RePEc
RePEc
Economics working papers from RePEc's NEP field reports. 748 featured so far, newest first.
- Featured
- 748
- Tracked on Semantic Scholar
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- Cited 100+
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- Since
- 24 May 2023
- 25 Sep 20264fanfare
Assessing the Benefits of Optimized Agentic AI Systems for Asset Pricing
Optimized AI systems analyzing earnings call transcripts double explained variation in stock returns versus standard benchmarks while improving interpretability through human-readable decision rules.
RePEcML & AI Methods
- 25 Sep 20264fanfare
Stablecoins Meet the Mundell–Fleming Trilemma
Wallet-level stablecoin data shows crisis countries experience inflows during banking restrictions; this endogenizes capital mobility and tightens monetary policy constraints.
RePEcCrypto & DeFi
- 25 Sep 20263fanfare
Skewness Risk Premia and the Cross-Section of Currency Returns
Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios.
- 25 Sep 20263fanfare
The Global Credit Cycle
A nonlinear factor constructed from credit spreads and equity volatility prices global corporate bond returns, explaining up to 13% of three-month-ahead return variation across markets.
- 25 Sep 20263fanfare
Asset Embeddings
The paper shows that portfolio holdings contain all information needed for asset pricing and develops asset embeddings analogous to word embeddings to represent firms and predict valuations.
- 25 Sep 20263fanfare
Pricing Risk Globally: Intermediary Constraints, the Dollar, and the Global Financial Cycle
A two-country model shows that uncertainty shocks tighten intermediary constraints, widening credit spreads, appreciating the dollar, and raising currency risk premia globally.
- 25 Sep 20263fanfare
Carry Trade and Currency Crash Risk
Focusing on dollar-lira trading, the paper shows that higher crash risk significantly increases carry trade expected returns, accounting for 46–77% of compensation through Shapley decomposition.
- 25 Sep 20263fanfare
Predicting Financial Market Stress with Machine Learning
Tree-based machine learning models predict the full distribution of financial market stress 27% better than traditional time-series methods, with macro uncertainty and monetary policy expectations as key drivers.
RePEcML & AI Methods
- 25 Sep 20263fanfare
The credit channel of monetary policy: direct survey evidence from UK firms
UK firm survey data validates that external borrowers face larger cost-of-capital increases and cut investment more than internal funders when rates rise, accounting for a quarter of monetary policy's total effect.
- 25 Sep 20263fanfare
Innovation, financial frictions, and persistent effects of monetary policy
Monetary tightening reduces R&D more sharply among firms lacking cash-flow-based borrowing, generating persistent 0.12% output loss that younger, high-patent firms bear disproportionately.
- 25 Sep 20263fanfare
Ex Machina: Financial Stability in the Age of Artificial Intelligence
Q-learning and large language model investors generate systematically different behaviors in fund redemption settings, with Q-learning showing excessive coordination and amplified fragility under default risk.
RePEcML & AI Methods
- 25 Sep 20263fanfare
Elastic in cash, inelastic in repo: Hedge funds in the treasury and repo markets
Using German sovereign bond repo data, the research shows hedge funds are price-elastic in cash markets but highly inelastic in repo, inheriting elasticity from their cash-market counterparties.
- 25 Sep 20263fanfare
HKC05 - Household Portfolios, Corporate Leverage, and the Supply Side of Monetary Policy
Corporate leverage affects how monetary tightening transmits to the real economy: equity holders lose wealth while safe-asset holders are cushioned, raising the sacrifice ratio.
- 25 Sep 20263fanfare
Prices and Monetary Policy: The Role of Financial Constraints
Swedish data reveals that financially constrained firms adjust prices less to monetary shocks, materially dampening aggregate inflation response to policy changes.
- 25 Sep 20263fanfare
Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting
Tree-based models partition the option surface by moneyness and maturity to forecast volatility, reducing one-month-ahead errors by 13 percent versus benchmark models.
- 25 Sep 20263fanfare
Capital flows and exchange rates: A quantitative assessment of the dilemma hypothesis
In response to US monetary tightening, financial channels dominate for small open economies: credit spreads widen and output falls despite currency depreciation.
