Tootfinder

Nice Annelieke Mooij on the possible climate lawsuit Milieudefensie v. #ING.
https://eulawanalysis.blogspot.com/2024/03/climate-case-against-ing-what-does-it…

Climate case against ING: what does it mean for monetary policy?
  Annelieke Mooij , Assistant Professor, Tilburg University Photo credit : Sandro Halank, via Wikimedia Commons The Dutch climate organi...

This https://arxiv.org/abs/2403.16055 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_csCE_…

Modal-adaptive Knowledge-enhanced Graph-based Financial Prediction from Monetary Policy Conference Calls with LLM
Financial prediction from Monetary Policy Conference (MPC) calls is a new yet challenging task, which targets at predicting the price movement and volatility for specific financial assets by analyzing multimodal information including text, video, and audio. Although the existing work has achieved great success using cross-modal transformer blocks, it overlooks the potential external financial knowledge, the varying contributions of different modalities to financial prediction, as well as the in…

This https://arxiv.org/abs/2311.05883 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_eco…

Time-Varying Identification of Monetary Policy Shocks
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity within each regime. Based on four alternative monetary policy rules, we show that a monthly six-variable system supports time variation in US monetary policy shock identification. In the sample-dominatin…

Japan’s central bank, the Bank of Japan (BOJ), made global headlines in March with a bet that the deflation-ridden economy had finally turned a corner.
The question now is whether the economy will do its part.
Bolstered by a stronger economy and steady wage growth, the BOJ drew a curtain on one of the longest-running monetary policy experiments in history, ending 11 years of an unconventional monetary easing that was aimed at reversing seemingly intractable deflationary pressures.…

Japan's Economy Might Not Manage Its Monetary Policy Shift
A vote of confidence in the future may be undercut by a lukewarm economy.

UK Update: How the Bank of England’s Monetary Policy is Impacting CRE Transactions and Values
#RealEstate #MoodysCRE #MA_CRESolutions

Instruments And Effects Of Monetary And Fiscal Policy: The Relationship Between Inflation, Vat, And Deposit Interest Rate
Ali Dogdu, Murad Kayacan
https://arxiv.org/abs/2404.03989

Instruments And Effects Of Monetary And Fiscal Policy: The Relationship Between Inflation, Vat, And Deposit Interest Rate
In this study, we aimed to examine the effect of VAT revenues and Deposit Interest Rates on Inflation in Turkey between 1985-2022. Within the framework of econometric analysis of the obtained data, the analysis was carried out using ADF unit root test, Johansen Co-Integration Test, Error Terms and VECM (Vector Error Correction Model) models. According to the analysis results, it was understood that the data were stationary at the I(I) level, it was determined that there was a cointegrated relat…

How $1.2 billion in NYPD civil litigation case settlements and monetary awards went unreported - City & State New York
https://www.cityandstateny.com/policy/2024/04/how-12-billion-ny…

How $1.2 billion in NYPD civil litigation case settlements and monetary awards went unreported
An investigation of public records shows the Law Department’s mandated reporting has not provided full transparency.

Maximally Forward-Looking Core Inflation
Philippe Goulet Coulombe, Karin Klieber, Christophe Barrette, Maximilian Goebel
https://arxiv.org/abs/2404.05209 https://arxiv.org/pdf/2404.05209
arXiv:2404.05209v1 Announce Type: new
Abstract: Timely monetary policy decision-making requires timely core inflation measures. We create a new core inflation series that is explicitly designed to succeed at that goal. Precisely, we introduce the Assemblage Regression, a generalized nonnegative ridge regression problem that optimizes the price index's subcomponent weights such that the aggregate is maximally predictive of future headline inflation. Ordering subcomponents according to their rank in each period switches the algorithm to be learning supervised trimmed inflation - or, put differently, the maximally forward-looking summary statistic of the realized price changes distribution. In an extensive out-of-sample forecasting experiment for the US and the euro area, we find substantial improvements for signaling medium-term inflation developments in both the pre- and post-Covid years. Those coming from the supervised trimmed version are particularly striking, and are attributable to a highly asymmetric trimming which contrasts with conventional indicators. We also find that this metric was indicating first upward pressures on inflation as early as mid-2020 and quickly captured the turning point in 2022. We also consider extensions, like assembling inflation from geographical regions, trimmed temporal aggregation, and building core measures specialized for either upside or downside inflation risks.

Monetary policy uncertainty goes together with energy price bubbles https://www.sciencedirect.com/science/article/abs/pii/S0140988324002111 @…

Maximally Forward-Looking Core Inflation
Philippe Goulet Coulombe, Karin Klieber, Christophe Barrette, Maximilian Goebel
https://arxiv.org/abs/2404.05209 https://arxiv.org/pdf/2404.05209
arXiv:2404.05209v1 Announce Type: new
Abstract: Timely monetary policy decision-making requires timely core inflation measures. We create a new core inflation series that is explicitly designed to succeed at that goal. Precisely, we introduce the Assemblage Regression, a generalized nonnegative ridge regression problem that optimizes the price index's subcomponent weights such that the aggregate is maximally predictive of future headline inflation. Ordering subcomponents according to their rank in each period switches the algorithm to be learning supervised trimmed inflation - or, put differently, the maximally forward-looking summary statistic of the realized price changes distribution. In an extensive out-of-sample forecasting experiment for the US and the euro area, we find substantial improvements for signaling medium-term inflation developments in both the pre- and post-Covid years. Those coming from the supervised trimmed version are particularly striking, and are attributable to a highly asymmetric trimming which contrasts with conventional indicators. We also find that this metric was indicating first upward pressures on inflation as early as mid-2020 and quickly captured the turning point in 2022. We also consider extensions, like assembling inflation from geographical regions, trimmed temporal aggregation, and building core measures specialized for either upside or downside inflation risks.

Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network
Tingguo Zheng, Hongyin Zhang, Shiqi Ye
https://arxiv.org/abs/2405.02575

Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the green bond and equity markets varies with different moments (returns, volatility, skewness, and kurtosis) and changes significantly around Federal Open Market Committee (FOMC) events. Static analysis shows a decrease in connectedness with higher moments, while dy…

Does anyone know the historical origin of the 5-year monetary policy renewal between the Bank of Canada and the federal government? The Bank of Canada Act doesn't mention the practice. @… @…

Modal-adaptive Knowledge-enhanced Graph-based Financial Prediction from Monetary Policy Conference Calls with LLM
Kun Ouyang, Yi Liu, Shicheng Li, Ruihan Bao, Keiko Harimoto, Xu Sun
https://arxiv.org/abs/2403.16055

Modal-adaptive Knowledge-enhanced Graph-based Financial Prediction from Monetary Policy Conference Calls with LLM
Financial prediction from Monetary Policy Conference (MPC) calls is a new yet challenging task, which targets at predicting the price movement and volatility for specific financial assets by analyzing multimodal information including text, video, and audio. Although the existing work has achieved great success using cross-modal transformer blocks, it overlooks the potential external financial knowledge, the varying contributions of different modalities to financial prediction, as well as the in…

Interactions between oil price and monetary policy https://www.sciencedirect.com/science/article/pii/S0140988324002639 @…

Depressing but probably accurate analysis of the rise in poverty in #Cuba.
Causes of the deterioration since 2007.
1) Delays in implementing economic and institutional reforms in favour of coops / small businesses, and for strategic role of state enterprises.
2) Disproportionate and inflationary investment in tourism.
3) Neglect of social policy.
4) Bungled monetary reform rem…

Modal-adaptive Knowledge-enhanced Graph-based Financial Prediction from Monetary Policy Conference Calls with LLM
Kun Ouyang, Yi Liu, Shicheng Li, Ruihan Bao, Keiko Harimoto, Xu Sun
https://arxiv.org/abs/2403.16055

Modal-adaptive Knowledge-enhanced Graph-based Financial Prediction from Monetary Policy Conference Calls with LLM
Financial prediction from Monetary Policy Conference (MPC) calls is a new yet challenging task, which targets at predicting the price movement and volatility for specific financial assets by analyzing multimodal information including text, video, and audio. Although the existing work has achieved great success using cross-modal transformer blocks, it overlooks the potential external financial knowledge, the varying contributions of different modalities to financial prediction, as well as the in…

This https://arxiv.org/abs/2310.00321 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

Modeling the yield curve of Burundian bond market by parametric models
The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That instrument reflects the anticipation of inflation and the risk by investors. The rates reported on yield curve are the cornerstone of valuation of all assets. To provide such tool for Burundi financial market, we collected the auction reports of treasury securitie…

The impact of US monetary policy on EU gas and carbon markets flipped sign in 2015 https://www.sciencedirect.com/science/article/pii/S0140988324001944 @…

Mixed effects of monetary policy on green investment https://www.sciencedirect.com/science/article/pii/S0140988324002573 @……

This https://arxiv.org/abs/2403.16055 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_csCE_…

Modal-adaptive Knowledge-enhanced Graph-based Financial Prediction from Monetary Policy Conference Calls with LLM
Financial prediction from Monetary Policy Conference (MPC) calls is a new yet challenging task, which targets at predicting the price movement and volatility for specific financial assets by analyzing multimodal information including text, video, and audio. Although the existing work has achieved great success using cross-modal transformer blocks, it overlooks the potential external financial knowledge, the varying contributions of different modalities to financial prediction, as well as the in…

This https://arxiv.org/abs/2311.05883 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_eco…

Time-Varying Identification of Monetary Policy Shocks
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity within each regime. Based on four alternative monetary policy rules, we show that a monthly six-variable system supports time variation in US monetary policy shock identification. In the sample-dominatin…

This https://arxiv.org/abs/2305.05998 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock risk premiums to investigate the validity of the APT over time, applying the rolling window method to Fama and MacBeth's (1973) two-step regression and Kamstra and Shi's (2023) generalized GRS test. We summarize our empirical results as follows: (1) the changes in monetary policy by major central banks greatly affect th…

This https://arxiv.org/abs/2311.05883 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_eco…

Time-Varying Identification of Monetary Policy Shocks
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity within each regime. Based on four alternative monetary policy rules, we show that a monthly six-variable system supports time variation in US monetary policy shock identification. In the sample-dominatin…

This https://arxiv.org/abs/2403.00774 has been replaced.
link: https://scholar.google.com/scholar?q=a

Regional inflation analysis using social network data
Inflation is one of the most important macroeconomic indicators that have a great impact on the population of any country and region. Inflation is influenced by range of factors, one of which is inflation expectations. Many central banks take this factor into consideration while implementing monetary policy within the inflation targeting regime. Nowadays, a lot of people are active users of the Internet, especially social networks. There is a hypothesis that people search, read, and discuss mai…

This https://arxiv.org/abs/2403.00774 has been replaced.
link: https://scholar.google.com/scholar?q=a

Regional inflation analysis using social network data
Inflation is one of the most important macroeconomic indicators that have a great impact on the population of any country and region. Inflation is influenced by range of factors, one of which is inflation expectations. Many central banks take this factor into consideration while implementing monetary policy within the inflation targeting regime. Nowadays, a lot of people are active users of the Internet, especially social networks. There is a hypothesis that people search, read, and discuss mai…