I tweet a lot, perhaps too much. The question is always what shall I tweet about? Sometimes it’s about burgers, other times it’ll be some puns or there might even be some vastly impressive observation in a tweet I make (well, perhaps not, but we can always hope!). Over the past 2 years, to give me a bit more discipline about trying to tweet quant finance, which is after all my chosen career, I’ve been tweeting #QuantLinkADay. I’m hoping to continue this tradition in 2018 too. Whatever folks say, no one comes up with trading strategies in a vacuum, we all get ideas from other people, whether it’s from academic papers, conferences, your colleagues etc. – so I hope that at least something I’ve tweeted this year (or this blog) has triggered a new idea!
Typically, this involves tweeting papers which look particularly interesting. I try to focus on newer papers which have been published. Generally the papers are skewed towards FX, given that’s where my focus has been much of my career. However, I do try to also include more general economics papers and from other related areas. Ideally, I’d like to read every paper I post, but have to admit given the sheer quantity of links I post, this is somewhat difficult. I do however, read the abstracts at the very least (yes, I’m sure there’s some way of machine learning to automate this process of picking the appropriate papers, but then I’m not exactly going to be doing much for my “human” learning, which is another reason I spend time doing this stuff). There’s also a large number of other links, related to code libraries, particularly in Python, which I think are worth a look if you are a quant.
Below, I’ve collected all the #QuantLinkADay papers/libraries from 2017 to make it easier to browse, which I hope you’ll find useful. If you’re interested in the list from 2016, which contains a further 300 papers/quant links, click here! Hopefully, this proves to be an early Christmas for all the quants out there! I wish you a very merry Christmas and best of luck for 2018!
January 2017
01-Jan / Economics / The Politics of Central Bank Independence
02-Jan / Economics / Did the Founding of Fed Affect Vulnerability of Interbank System to Contagion Risk?
03-Jan / Economics / Expectation and Duration at the Effective Lower Bound
04-Jan / Economics / Will Helicopter Money Be Spent? New Evidence
05-Jan / Economics / A Quantitative Case for Leaning Against the Wind
06-Jan / Economics / Intermediation Markups and Monetary Policy Passthrough
07-Jan / FX / Order Flow and Exchange Rate Co-Movement
08-Jan / FX / Currency Crises in Mexico 1990-2009: An Early Warning System Approach
09-Jan / Trading / Optimal market making
10-Jan / Economics / Predicting Economic Recessions Using Machine Learning Algorithms
11-Jan / Economics / Monetary Policy and Macroeconomic Stability Revisited
12-Jan / Economics / Helicopter Money: Survey Evidence on Expectation Formation and Consumption
Behavior
13-Jan / Economics / Financial Vulnerability and Monetary Policy
14-Jan / FX / Currency Dimension of Bank Lending Channel in International Monetary Transmission
15-Jan / FX / When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds
16-Jan / FX / Volatility Spillovers between Foreign-Exchange and Stock Markets
17-Jan / FX / Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy
18-Jan / FX / Exchange Rate Risk’ within the EMU? Analyzing the Exchange Rate Exposure of German Firms
19-Jan / Trading / Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
20-Jan / Economics / Quantifying Retail Agglomeration using Diverse Spatial Data
21-Jan / Economics / Do Central Banks Respond Timely to Developments in the Global Economy?
22-Jan / Economics / When the Bubble Bursts: Monetary Policy Rules and Foreign Exchange Market Behavior
23-Jan / Economics / Market Volatility, Monetary Policy and the Term Premium
24-Jan / Economics / The Effect of Conventional and Unconventional Euro Area Monetary Policy on Macroeconomic Variables
25-Jan / Equities / Monetary Policy and the Stock Market: Time-Series Evidence
26-Jan / FX / Predictability and Mispricing in Emerging vs. Developed Currency Markets
27-Jan / Economics / Economic Crises and the Eligibility for the Lender of Last Resort: Evidence from 19th Century France
28-Jan / Economics / Which Monetary Shocks Matter in Small Open Economies? Evidence from SVARs
29-Jan / Economics / Expectation and Duration at the Effective Lower Bound
30-Jan / Fixed income / Credit-Market Sentiment and the Business Cycle
31-Jan / Trading / Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?
