--- title: Macro-Finance & Rates url: https://www.ml-quant.com/topics/macro-finance-rates/ site: ML-Quant (https://www.ml-quant.com) updated: 2026-10-09 license: Summaries CC BY 4.0; links go to the original sources index: https://www.ml-quant.com/llms.txt --- # Macro-Finance & Rates Rates, the yield curve, monetary policy, inflation and macro-finance. 283 papers featured; 42 in the last 12 months. Papers featured 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, 2026 Q4 25 ## Most cited - [The disruption index is biased by citation inflation](https://www.ml-quant.com/papers/arxiv/2306.01949/): 39 citations. 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. - [Inflation—Who Cares? Monetary Policy in Times of Low Attention](https://www.ml-quant.com/papers/arxiv/2105.05297/): 29 citations. 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. - [Post-COVID inflation and the monetary policy dilemma: an agent-based scenario analysis](https://www.ml-quant.com/papers/arxiv/2306.01284/): 19 citations. 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. - [Corporate Bond Factors: Replication Failures and a New Framework](https://www.ml-quant.com/papers/ssrn/4586652/): 17 citations. The study criticizes inconsistent methodologies in corporate bond factors literature, suggesting a robust factor construction and a clean database for corporate bond returns. - [A systematic review of early warning systems in finance](https://www.ml-quant.com/papers/arxiv/2310.00490/): 17 citations. 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. - [Measuring Communication Quality of Interest Rate Announcements](https://www.ml-quant.com/papers/arxiv/2506.09868/): 14 citations. 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. - [The Software Complexity of Nations](https://www.ml-quant.com/papers/arxiv/2407.13880/): 13 citations. 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. - [Assessing Price Elasticity in US Residential Electricity Consumption: A Comparison of Monthly and Annual Data with Recession Implications](https://www.ml-quant.com/papers/ssrn/5141364/): 11 citations. 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. - [Forecasting Macroeconomic Dynamics using a Calibrated Data-Driven Agent-based Model](https://www.ml-quant.com/papers/arxiv/2409.18760/): 10 citations. 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. - [The American put with finite‐time maturity and stochastic interest rate](https://www.ml-quant.com/papers/arxiv/2104.08502/): 10 citations. 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. - [Machine Learning for Economic Forecasting: An Application to China's GDP Growth](https://www.ml-quant.com/papers/arxiv/2407.03595/): 9 citations. Machine learning models are more accurate than traditional methods or expert forecasts in predicting China's quarterly GDP growth, especially during stable economic periods. - [Causes of failure of the Phillips curve: Does tranquillity of economic environment matter?](https://www.ml-quant.com/papers/arxiv/2511.22785/): 8 citations. 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. ## Latest - [Monetary-Policy Risk and Equilibrium Asset Prices](https://www.ml-quant.com/papers/ssrn/7585438/) (2026-10-09): 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. - [Exchange Rate Regimes and Term-Premium Spillovers from U.S. Monetary Policy](https://www.ml-quant.com/papers/ssrn/7588778/) (2026-10-09): 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. - [Global Geopolitical Skewness Risk and Bond Risk Premia](https://www.ml-quant.com/papers/ssrn/7570538/) (2026-10-09): 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. - [Expectations and the Transmission of Monetary Policy](https://www.ml-quant.com/papers/ssrn/7588262/) (2026-10-09): 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. - [Estimating Yield Impacts of Treasury Demand and Supply Changes](https://www.ml-quant.com/papers/repec/fip-fedgif-103792/) (2026-10-09): 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. - [Collateral Advantage: Exchange Rates, Capital Flows, and Global Cycles](https://www.ml-quant.com/papers/repec/ces-ceswps-13008/) (2026-10-09): A model shows U.S. Treasury collateral advantage drives dollar appreciation during stress and reconciles exorbitant privilege, financial intermediation, and convenience yield perspectives. - [Monetary Policy and the Wealth Distribution](https://www.ml-quant.com/papers/repec/bfr-banfra-1064/) (2026-10-09): Rate cuts initially reduce wealth inequality but increase it medium-term; housing drives effects at the bottom while equities drive them at the top. - [The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy](https://www.ml-quant.com/papers/repec/bde-wpaper-2626/) (2026-10-09): A model with time-varying skewness in cost-push shocks generates persistent stagflationary effects; optimal policy leans against the balance of inflation risks. - [Energy and Monetary Policy in the Euro Area](https://www.ml-quant.com/papers/repec/adl-wpaper-2026-07/) (2026-10-09): 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. - [Where It All Begins: Eurodollars and International Monetary Policy