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 …

The Mussa (1986) puzzle is the observation of a sharp and simultaneous increase in the
volatility of both nominal and real exchange rates following the end of the Bretton Woods …

Using unique data at transaction and identity levels, we provide the first systematic study of
interest rate swaps traded over the counter (OTC). We find substantial and persistent …

Executive summary Information and internet technology has fostered new web-based
services that affect every facet of today's economic and financial activity. This creates …

A key issue for decentralised markets like FX is how the market responds to extreme
situations. Using data on FX transactions with a precise identification of Algorithmic trading …

Using a novel regulatory dataset of fully identified derivatives transactions, this paper
provides the first comprehensive analysis of the structure of the euro area interest rate swap …

We investigate whether margin calls on derivative counterparties could exceed their
available liquid assets and, by preventing immediate payment of those calls, spread such …

We use granular regulatory data on euro interest rate swap trades between January 2021
and June 2023 to assess whether derivative positions of Italian banks can offset losses on …

We study the nonlinear limits to arbitrage in a model. When mispricing is small, arbitrage
activity increases with mispricing because of the higher cost‐adjusted return. However, at …

Closeout procedures enable central counterparties (CCPs) to respond to events that
challenge the continuity of their normal operations, most frequently triggered by the default …