February 2017
01-Feb / Trading / Fire Buys of Central Bank Collateral Assets
02-Feb / Economics / On the Global Financial Market Integration ‘Swoosh’ and the Trilemma
03-Feb / Economics / The Dynamic Relationship between Housing Prices and the Macroeconomy: Evidence from OECD Countries
04-Feb / Economics / Interventions in Markets with Adverse Selection: Implications for Discount Window Stigma
05-Feb / FX / How Exporters Set Prices: Evidence from a Large Behavioural Survey
06-Feb / FX / Business Cycle Risk in Currency Markets
07-Feb / FX / Fear Connectedness Among Asset Classes
08-Feb / Economics / Establishing Credible Rules for Fed Emergency Lending
09-Feb / Economics / Global Impact of US and Euro Area Unconventional Monetary Policies: A Comparison
10-Feb / FX / FX Market Metrics: New Findings Based on CLS Bank Settlement Data
11-Feb / Economics / Can We Identify the Fed’s Preferences?
12-Feb / Economics / The Global Role of the U.S. Economy: Linkages, Policies and Spillovers
13-Feb / Economics / Capital Controls and Monetary Policy Autonomy in a Small Open Economy
14-Feb / Economics / Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises
15-Feb / FX / Exchange Rate Prediction Redux: New Models, New Data, New Currencies
16-Feb / Economics / The Impact of Exports to China on Latin American Growth
17-Feb / Economics / Optimal Policy with Liquidity Frictions
18-Feb / FX / Monetary Policy’s Rising FX Impact in the Era of Ultra-Low Rates
19-Feb / Economics / Daily Exchange Rate Pass-Through into Micro Prices
20-Feb / Library / Redis Python API: fast key-value store
21-Feb / Economics / Brexit or Bremain? Evidence from bubble analysis
22-Feb / Economics / The Impact of Monetary Strategies on Inflation Persistence
23-Feb / Economics / Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market
24-Feb / Economics / Central Bank Sentiment and Policy Expectations
25-Feb / Economics / What Drives Business Investment in the United Kingdom? Results from a Firm-Level VAR Approach
26-Feb / Economics / Can We Identify the Fed’s Preferences?
27-Feb / FX / Carry Trade Strats with Factor Augmented Macro Fund: A Dynamic Markov-Switching Factor Model
28-Feb / Economics / The Impact of Monetary Strategies on Inflation Persistence
March 2017
01-Mar / FX / Informativeness of Trade Size in Foreign Exchange Markets
04-Mar / FX / Macro Uncertainty and Currency Premia
05-Mar / Economics / Investigating First-Stage FX Pass-Through: Sectoral and Macro Evidence from Euro Area Countries
06-Mar / Economics / Effects of the ETF Purchases by the Bank of Japan: Theory and Empirical Evidence
07-Mar / Economics / Gauging Uncertainty of Economic Outlook Using Historical Forecasting Errors: The Fed’s Approach
08-Mar / Economics / Monetary Policy and Bank Lending in a Low Interest Rate Environment: Diminishing Effectiveness?
