2026 07:00:00 +0000Global connectedness across energy, commodity, carbon, and equity markets averages 52.4 percent and spikes to approximately 95 percent during major geopolitical disruptions. https://www.ml-quant.com/papers/repec/bdi-opques-qef-1051-26/https://www.ml-quant.com/papers/repec/bdi-opques-qef-1051-26/Fri, 02 Oct 2026 07:00:00 +0000The 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. https://www.ml-quant.com/papers/repec/npf-wpaper-26-450/https://www.ml-quant.com/papers/repec/npf-wpaper-26-450/Fri, 02 Oct 2026 07:00:00 +0000Post-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. https://www.ml-quant.com/papers/repec/bdi-wptemi-td-1538-26/https://www.ml-quant.com/papers/repec/bdi-wptemi-td-1538-26/Fri, 02 Oct 2026 07:00:00 +0000U.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. https://www.ml-quant.com/papers/repec/bca-bocawp-26-33/https://www.ml-quant.com/papers/repec/bca-bocawp-26-33/Fri, 02 Oct 2026 07:00:00 +0000Proposes 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. https://www.ml-quant.com/papers/repec/fip-fedgfn-103714/https://www.ml-quant.com/papers/repec/fip-fedgfn-103714/Fri, 02 Oct 2026 07:00:00 +0000The paper examines how Federal Reserve balance sheet changes affect overnight Treasury repo markets and the transmission of monetary policy through money markets. https://www.ml-quant.com/papers/repec/dpr-wpaper-1276r/https://www.ml-quant.com/papers/repec/dpr-wpaper-1276r/Fri, 02 Oct 2026 07:00:00 +0000The 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. https://www.ml-quant.com/papers/repec/bis-biswps-1368/https://www.ml-quant.com/papers/repec/bis-biswps-1368/Fri, 02 Oct 2026 07:00:00 +0000The 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. 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.