Related papers: Is the Monetary Transmission Mechanism Broken? Tim…
How does public debt matter for price stability? If it is useful for the private sector to insure idiosyncratic risk, even transitory government debt expansions can exert upward pressure on interest rates and create inflation. As I…
News media coverage of monetary policy is not a passive transcript of central-bank communication: it filters announcements, macroeconomic news, and editorial choices into narratives that move expectations and policy decisions. We embed…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
The design of error-correcting codes used in modern communications relies on information theory to quantify the capacity of a noisy channel to send information [1]. This capacity can be expressed using the mutual information between input…
This paper quantitatively explores the interaction effect of forward guidance (FG) on international monetary policy transmission using a standard two-country new Keynesian model with a global liquidity trap. First, we show that the…
We analyze wealth condensation for a wide class of stochastic economy models on the basis of the economic analog of thermodynamic potentials, termed transfer potentials. The economy model is based on three common transfers modes of wealth:…
We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
Transformer-based models have made remarkable advancements in various NLP areas. Nevertheless, these models often exhibit vulnerabilities when confronted with adversarial attacks. In this paper, we explore the effect of quantization on the…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
This is the first study to explore the transmission paths for liquidity shocks in China's segmented money market. We examine how money market transactions create such pathways between China's closely-guarded banking sector and the rest of…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…
We present a broad agenda for meaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of international financial system through the introduction of fair competition process…
It is shown that in many-electron systems quantum transfer amplitudes and thus transfer probabilities may be strongly influenced by fast fluctuating fields, in particular, caused by simultaneous electron transfers. Corresponding mutual…
Tunneling is often claimed to be the key mechanism underlying possible speedups in quantum optimization via quantum annealing (QA), especially for problems featuring a cost function with tall and thin barriers. We present and analyze…
Time-series with volatility clustering pose a unique challenge to uncertainty quantification (UQ) for returns forecasts. Methods for UQ such as Deep Evidential regression offer a simple way of quantifying return forecast uncertainty without…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
We consider the strong secret key (SK) agreement problem for the satellite communication setting, where a satellite chooses a common binary phase shift keying modulated input for three statistically independent additive white Gaussian noise…
Quantum Key Exchange (QKE, also known as Quantum Key Distribution or QKD) allows communicating parties to securely establish cryptographic keys. It is a well-established fact that all QKE protocols require that the parties have access to an…
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…