This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors, after...

This paper seeks to estimate the extent to which market-implied policy expectations could be improved with further information disclosure from the FOMC. Using text analysis methods based on large language models, we show that if FOMC meeting materials with five-year lagged release dates-like...

In 2019, Sweden's central bank, the Riksbank, sold carbon-heavy bonds from its foreign exchange reserves. This act led to the Riksbank being labelled a frontrunner in what has been referred to as green central banking (GCB). The growing interest in proactive central banking has led to a wealth...

The major central banks now operate in a regime of abundance of bank reserves. As a result, they can only raise the money market rate by increasing the rate of remuneration of bank reserves. This, in turn, leads to large transfers of the central banks' profits (and more) to commercial banks that...

We examine whether artificial intelligence (AI) can decipher European Central Bank's communication. Employing 1769 inter-meeting verbal communication events of the European Central Bank's Governing Council members, we construct an AI-based indicator evaluating whether communication is leaning...