- 25 Sep 20263fanfare
Rate Risk and Rate Insurance
Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure.
- 25 Sep 20262fanfare
Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux
The research identifies common risk factors spanning stocks, corporate bonds, and options linked to economic indicators, revealing significant market segmentation and cross-asset hedging opportunities.
- 25 Sep 20263fanfare
Credit Card Banking
Analysis of 550 million US credit card accounts shows that despite high charge-off rates, card lenders earn 1.5% alpha and 6.8% return on assets through pricing power and non-interest income.
- 25 Sep 20263fanfare
Bank Runs With and Without Bank Failure
A database of 3,984 historical US bank runs shows runs are more likely in weak banks but often occur in strong banks; failures concentrate in fundamentally weak institutions.
- 25 Sep 20262fanfare
Taming Volatility, Feeding Crashes: Evidence from Algorithmic Trading in China's Agricultural Futures Markets
The study finds that algorithmic trading lowers realized volatility but increases tail co-movement and asymmetry in China's corn and soybean futures markets.
- 25 Sep 20262fanfare
LASH Risk and Interest Rates
The study measures liquidity risk from solvency hedging in sterling repo and swaps, finding that pre-crisis LASH risk predicted pension fund bond sales during the 2022 UK market stress.
- 25 Sep 20262fanfare
Sovereign vs. Corporate Debt and Default: More Similar Than You Think
Analysis of 20 years of US junk bonds and emerging market sovereign debt reveals surprisingly similar average returns, Sharpe ratios, default frequencies, and haircuts across the two asset classes.
- 25 Sep 20262fanfare
How Economic News Drives Implied Volatility in Agricultural Commodity Markets
Financial and macroeconomic news topics systematically predict implied volatility in corn and soybean markets, with program trading and 2008 crisis topics most robust at short horizons.
- 25 Sep 20262fanfare
Exogenous Risk, Hedging Pressure, and Risk Premia in Agricultural Commodity Markets
Traders place 15% weight on USDA crop reports relative to private priors when forming price expectations, with this anchoring weight rising when private analyst disagreement increases.
- 25 Sep 20262fanfare
Collateral policy surprises
Expansionary central bank collateral policy surprises reduce bank default risk and volatility while compressing government bond spreads, transmitting effects distinctly from asset purchases.
- 25 Sep 20262fanfare
Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting
Introducing coefficient-specific penalization into multivariate GARCH equations reduces complexity and improves out-of-sample covariance forecasts across bonds, equities, and commodities.
- 25 Sep 20262fanfare
Pension Liquidity Risk
Dutch pension funds use interest rate swaps more aggressively when underfunded, exposing themselves to margin calls exceeding 6% of assets and forcing procyclical sales of government bonds.
- 25 Sep 20262fanfare
A theory of bank liquidity requirements
The study develops a general equilibrium model of financial intermediation showing that liquidity regulation alone cannot achieve efficient allocations and requires complementary policies like bank size limits.
- 25 Sep 20262fanfare
Systemic at Home: the Persistence of a Too-Big-to-Fail Premium in Europe
European banks with assets exceeding half of home GDP enjoy at least 30 percent lower credit spreads, and this implicit subsidy persists and depends on sovereign fiscal strength.
- 27 Oct 20255shares
Forecast Disagreement & Risk Premia
Disagreement in macro forecasts raises risk premia: consumption disagreement hurts overall stock returns, while productivity disagreement particularly damages small, low-profit firms.
RePEcAsset Pricing & FactorsFeatured 14×
- 27 Oct 20255shares
Target-Benefit Pension Optimization with Jumps
Provides closed-form rules for the best benefit payouts and investment choices for a target‑benefit pension fund facing continuous and jump risks to maximize expected utility.
RePEcOtherFeatured 9×
- 27 Oct 20254shares
Early Exercise and Put Risk Premia
Accounting for optimal early exercise, American puts show less negative raw returns but more negative delta‑hedged returns than European puts, changing which option anomalies look profitable.
RePEcAsset Pricing & FactorsFeatured 8×
- 27 Oct 20254shares
Sustainable Returns and Long-Horizon Metrics
Defines a “sustainable return” (a withdrawal rate that preserves real capital) and shows that return-sequence risk and reinvesting interim cashflows are key for long-term outcomes beyond simple short-period averages.
