arXiv · arXiv q-fin · 2013
The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern portfolio theory in the investment economy. We use the learning analytics together with the integrative creative imperative intelligent conceptual co-lateral adaptive thinking with t…
Dimitri O. Ledenyov, Viktor O. Ledenyov
arXiv · arXiv q-fin · 2024
Central Bank Digital Currency (CBDC) can be defined as a virtual currency based on node network and digital encryption algorithm issued by a country which has a legal credit protection. CBDCs are supported by Distributed Ledger Technologies (DLTs), and they may allow a universal means of payments for the digital era. There are many ways to proceed, they all require central banks to develop technological expertise. Co…
Carlos Alberto Durigan Junior, Mauro De Mesquita Spinola, Rodrigo Franco Gonçalves, Fernando José Barbin Laurindo
arXiv · arXiv q-fin · 2024
This paper examines the pivotal role central banks play in advancing sustainable finance, a crucial component in addressing global environmental and social challenges. As supervisors of financial stability and economic growth, central banks have dominance over the financial system to influence how a country moves towards sustainable economy. The chapter explores how central banks integrate sustainability into their m…
A T M Omor Faruq, Md Toufiqul Huq
arXiv · arXiv q-fin · 2020
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep the exchange rate from breaking the prescribed barriers, the central bank is generating permanent price impact and thereby accumulating inventory in the foreign currency. Historical examples of failed target zones illustrate that this inven…
Eyal Neuman, Alexander Schied, Chengguo Weng, Xiaole Xue
arXiv · arXiv q-fin · 2012
We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital markets. We use the integrative thinking approach to formulate the new central bank strategy and propose that the new strategy has to be focused on the constant management of the monetar…
Dimitri O. Ledenyov, Viktor O. Ledenyov
arXiv · arXiv · 2025
Central banks around the world play a crucial role in maintaining economic stability. Deciphering policy implications in their communications is essential, especially as misinterpretations can disproportionately impact vulnerable populations. To address this, we introduce the World Central Banks (WCB) dataset, the most comprehensive monetary policy corpus to date, comprising over 380k sentences from 25 central banks …
Agam Shah, Siddhant Sukhani, Huzaifa Pardawala, Saketh Budideti, Riya Bhadani
arXiv · arXiv · 2012
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear dynamical financial system. We consider the modern risk management models and show the appropriate techniques to calculate the various existing risks in the finances. We make a few …
Dimitri O. Ledenyov, Viktor O. Ledenyov
arXiv · arXiv · 2013
In agreement with the recent research findings in the econophysics, we propose that the nonlinear dynamic chaos can be generated by the turbulent capital flows in both the quantitative easing transmission channels and the transaction networks channels, when there are the laminar turbulent capital flows transitions in the financial system. We demonstrate that the capital flows in both the quantitative easing transmiss…
Dimitri O. Ledenyov, Viktor O. Ledenyov
arXiv · arXiv q-fin · 2020
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have on stock market volatility. The new set of models, called MEM with Asymmetry and Policy effects (MAP), keeps the base volatility dynamics separate from a component reproducing policy effects, with an increase in volatility on announcement da…
Demetrio Lacava, Giampiero M. Gallo, Edoardo Otranto
arXiv · arXiv q-fin · 2016
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 - 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility. We also show that negative spillovers are chiefly tied to the dragging s…
Jozef Barunik, Evzen Kocenda, Lukas Vacha
OpenAlex · Review of International Political Economy · 2016 · cites 276
In its capacity as debt issuer, the state has played a growing role in financial life over the last 30 years. To examine this role and connect it to shadow banking, the paper develops the concept of the ‘repo trinity’, which captures a set of policy objectives that central banks outlined after the 1998 Russian crisis, the first systemic crisis of collateral-based finance. The repo trinity connected financial stabilit…
Daniela Gabor
arXiv · arXiv · 2026
This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …
Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst
arXiv · arXiv · 2025
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR term structure model that is well-suited for risk management and derivatives pricing within the incomplete markets paradigm. The model incorporates relevant macroeconomic factors tha…
Teemu Pennanen, Waleed Taoum
arXiv · arXiv · 2016
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We construct a model where banks are allowed to use both the interbank and the securities markets to manage their liquidity demand and supply as driven by prudential requirements in a volati…
Paweł Smaga, Mateusz Wiliński, Piotr Ochnicki, Piotr Arendarski, Tomasz Gubiec
arXiv · arXiv · 2015
Threadneedle is a multi-agent simulation framework, based on a full double entry book keeping implementation of the banking system's fundamental transactions. It is designed to serve as an experimental test bed for economic simulations that can explore the banking system's influence on the macro-economy under varying assumptions for its regulatory framework, mix of financial instruments, and activities of borrowers a…
Jacky Mallett
arXiv · arXiv · 2009
Analysis of the 2007-8 credit crisis has concentrated on issues of relaxed lending standards, and the perception of irrational behaviour by speculative investors in real estate and other assets. Asset backed securities have been extensively criticised for creating a moral hazard in loan issuance and an associated increase in default risk, by removing the immediate lender's incentive to ensure that the underlying loan…
Jacky Mallett
arXiv · arXiv · 2025
This study explores the potential impact of introducing a Central Bank Digital Currency (CBDC) on financial stability in an emerging dual-currency economy (Romania), where the domestic currency (RON) coexists with the euro. It develops an integrated analytical framework combining econometrics, machine learning, and behavioural modelling. CBDC adoption probabilities are estimated using XGBoost and logistic regression …
Catalin Dumitrescu
arXiv · arXiv · 2025
Stablecoins have emerged as a significant component of global financial infrastructure, with aggregate market capitalization surpassing USD250 billion in 2025. Their increasing integration into payment and settlement systems has simultaneously introduced novel channels of systemic exposure, particularly liquidity risk during periods of market stress. This study develops a hybrid monetary architecture that embeds fiat…
Hongzhe Wen, R. S. M. Lau