Journal of Money, Credit and Banking, EarlyView.Abstract Using confidential daily data, we examine the Bank of Israel's foreign exchange interventions from 2013 to 2019. We find that a 1 billion U.S. dollars (USD) purchase leads to a 0.82% depreciation of the Israeli Shekel (ILS)–a strong effect compared to other studies.
MARKUS HERTRICH, DANIEL NATHAN
wiley +1 more source
The Impact of Digital Currency Innovation: Risk Spillover Effects Between the Cryptocurrency and Traditional Financial Markets. [PDF]
Entropy (Basel)Zhuang L, Liu Y.
europepmc +1 more source
Banking with Inside Money: An Efficiency Analysis
Journal of Money, Credit and Banking, EarlyView.Abstract We show that banks do not decentralize the first best in a nominal Diamond–Dybvig economy with inside money. Furthermore, state‐contingent deposit contracts do not expand the consumption possibility set to include the first best either. Central banks can improve welfare but only for savers and only with unconventional monetary policy. Finally,
DAVID RIVERO +1 more
wiley +1 more source
A multi-agent equilibrium model in an incomplete market with discrete dividends: Applications to long-term discount curves. [PDF]
PLoS OneSaito T, Takahashi A.
europepmc +1 more source
Climate Regulation, Firm Emissions, and Green Takeoversa
Journal of Money, Credit and Banking, EarlyView.Abstract We show that an unexpected tightening of the EU Emissions Trading System led high‐emission‐intensity firms to cut emissions relative to low‐intensity peers within the same industry, without reducing output, thereby improving emission efficiency. Effects are stronger for power producers than for manufacturing firms.
OLIVIER DE JONGHE +3 more
wiley +1 more source
Quantum computational finance for martingale asset pricing in incomplete markets. [PDF]
Sci RepRebentrost P +4 more
europepmc +1 more source
Environmental Incidents and Sustainability Pricing Provisions
Journal of Money, Credit and Banking, EarlyView.Abstract We investigate whether lenders use sustainability pricing provisions (SPPs) to manage borrower environmental risk. Using unexpected negative environmental incidents as shocks to environmental risk, we find that lenders are 10 percentage points less likely to include SPPs in loans to environmentally risky borrowers.
HUYEN NGUYEN, SOCHIMA UZONWANNE
wiley +1 more source
Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion. [PDF]
PLoS OneFu Q, Li X.
europepmc +1 more source
Liquidity, Collateral Quality, and Interest Ratesa
Journal of Money, Credit and Banking, EarlyView.Abstract This paper analyzes how collateral quality shocks affect banks' liquidity management and the risk‐free rate. We develop a model where banks manage liquidity through near‐cash assets and marketable securities subject to idiosyncratic and/or aggregate shocks.
JUNG‐HYUN AHN +3 more
wiley +1 more source
SF-Transformer: A Mutual Information-Enhanced Transformer Model with Spot-Forward Parity for Forecasting Long-Term Chinese Stock Index Futures Prices. [PDF]
Entropy (Basel)Mao W, Liu P, Huang J.
europepmc +1 more source