RePEcOtherFeatured 8×
- 27 Oct 20254shares
Gamified Emotion Crowdsourcing
The J-Plus gamified app collects emotional speech to train better emotion-recognition systems while teaching and motivating users.
RePEcOtherFeatured 8×
- 27 Oct 20254shares
Abstract Classification: SVM vs BERT vs GPT-3.5
SVM vs BERT vs GPT-3.5: Compares SVM, SPECTER, BERT, and GPT-3.5 for classifying abstracts: BERT performs best, while GPT-3.5 is inconsistent with limited training data.
RePEcLLMs & TextFeatured 8×
- 27 Oct 20254shares
Spanish Anti-Abortion Networks on Twitter
Spanish anti-abortion Twitter groups are male-led, show hateful content, and coordinate around religion and right-wing politics.
RePEcOtherFeatured 8×
- 27 Oct 20254shares
Demand Forecasting for New Fashion
Fashion product demand is hard to predict, but machine learning—especially deep learning and ensembles—can make forecasts more accurate.
RePEcEconometrics & ForecastingFeatured 8×
- 24 Oct 202591shares
Reinforcement Learning for Hedging
The article introduces a novel application of reinforcement learning for efficiently managing a portfolio of over-the-counter derivatives, independent of any model.
- 24 Oct 202590shares
HighFrequency Trading Impact
The paper discusses the effects of high-frequency trading on market factors like volatility, transaction costs, and liquidity, indicating varied opinions in the financial sector.
- 24 Oct 2025175shares
Nowcasting NZ GDP with ML
The paper reveals that machine learning algorithms are more effective than traditional statistical models in predicting real GDP growth in New Zealand.
- 24 Oct 202525shares
Predicting Vehicle Wait Times at Borders
The study explores new data sources and machine learning techniques to forecast short-term wait times at a US-Mexico border crossing, emphasizing the difficulties of high data variability.
- 24 Oct 202530shares
Risk Factor Validation
The research disputes the Fama and French three factor model, stating that size and value mimicking factors should not be seen as systematic risk factors.
- 24 Oct 202542shares
Cost Estimation with ML
The article introduces a machine learning method for predicting software costs early in a project with high accuracy.
RePEcML & AI Methods
- 24 Oct 202517shares
Bank Failure Prediction
The study uses machine learning survival models to predict US bank failures, offering insights to enhance risk management in the banking sector.
- 24 Oct 202516shares
Brazilian ML Portfolios
The research investigates the use of machine learning to predict stock returns in Brazil, showing that an Equal Risk Contribution approach greatly enhances risk-adjusted returns.
- 20 Mar 202510shares
Multifrequency Data Fusion Model for Carbon Price Prediction
The newly introduced MFF-CPPM model in China has demonstrated higher accuracy and flexibility in predicting carbon trading prices compared to current models.
RePEcTrading, Microstructure & ExecutionFeatured 26×
- 5 Mar 202515shares
Adaptive Market Hypothesis & Sharpe Ratio Strategies
The research finds that trading strategies based on the Sharpe Ratio are more profitable than the buy-and-hold strategy in global markets, supporting the Adaptive Market Hypothesis.
RePEcTrading, Microstructure & ExecutionFeatured 44×
- 5 Mar 202511shares
Novel Window Analysis for HFT
The study introduces a new window analysis method for assessing decision-making units' efficiency, using the Whale Optimization Algorithm, and applies it to forex investment strategies and utility firms in the Ho Chi Minh City Stock Exchange.
RePEcCorporate FinanceFeatured 37×
- 5 Mar 202510shares
Monitoring Poverty in Data-Deprived Lebanon
The paper uses a new data augmentation technique to study poverty in the Middle East and North Africa, specifically Lebanon, using alternative data sources when traditional income data is scarce or unavailable.
RePEcOtherFeatured 29×
- 5 Mar 202516shares
Estimating Convex Production Technologies
The research adapts Stochastic Gradient Boosting for Data Envelopment Analysis to estimate production possibility sets, reducing overfitting and satisfying shape constraints, as proven by simulations and a PISA example.