09-Mar / FX / The Exchange Rate Effects of Macro News after the Global Financial Crisis
10-Mar / FX / After the Tide: Commodity Currencies and Global Trade
11-Mar / Economics / Speed of Price Adjustment Towards Market Efficiency: Evidence from Emerging Countries
12-Mar / Economics / Inflation, Real Growrth & Unemployment: An Empirical Analysis Based on ECB Survey of Prof Forecaster
13-Mar / Economics / Quantitative Easing and the Price-Liquidity Trade-Off
14-Mar / Economics / Asymmetric Macro-Financial Spillovers
15-Mar / Economics / Market Reactions to ECB Policy Innovations: A Cross-Country Analysis
16-Mar / FX / The Relative Effectiveness of Spot and Derivatives Based Intervention: The Case of Brazil
17-Mar / Trading / Swarm behavior of traders with different subjective predictions in the Market
18-Mar / Economics / Topological Data Analysis of Financial Time Series: Landscapes of Crashes
19-Mar / Trading / The short-term price impact of trades is universal
20-Mar / Trading / Network-based Anomaly Detection for Insider Trading
21-Mar / FX / Diffusive and arrested-like dynamics in currency exchange markets
22-Mar / Commodities / Identifying Speculative Demand Shocks in Commodity Futures Markets Through Changes in Volatility
23-Mar / Commodities / Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold
24-Mar / Commodities / Pairs Trading to the Commodities Futures Market Using Cointegration Method
25-Mar / Commodities / Slopes, Spreads & Depth: Monetary Policy Announcements& Liquidity Provision in Energy Futures Market
26-Mar / Commodities / The Most Predictive Energy Search Terms
27-Mar / FX / Do Risk Disclosures Matter When it Counts? Evidence from the Swiss Franc Shock
28-Mar / FX / Foreign Exchange Liquidity in the Americas
29-Mar / FX / Modelling FX Exposure of UK Insurance Companies: A Cash Flow-Based Methodology
30-Mar / Fixed income / Fundamental Indexation for Developed, Emerging, and Frontier Government Bond Markets
31-Mar / FX / Investigating First-Stage FX Pass-Through: Sectoral and Macro Evidence from Euro Area Countries
April 2017
01-Apr / FX / The RMB Central Parity Formation Mechanism after August 2015: A Statistical Analysis
02-Apr / Economics / Deciphering Fedspeak: The Information Content of FOMC Meetings
03-Apr / Economics / Sticky Wages, Monetary Policy and Fiscal Policy Multipliers
04-Apr / Economics / Monetary Policy, Hot Money and Housing Price Growth Across Chinese Cities
05-Apr / Economics / Oil, Equities, and the Zero Lower Bound
06-Apr / Economics / Effects of Consumption Taxes on Real Exchange Rates and Trade Balances
07-Apr / Economics / Interest Rate Conundrums in the Twenty-First Century
08-Apr / Commodities / The Sweet and Sour History of Sugar Prices
09-Apr / Trading / Incorporating Signals into Optimal Trading
10-Apr / FX / Risk-Based Currency Management
11-Apr / FX / Monetary Policy and the Predictability of Nominal Exchange Rates
12-Apr / FX / Monetary policy’s rising FX impact in the era of ultra-low rates
13-Apr / Trading / Toxic Arbitrage and Price Discovery
14-Apr / Economics / Explaining Business Cycle Synchronization: Recursive Preferences and Terms of Trade Channel
15-Apr / FX / The Currency Composition of International Portfolio Assets
16-Apr / Economics / Monetary Policy Surprises Over Time
17-Apr / FX / Early Warning Signals for Currency Crisis in India
18-Apr / FX / The Quanto Theory of Exchange Rates
19-Apr / Economics / Urban Data Streams and Machine Learning: A Case of Swiss Real Estate Market
20-Apr / Trading / On Feature Reduction using Deep Learning for Trend Prediction in Finance
21-Apr / Trading / Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
22-Apr / Trading / Interconnectedness in the Global Financial Market
23-Apr / FX / What’s News in Exchange Rate Dynamics: A DSGE Approach
24-Apr / FX / Momentum in Traditional and Cryptocurrencies Made Simple
25-Apr / Commodities / The Wandering of Corn
26-Apr / Commodities / Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
27-Apr / Economics / Quantifying instabilities in Financial Markets
28-Apr / Economics / Transport Costs, Relative Prices, and International Risk Sharing
29-Apr / Economics / Necessity As the Mother of Invention: Monetary Policy after the Crisis
30-Apr / Fixed income / Government Bond Yields at the Effective Lower Bound: International Evidence
May 2017
01-May / FX / Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy
02-May / Economics / Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
03-May / Economics / ECB-Global: Introducing ECB’s Global Macroeconomic Model for Spillover Analysis
04-May / Economics / Conditional Forecasting with DSGE Models – A Conditional Copula Approach
05-May / Economics / The Economics of the Fed Put
06-May / FX / The Beneficial Aspect of FX Volatility for Market Liquidity (in THB)
07-May / Economics / Is Monetary Policy Less Effective When Interest Rates are Persistently Low?