Transmission under Bretton Woods](https://www.ml-quant.com/papers/repec/aim-wpaimx-2625/) (2026-10-09): US monetary tightening attracted capital through Eurodollar borrowing but did not transmit to foreign output, revealing continued financial segmentation despite offshore growth. - [Disappearing Dollar Convenience?](https://www.ml-quant.com/papers/repec/nbr-nberwo-35742/) (2026-10-09): Dollar safe asset convenience yields remain stable domestically since 2019 but decline globally relative to other currencies, with repo markets leading. - [What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times](https://www.ml-quant.com/papers/repec/bde-wpaper-2629e/) (2026-10-09): Volatility and kurtosis reveal that dollar depreciation and rising Treasury yields reflect multiple distinct shocks rather than a single tariff announcement shock. - [What Survives an FOMC Surprise? Confounding and the Persistence of Announcement Effects in Asset Prices](https://www.ml-quant.com/papers/ssrn/7533561/) (2026-10-02): 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. - [U.S. Monetary Policy and Global Market Liquidity](https://www.ml-quant.com/papers/ssrn/7535199/) (2026-10-02): 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. - [Global Debt, Currency Mismatch, and the Spillovers of U.S. Monetary Policy](https://www.ml-quant.com/papers/ssrn/7541599/) (2026-10-02): 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. - [Monetary Policy and Bond Return Decomposition Across Regimes](https://www.ml-quant.com/papers/ssrn/7549733/) (2026-10-02): 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. - [The Rollover Clock: Debt Maturity, the Central-Bank Balance Sheet, and the Debt Limit of a Reserve-Currency Sovereign](https://www.ml-quant.com/papers/ssrn/7542158/) (2026-10-02): Rollover clock measurement of consolidated Treasury and central bank liability repricing predicts U.S. Treasury interest rates and prices inflation costs of fiscal deficits. - [Geopolitical Risk and Global Financial Market Integration: Dynamic Connectedness across Energy, Commodity, Carbon, and Equity Markets](https://www.ml-quant.com/papers/ssrn/7549731/) (2026-10-02): Global connectedness across energy, commodity, carbon, and equity markets averages 52.4 percent and spikes to approximately 95 percent during major geopolitical disruptions. - [The implications of AI for monetary policy: a first assessment](https://www.ml-quant.com/papers/repec/bdi-opques-qef-1051-26/) (2026-10-02): 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. - [Artificial Intelligence and the Indian Sovereign Yield Curve: Empirical Evidence in Times of Macroeconomic Turmoil.](https://www.ml-quant.com/papers/repec/npf-wpaper-26-450/) (2026-10-02): 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. - [Green is the new black](https://www.ml-quant.com/papers/repec/bdi-wptemi-td-1538-26/) (2026-10-02): 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. - [A New Approach to Estimating Portfolio-Balance Models of the Yield Curve](https://www.ml-quant.com/papers/repec/bca-bocawp-26-33/) (2026-10-02): 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. - [Repo Markets and the Fed's Balance Sheet: Implications for Monetary Policy Implementation](https://www.ml-quant.com/papers/repec/fip-fedgfn-103714/) (2026-10-02): The paper examines how Federal Reserve balance sheet changes affect overnight Treasury repo markets and the transmission of monetary policy through money markets. - [Measuring the Effects of US Unconventional Monetary Policy Surprises on Exchange Rates across Monetary Conditions](https://www.ml-quant.com/papers/repec/dpr-wpaper-1276r/) (2026-10-02): 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. - [Geopolitical risk and emerging market sovereign risk premia](https://www.ml-quant.com/papers/repec/bis-biswps-1368/) (2026-10-02): 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. - [Expectations and the Term Structure of Interest Rates](https://www.ml-quant.com/papers/ssrn/7497046/) (2026-09-25): 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. - [Banking-System Heterogeneity and Monetary Policy Transmission in the Euro Area: High-Frequency Shocks, Local Projections, and Regime Dependence](https://www.ml-quant.com/papers/ssrn/7519040/) (2026-09-25): 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. - [Innovation, financial frictions, and persistent effects of monetary policy](https://www.ml-quant.com/papers/repec/boe-boeewp-023581/) (2026-09-25): 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. - [Prices and Monetary Policy: The Role of Financial Constraints](https://www.ml-quant.com/papers/repec/hhs-rbnkwp-0468/) (2026-09-25): Swedish data reveals that financially constrained firms adjust prices less to monetary shocks, materially dampening aggregate inflation response to policy changes. - [Capital flows and exchange rates: A quantitative assessment of the dilemma hypothesis](https://www.ml-quant.com/papers/repec/boe-boeewp-023263/) (2026-09-25): In response to US monetary tightening, financial channels dominate for small open economies: credit spreads widen and output falls despite currency depreciation.