Related papers: Central Bank Communication and the Yield Curve: A …
While machine learning has revolutionized many fields such as natural language processing (NLP) and computer vision, its impact on time-series forecasting is still widely disputed, especially in the finance domain. This paper compares…
We propose a unified multi-tasking framework to represent the complex and uncertain causal process of financial market dynamics, and then to predict the movement of any type of index with an application on the monthly direction of the…
This paper investigates the impact of monetary policy surprises on U.S. Treasury bond yields and the implications for portfolio managers. Based on the supply and demand model, traditional economic theories suggest that Federal Reserve bond…
Central bank communication plays a critical role in shaping economic expectations and monetary policy effectiveness. This study applies supervised machine learning techniques to classify the sentiment of press releases from the Bank of…
The Federal Reserve System (the Fed) plays a significant role in affecting monetary policy and financial conditions worldwide. Although it is important to analyse the Fed's communications to extract useful information, it is generally…
The literature on using yield curves to forecast recessions customarily uses 10-year--three-month Treasury yield spread without verification on the pair selection. This study investigates whether the predictive ability of spread can be…
Macroeconomic variables are known to significantly impact equity markets, but their predictive power for price fluctuations has been underexplored due to challenges such as infrequency and variability in timing of announcements, changing…
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Multiplicative Error Model (AJM), which accounts for a…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive…
Federal Open Market Committee (FOMC) statements are a major source of monetary-policy information, and even subtle changes in their wording can move global financial markets. A central task is therefore to measure the hawkish--dovish stance…
Most representative decision tree ensemble methods have been used to examine the variable importance of Treasury term spreads to predict US economic recessions with a balance of generating rules for US economic recession detection. A…
Following the financial crisis of the late 2000s, policy makers have shown considerable interest in monitoring financial stability. Several central banks now publish indices of financial stress, which are essentially based upon market…
We propose a model to study the consequences of including financial stability among the central bank's objectives when market players are strategic, and surprises compromise their stability. In this setup, central banks underreact to…
This paper introduces a novel approach to financial crisis prediction by establishing a thermodynamic-like framework derived from the fluctuation theorem of statistical physics. We define market temperature through the probability ratio of…
This study proposes a new method of incorporating emotions from newspaper articles into macroeconomic forecasts, attempting to forecast industrial production and consumer prices leveraging narrative and sentiment from global newspapers. For…
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…
Modern macroeconomic models, particularly those grounded in Rational Expectation Dynamic Stochastic General Equilibrium (DSGE), operate under the assumption of fully rational decision-making. This paper examines the impact of behavioral…
The Federal Open Market Committee within the Federal Reserve System is responsible for managing inflation, maximizing employment, and stabilizing interest rates. Meeting minutes play an important role for market movements because they…