08-May / Economics / Systematic or Idiosyncratic? Spillover Effects in Corporate Bond Markets & Portfolio Implications
09-May / Economics / Down in the Slumps: The Role of Credit in Five Decades of Recessions
10-May / Economics / Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market
13-May / FX / Predicting Currency Crises: How Do Indicators Differ According to Crisis Definition?
14-May / FX / 2017 Global Cryptocurrency Benchmarking Study
15-May / FX / Exchange Rates and Trade: A Disconnect?
16-May / FX / The Quanto Theory of Exchange Rates
17-May / FX / Does Marketing Widen Borders? Cross-Country Price Dispersion in the European Car Market
18-May / FX / Foreign Exchange Intervention and the Dutch Disease
19-May / FX / Exchange Rates and Trade: A Disconnect?
20-May / Fixed income / Flow effects of CB Asset Purchases on Euro Area Sov Bond Yields: Evidence from Natural Experiment
21-May / Economics / Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies
22-May / Economics / Does Prolonged Monetary Policy Easing Increase Financial Vulnerability?
23-May / Economics / Forward Guidance Through Interest Rate Projections: Does It Work?
24-May / FX / Is Money Going Digital? – A Brief Note About the Current Hype
25-May / FX / Currency Target Zones as Mirrored Options
26-May / Economics / A New Way to Quantify the Effect of Uncertainty
27-May / Library / Two Sigma: A time series library for Spark (Python wrapper)
28-May / Economics / AQR Insight Award h/t @Dutch_Book
29-May / FX / FX Dynamics in Anticipation of Time-Contingent Regime Switching: Modelling Effects of Possible Delay
30-May / Economics / Policy Uncertainty in Japan
31-May / Economics / Anticipatory Monetary Policy and the Price Puzzle
June 2017
01-Jun / Economics / Managing the Tide: How Do Emerging Markets Respond to Capital Flows?
02-Jun / Fixed income / European Spreads at the Interest Rate Lower Bound
03-Jun / Economics / Economic Policy Uncertainty Spillovers in Booms and Busts
04-Jun / Economics / Rules Versus Discretion in Monetary Policy Historically Contemplated
05-Jun / FX / Portfolio Inflows and Real Effective Exchange Rates: Does the Sectorization Matter?
06-Jun / FX / Local Currency Sovereign Risk
07-Jun / FX / Interdealer Information in Augmented Taylor Rule – A New Hybrid Approach to Analyze Exchange Rates
08-Jun / FX / Missing Import Price Changes and Low Exchange Rate Pass-Through
09-Jun / Economics / Eurozone Exit Risk
10-Jun / FX / Asymmetric Arbitrage Trading on Offshore and Onshore Renminbi Markets
11-Jun / Economics / The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway
12-Jun / FX / Monetary Policy and Currency Returns: The Foresight Saga
13-Jun / Economics / Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates
14-Jun / FX / The Special FX Market
15-Jun / FX / Order Flow, Volatility and Fuzzy Logic: Technical Analyses for Currency Trading
16-Jun / FX / FX Black Markets & Historical Turning Points: ‘Free’ Sterling in New York & Switzerland in the 1940s
17-Jun / Fixed income / Limited Participation and Local Currency Sovereign Debt
18-Jun / FX / FDI, Aggregate Demand Conditions and Exchange Rate Nexus: A Panel Data Analysis of BRICS Economies
19-Jun / FX / Exchange Rate Regimes in Central, Eastern and Southeastern Europe: A Euro Bloc and a Dollar Bloc?
