Tag: Finance
U.S. rate cuts appreciated the dollar during the Great Recession
Forward guidance monetary policy easings appreciated the dollar during the Great Recession through flight-to-safety effects and inflation expectations, contradicting interest rate parity.
Unweighted HJM setting supports yield-curve modeling with negative yields
New approach to Heath–Jarrow–Morton framework using unweighted function spaces and functional PCA, enabling better yield curve modeling with support for negative interest rates.
European banking crisis spread to Argentina through bank branches
Analysis of how the 1931 European banking crisis spread to Argentina through European bank subsidiaries, reshaping understanding of Great Depression contagion to developing economies.
Network-level model detects systemic credit risk earlier
Framework integrating graph neural networks and contagion modeling to identify systemic vulnerabilities in digital lending ecosystems months earlier than conventional monitoring systems.
Sports tokens showed spillover risk in connected markets
Quantile VAR analysis reveals how sports tokens transmit and receive systemic shocks, with implications for portfolio construction and downside risk mitigation during market stress.
Parent support was selective during the 2007–2009 crisis
Banks allocated capital selectively within conglomerates during the 2007–2009 crisis, favoring stronger affiliates while restricting support to weaker ones, challenging regulatory assumptions.
RNN-based distortion models improved CAT bond pricing
Catastrophe bond pricing framework combining distortion operator theory with recurrent neural networks, capturing discontinuous repricing and tail-risk compensation.
Inflation weakens the sovereign-bank doom loop
Study examines how inflation and money supply influence the sovereign-bank relationship and the debt-lending feedback loop using quantile VAR analysis.
Supply chain shocks raise macro-financial downside risk
Study examines how global supply chain shocks increase macro-financial downside risk and whether monetary policy can buffer these transmission channels using quantile models and vector autoregression.
Capital account openness shows an inverted U-shape with growth
Panel analysis of 42 years reveals that moderate capital account openness boosts emerging market growth, but excessive openness reduces it through short-term debt channels.