RePEcML & AI MethodsFeatured 29×
- 5 Mar 202516shares
News Sentiment and Investment Risk
The research reassesses the effect of news sentiment on stock return volatility, finding that both positive and negative firm-specific and macroeconomic news significantly impact intraday stock return volatility, with GPT-4 potentially outperforming RavenPack in classification accuracy.
RePEcLLMs & TextFeatured 44×
- 5 Mar 202510shares
Improved xG Model for Football
The study enhances the prediction performance of the expected goal model in football analytics by integrating data from various sources and using a supervised machine learning approach, resulting in significant improvements in sensitivity, F1 metrics, and AUC metric.
RePEcML & AI MethodsFeatured 3×
- 5 Mar 202528shares
Machine Learning for M&A
Machine learning models are more effective than traditional methods in predicting Chinese corporate merger and acquisition activities.
RePEcML & AI MethodsFeatured 29×
- 5 Mar 202527shares
Tail Risk Management
Two new deep learning frameworks have been proposed for estimating financial risk measures, which are more efficient than existing methods.
RePEcRisk, Credit & BankingFeatured 44×
- 5 Mar 202512shares
Monetary Policy Frictions and Nonperforming Loans
The study uses machine learning to analyze the impact of a monetary policy frictions index on commercial banks' nonperforming loans, advocating for more transparency in monetary policy transmission.
RePEcMacro-Finance & RatesFeatured 29×
- 5 Mar 202510shares
Housing Market Connectedness
The research uses machine learning and quantile connectedness models to study the international housing market, emphasizing the significant influence of the US housing market and its interest rates.
RePEcMacro-Finance & RatesFeatured 37×
- 5 Mar 202531shares
Oil Price Forecasting: Machine Learning vs Deep Learning
Machine Learning vs Deep Learning: The study reveals that deep learning methods, particularly the long short-term memory approach, are more effective than machine learning methods like the support vector machine in predicting oil prices, especially during crises.
RePEcEconometrics & ForecastingFeatured 37×
- 5 Mar 20255shares
AI Capability Firm Performance
The research indicates that AI capability directly affects firm performance, with a data-driven culture and AI infrastructure playing key roles.
RePEcML & AI MethodsFeatured 37×
- 5 Mar 20252shares
Dark Patterns in Retail
The article discusses the problem of dark patterns in retail investment and the potential of AI and behavioral sciences in enhancing regulation.
RePEcML & AI MethodsFeatured 37×
- 5 Mar 20252shares
Young Informal Workers
The study profiles young informal workers in the EU27, aiming to understand the impact of Covid-19 on youth labor market informality.
RePEcOtherFeatured 37×
- 5 Mar 20251shares
Determinants of Bank Performance
The paper suggests new research areas in understanding banks' performance, focusing on digital transformation, AI, and the effects of COVID-19.
RePEcRisk, Credit & BankingFeatured 37×
- 5 Mar 20252shares
WNSS in Gig Work
The study investigates the relevance of the Work Need Satisfaction Scale for online gig workers, proposing modifications to better suit online platform work.
RePEcOtherFeatured 37×
- 26 Feb 202520shares
BRM for Predictions with Missing Patterns
The blockwise reduced modeling (BRM) method is introduced to analyze incomplete data, using ensemble models to reduce data imputation and enhance predictive performance.
RePEcOtherFeatured 30×
- 26 Feb 20252shares
EGovernance and Citizen Participation: A Review
A Review: The review explores the link between e-governance initiatives and citizen participation, identifying success factors and emphasizing the need for interdisciplinary research to assess their effectiveness.
RePEcCorporate FinanceFeatured 38×
- 19 Feb 202527shares
Enhanced Emerging Market Portfolio Performance
A second-generation Automated Adaptive Trading System could help stabilize emerging markets during downturns, addressing challenges posed by algorithmic trading and passive investing.
RePEcPortfolio & AllocationFeatured 46×
- 19 Feb 202525shares
Volatile KSE-30 Equities Allocation
Machine learning has been used to identify assets contributing to downward trends in the Pakistan Stock Exchange, suggesting a portfolio optimization strategy for effective asset allocation.