20-Jun / FX / A Growth Perspective on Foreign Reserve Accumulation
21-Jun / FX / International Financial Market Integration, Asset Compositions, & the Falling FX Pass-Through
22-Jun / Economics / Monetary Policy Through Production Networks: Evidence from the Stock Market
23-Jun / FX / Designing New Money – The Policy Trilemma of Central Bank Digital Currency
24-Jun / Economics / House Prices and Macroprudential Policy in an Estimated DSGE Model of New Zealand
25-Jun / Economics / Risk Ind for Financial Market Infrastructure: From HF Transaction Data to a Traffic Light Signal
26-Jun / Economics / Monetary and Fiscal Policy in England During the French Wars (1793-1821)
27-Jun / Economics / Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data
28-Jun / FX / Order Flows, Differential Risk Premiums, and the UIP Puzzle
29-Jun / Economics / The ‘New Normal’ of Swiss BoP CB Intervention, Global Imbalances & Rise of Sovereign Wealth Funds
30-Jun / FX / Monetary Policy and Currency Returns: The Foresight Saga
July 2017
01-Jul / FX / A Statistical Analysis of Carry Trading
02-Jul / FX / Currency Co-Movements in Asia-Pacific: The Regional Role of the Renminbi
03-Jul / Economics / Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates
04-Jul / FX / Portfolio Inflows and Real Effective Exchange Rates: Does the Sectorization Matter?
05-Jul / Economics / The Role of Money in the Business Cycle
06-Jul / Economics / News-sentiment networks as a risk indicator
07-Jul / Economics / Communication of Monetary Policy in Unconventional Times h/t @KenVeksler
08-Jul / Economics / The Importance of Being Special: Repo Markets During the Crisis
09-Jul / FX / Predicting Brexit GBPUSD moves with vol surface @IainJClarkQuant
10-Jul / Economics / The Reader’s Guide to Optimal Monetary Policy
11-Jul / Economics / Macroprudential Policy and Bank Risk
12-Jul / Economics / The Portfolio Balance Channel of Monetary Policy: Evidence from the U.S. Financial Accounts
13-Jul / Economics / Nominal GDP Targeting with Heterogeneous Labor Supply
14-Jul / Economics / Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling: Tales from 1001 Shocks
15-Jul / Equities / A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates
16-Jul / FX / Segmented Money Markets and Covered Interest Parity Arbitrage
17-Jul / FX / The Discontinuation of the EUR/CHF Minimum Exchange Rate in January 2015: Was It Expected?
18-Jul / Economics / The Distributive Impact of Monetary Policy: Evidence from the UK
19-Jul / Economics / Transitions in Central Bank Leadership
20-Jul / Economics / Banks’ Trading after the Lehman Crisis: The Role of Unconventional Monetary Policy
21-Jul / Economics / Shocks vs Structure: Explaining Differences in Exchange Rate Pass-Through across Countries & Time
22-Jul / FX / The sterling flash crash event of 7 Oct 2016 (BIS)
23-Jul / Economics / Older & Slower: The Startup Deficit’s Lasting Effects on Aggregate Productivity Growth h/t @5thrule
24-Jul / FX / Dynamic Conditional Currency Hedging
25-Jul / FX / Cross-Sectional Return Dispersion and Currency Momentum
26-Jul / FX / Reserve Options Mechanism: The New Monetary Policy Tool of CBRT and Its Effect on FX Volatility
27-Jul / FX / Common Risk Factors in Currency Markets
28-Jul / Fixed income / Treasury Yield Implied Volatility and Real Activity
29-Jul / FX / The Effects of Brexit on the Pound: Towards a Currency Crisis?
30-Jul / FX / Dynamic Spillover between Commodities and Commodity Currencies During United States Q.E.
31-Jul / Fixed income / Uncovering Covered Interest Parity: The Role of Bank Regulation and Monetary Policy
August 2017
01-Aug / FX / Daily FX Interventions in EM: Incorporating Reserve Accumulation to the Reaction Function
02-Aug / FX / Purchasing Power Parity and the Taylor Rule
03-Aug / FX / Market Impact: A Systematic Study of Limit Orders
04-Aug / FX / Can Interaction between Single Long-Term Attractor & Heterogeneous Trading Explain the FX Conundrum?
