We introduce machine learning in the context of central banking and policy analyses. Our aim is to give an overview broad enough to allow the reader to place machine learning within the wider range of statistical modelling and computational analyses, and provide an idea of its scope and...

We study the relation between holdings of monetary assets and government securities in the Euro area. We estimate time-varying elasticities of substitution between monetary assets using the semi-nonparametric method of Gallant (1981). The empirical elasticities are then tested for structural...

This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques. We show the evolution of discourse over time and capture the main themes of interest for the central bank that go beyond its traditional mandate of maintaining price...

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a "portfolio balance" mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...

We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market’s reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....

Central bank lending to commercial banks is typically collateralized which reduces central bank's credit risk exposure to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a short period of time. This paper presents a simple model...

An unusual combination of assumptions - markets have frictions, but nonetheless are price efficient - is required to justify the generic buy-write strategy. In theory, a buy-write strategy allows investors to earn the variance risk premium (VRP) when they cannot access the variance swap market...

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

I propose a simple framework that quantifies the stance of monetary policy as a 'shadow short rate' when the term structure is near the zero lower bound. I demonstrate my framework with a one-factor model applied to Japanese data, including an intuitive economic interpretation of the results,...