05-Aug / Economics / Forecasting Inflation in Latin America with Core Measures
06-Aug / Economics / On Secular Stagnation and Low Interest Rates: Demography Matters
07-Aug / Economics / (Why) Do Central Banks Care About Their Profits?
08-Aug / Economics / Can We Use Vol to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles (h/t @Dutch_Book)
09-Aug / FX / Analysis of the Effects of the US Equity Returns & FX Changes on EM Economies’ Equity Vol
10-Aug / Trading / Sequence Classification of the Limit Order Book using Recurrent Neural Networks
11-Aug / Trading / Instantaneous order impact and high-frequency strategy optimization in limit order books
12-Aug / Trading / Impact & Recovery Process of Mini Flash Crashes: An Empirical Study
13-Aug / FX / Safe‐Haven Currency: An Empirical Identification
14-Aug / FX / Eqchange: A World Database on Actual and Equilibrium Effective Exchange Rates
15-Aug / Economics / A Tie that Binds: Revisiting the Trilemma in Emerging Market Economies
16-Aug / Economics / Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach
17-Aug / Commodities / A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices
18-Aug / Trading / Order Flows and Limit Order Book Resiliency on the Meso-Scale
19-Aug / Trading / Correlations and Flow of Information between The New York Times and Stock Markets
20-Aug / Economics / Forecasting the U.S. Real House Price Index
21-Aug / Trading / Nonlinear price impact from linear models
22-Aug / Other / A domain-theoretic approach to Brownian motion and general continuous stochastic processes (@bilokon)
23-Aug / Economics / Central Bank Swap Lines and CIP Deviations
24-Aug / FX / Robust Prediction of Tri FX Arb with Liquidity & Realized Risk: New Wavelet-Based UHF Analysis
25-Aug / Economics / Estimating Macroeconomic Uncertainty from Surveys – A Mixed Frequency Approach
26-Aug / Economics / Investor Moral Hazard and ECB Monetary Policy Response
27-Aug / Economics / The Macroeconomic Effects of Trade Tariffs: Revisiting the Lerner Symmetry Result
28-Aug / Economics / Policy Uncertainty in Japan
29-Aug / Economics / Monetary Policy Credibility and Exchange Rate Pass-Through
30-Aug / Economics / Explaining the Pre-Announcement Drift
31-Aug / FX / The Value of Volume in Foreign Exchange
September 2017
01-Sep / FX / Currency Factors
02-Sep / FX / The Changes in the Demand of East Asian Countries for FX Reserves (in Korean)
03-Sep / Fixed income / Market Segmentation and Limits to Arbitrage under Negative Interest Rates: Evidence from BoJ’s QQE
04-Sep / Fixed income / The Natural Rate of Interest and Bond Returns
05-Sep / Economics / Towards Macroprudential Stress Testing: Incorporating Macro-Feedback Effects
06-Sep / Economics / Policy Uncertainty in Japan
07-Sep / Economics / Is the Fed’s News Perception Different from the Private Sector’s?
08-Sep / Economics / US Monetary Policy Spillovers
09-Sep / Economics / Inflation Upsurge Amid Bad Weather
10-Sep / Economics / Monetary Policy Surprises and the Responses of Asset Prices: An Event Study Analysis
11-Sep / FX / Purchasing Power Parity and the Taylor Rule
12-Sep / FX / Daily FX Interventions in EM: Incorporating Reserve Accumulation to the Reaction Function
13-Sep / Economics / Pol Econ or Pol Econ? Role of Pol Env in Formation of Fed Policy Under Burns, Greenspan & Bernanke
14-Sep / Economics / The Optimal Conduct of Central Bank Asset Purchases
15-Sep / Economics / Transitions in Central Bank Leadership
16-Sep / FX / Financial Crises, FX Linkages and Uncovered Interest-Rate Parity: Evidence from G7 Markets
17-Sep / FX / Managers’ Research Education, the Use of FX Derivatives and Corporate Speculation
18-Sep / FX / Informal One-Sided Target Zone Model and the Swiss Franc
19-Sep / FX / FX Predictability During the Financial Crisis: Implications for Carry Trade Profitability
20-Sep / FX / An Inquiry into Exchanges Rate Misalignments As a Cause of the Major Global Trade Imbalances
21-Sep / Economics / International Financial Spillovers to EM: How Important are Economic Fundamentals?
22-Sep / Economics / A Macroeconomic Model with Financially Constrained Producers and Intermediaries
23-Sep / FX / Effects of Capital Controls on Foreign Exchange Liquidity
24-Sep / Trading / Market Impact of Algorithmic Trading: A Reconciliation
25-Sep / FX / Identification of Currency Crises in Emerging Economies: A Combined Approach
26-Sep / Economics / On Interest Rate Policy and Asset Bubbles
27-Sep / Economics / Inferring the Shadow Rate from Real Activity
28-Sep / FX / Predicting Pegged Exchange Rate Currency Collapse: A Literature Review
29-Sep / Economics / A Central Bank’s Optimal Balance Sheet Size?
30-Sep / Economics / Monetary Policy in a Low Interest Rate World
October 2017
01-Oct / FX / FX Swaps and Forwards: Missing Global Debt?
02-Oct / Economics / Does Marketing Widen Borders? Cross-Country Price Dispersion in the European Car Market
03-Oct / FX / Spot Arbitrage in FX Market and Algorithmic Trading: Speed Is Not of the Essence
04-Oct / FX / Market Impact of Algorithmic Trading: A Reconciliation
05-Oct / Economics / Monetary Policy, Asset Prices, and Liquidity under Adverse Selection
06-Oct / Economics / Should Unconventional Monetary Policies Become Conventional?
07-Oct / Economics / Communication of Monetary Policy in Unconventional Times
08-Oct / Economics / Monetary Momentum
09-Oct / Cryptocurrencies / Central Bank Cryptocurrencies
10-Oct / Economics / The Effects of Central Bank’s Verbal Guidance: Evidence from the ECB
11-Oct / Cryptocurrencies / 2017 Global Blockchain Benchmarking Study
12-Oct / FX / Economic and Political Effects on Currency Clustering Dynamics
13-Oct / FX / FX Swaps and Forwards: Missing Global Debt?
14-Oct / Commodities / Do Precious and Industrial Metals Act as Hedges and Safe Havens for Currency Portfolios?
15-Oct / FX / The Price of a Digital Currency
16-Oct / FX / The Economics of Cryptocurrencies – Bitcoin and Beyond
17-Oct / Economics / Assessing Inflation Targeting after a Decade of World Experience
18-Oct / FX / GARCH Modeling of Cryptocurrencies
19-Oct / Economics / The Housing Boom and Bust: Model Meets Evidence
20-Oct / FX / The Role of Technical Indicators in Exchange Rate Forecasting
21-Oct / Economics / Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence
22-Oct / Economics / Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia
23-Oct / Economics / Central Bank Actions & Words: The Intraday Effects of FOMC on Individual Equity Vol and Returns
24-Oct / Economics / Disagreement and Monetary Policy
25-Oct / FX / Did the Exchange Rate Floor Prevent Deflation in the Czech Republic?
26-Oct / FX / Forecasting Exchange Rates with Generalized Principal Components
27-Oct / Economics / Monetary Policy Uncertainty
28-Oct / Economics / Monetary Policy in a Low Interest Rate Environment
29-Oct / Economics / Natural Rates Across the Atlantic
30-Oct / Economics / Value Timing: Risk and Return Across Asset Classes
31-Oct / Economics / Real Effects of Search Frictions in Consumer Credit Markets
November 2017
01-Nov / Cryptocurrencies / Designing a Global Digital Currency
02-Nov / Code library / pygdf: GPU dataframe for Python
03-Nov / Code library / spaCy: NLP library
04-Nov / Economics / External Stress Early Warning Indicators
05-Nov / Economics / Why Rent When You Can Buy?
06-Nov / FX / Do Immigrants’ Funds Affect the Exchange Rate?
07-Nov / Economics / Segmented Money Markets and Covered Interest Parity Arbitrage
08-Nov / FX / Another Look at Currency Risk in International Stock Returns
09-Nov / FX / Forecasting Exchange Rates with Generalized Principal Components
10-Nov / FX / Risk Premium Factor and Exchange Rate Forecasting
11-Nov / FX / Is Implied Taylor Rule Interest Rate Applicable as a Carry Trade Strategy?
12-Nov / FX / Predicting Exchange Rates in Asia: New Insights on the Accuracy of Survey Forecasts
13-Nov / FX / The Information Content in the Offshore Renminbi Foreign-Exchange Option Market: Analytics and Implied USD/CNH Densities
14-Nov / Commodities / The Impact of Unconventional Monetary Policy Shocks on Energy Prices
15-Nov / Economics / What’s the Story? A New Perspective on the Value of Economic Forecasts
16-Nov / Machine Learning / Speech and Language Processing (draft book – Jurafsky/Martin)
17-Nov / Economics / Early Warning Systems with Real-Time Data
18-Nov / FX / A New Tight and General Bound on Return Predictability
19-Nov / FX / Is Sign-Only Forecast of Exchange Rate Easier Than Forecasting Both Sign and Size?
20-Nov / FX / Predicting Exchange Rates in Asia: New Insights on the Accuracy of Survey Forecasts
21-Nov / FX / Global Imbalances: Should We Use Fundamental Equilibrium Exchange Rates?
22-Nov / FX / China’s Evolving Managed Float: Exploration of Roles of Fix & USD Moves in Explaining Daily FX Chg
23-Nov / Economics / Financial Imbalances, Crisis Probability and Monetary Policy in Norway
24-Nov / Economics / The Bank of England as Lender of Last Resort: New Historical Evidence from Daily Transactional Data
25-Nov / FX / An Explicit Mapping of Currency Target Zone Models to Option Prices
26-Nov / Economics / Monetary Policy and the Copper Price Bust: A Reassessment of the Causes of the Panic of 1907
27-Nov / Economics / Assessing the Effective Stance of Monetary Policy: A Factor-Based Approach
28-Nov / Economics / Interest Rates and House Prices in the United States and Around the World
29-Nov / Economics / The Tradeoffs in Leaning Against the Wind
30-Nov / Economics / U. S. Monetary Policy and Emerging Market Credit Cycles
December 2017
01-Dec / Economics / What’s the Story? A New Perspective on the Value of Economic Forecasts
02-Dec / Economics / (Un)Expected Monetary Policy Shocks and Term Premia
03-Dec / Economics / Revolution Required – The Ticking Time Bombs of the G7 Model
04-Dec / Fixed income / Underpricing in the Eurozone Corporate Bond Market
05-Dec / Economics / Coordinating Monetary and Financial Regulatory Policies
06-Dec / Equities / Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees
07-Dec / Trading / A simple model for forecasting conditional return distributions
08-Dec / Trading / Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
09-Dec / Trading / Financial Time Series Prediction Using Deep Learning
10-Dec / Trading / Winning Investment Strategies Based on Financial Crisis Indicators
11-Dec / Trading / Testing if the market microstructure noise is a function of the limit order book
12-Dec / Fixed income / An Index of Treasury Market Liquidity: 1991-2017
13-Dec / FX / Human vs. High-Frequency Traders, Penny Jumping, and Tick Size
14-Dec / FX / Foreign Safe Asset Demand for U.S. Treasuries and the Dollar
15-Dec / FX / Currency Hedging for Global Equity Portfolios: Historical Performance
16-Dec / FX / Tail Risks and Asymmetries in Stock and Currency Markets
17-Dec / FX / Do Sterilized Foreign Exchange Interventions Create Money?
18-Dec / Options / QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds
19-Dec / Economics / Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises
20-Dec / Economics / The Effect of Interest Rates on Home Buying: Evidence from a Discontinuity in Mortgage Insurance Premiums
21-Dec / Economics / Household Debt: Recent Developments and Challenges
22-Dec / Economics / Macroeconomic Implications of Financial Imperfections: A Survey
23-Dec / Economics / Is There a Debt Service Channel of Monetary Transmission?