RePEcDerivatives & VolatilityFeatured 46×
- 19 Feb 202516shares
Portfolio Optimization with Risk Parity
A new risk parity portfolio optimization method considers fat-tailed and heteroscedastic asset returns, reducing portfolio turnover during market turmoil and enhancing risk-adjusted returns.
RePEcPortfolio & AllocationFeatured 46×
- 19 Feb 202511shares
Mellin Transform Approach for American Options
A new method for calculating option Greeks using the Mellin transform is introduced, offering a fresh approach to risk mitigation in option trading.
RePEcDerivatives & VolatilityFeatured 2×
- 19 Feb 202519shares
New Momentum Strategy for Equity Prediction
The new machine learning strategy, N-MDIS, has been introduced to enhance the accuracy of equity premium prediction, outperforming previous methods.
RePEcAsset Pricing & FactorsFeatured 31×
- 19 Feb 202518shares
Market Competition and Zero-Leverage Policies
Research indicates that increased product market competition leads firms, particularly those with high earnings volatility, to adopt zero-leverage policies, emphasizing the impact of earnings volatility on capital structure decisions.
RePEcDerivatives & VolatilityFeatured 39×
- 19 Feb 202524shares
Bond Market Volatility Forecasting for Chinese Stocks
The study shows that the fluctuation of 10-year treasury bond contracts can predict China's stock market volatility, with machine learning methods proving more accurate than traditional models.
RePEcDerivatives & VolatilityFeatured 39×
- 19 Feb 202516shares
Stochastic Lot Streaming and Scheduling with Machine Learning
The article proposes a new algorithm and machine learning model for the Lot Streaming and Scheduling Problem (LSSP) with uncertain product arrival times, aiming to enhance efficiency and precision.
RePEcML & AI MethodsFeatured 31×
- 19 Feb 202513shares
Multiscale Dynamics in Chinese Financial Markets
The paper introduces a new statistical machine learning method for breaking down and analyzing complex time series, proving its effectiveness on financial data from the COVID-19 pandemic, suggesting it could replace traditional methods.
RePEcEconometrics & ForecastingFeatured 46×
- 19 Feb 202511shares
Differential Returns in Germany
The study uses machine learning to analyze rates of return on wealth in Germany, revealing a negative return for the bottom 50% when adjusted for inflation and interest, with socio-economic factors predicting wealth distribution.
- 19 Feb 202523shares
Predicting VIX Trends
The study uses machine learning to predict the CBOE Volatility Index, finding that weekly jobless claim data significantly impacts market volatility and improves trading strategies' resilience.
RePEcDerivatives & VolatilityFeatured 46×
- 19 Feb 202513shares
Stock Price Prediction in Eurozone Banks
The paper compares the effectiveness of different models in predicting European banking sector stock prices, concluding that traditional machine learning models outperform advanced deep learning models.
RePEcRisk, Credit & BankingFeatured 46×
- 19 Feb 20254shares
Lessons from Social Media for Climate Policy
The study uses machine learning to analyze social media discussions on climate change and suggests diverse policies for net-zero goals.
RePEcML & AI MethodsFeatured 39×
- 19 Feb 20252shares
AI Techniques for Cloud Resource Management
The paper discusses the use of AI techniques to improve resource management in cloud environments, boosting DevOps workflows' performance and efficiency.
RePEcML & AI MethodsFeatured 38×
- 19 Feb 20252shares
Strategic AI Governance in Moldova
The article suggests a framework for AI governance in Moldova to meet EU standards, highlighting the role of responsible AI governance in supporting Moldova's EU aspirations.
RePEcML & AI MethodsFeatured 2×
- 5 Feb 202512shares
Covariance Matrix Shrinkage
The study suggests an optimal shrinkage intensity selection for the linear shrinkage estimator family, which results in more stable covariance matrix estimators and improves global minimum-variance portfolios.
RePEcPortfolio & AllocationFeatured 3×
- 5 Feb 202519shares
Improved Cryptocurrency Volatility Predictions
The study reveals that combining different forecasting models can greatly enhance the accuracy of predicting cryptocurrency volatility. This can provide crucial information for investors looking to improve risk management strategies in cryptocurrency markets.
RePEcCrypto & DeFiFeatured 3×
- 5 Feb 202513shares
Table Tennis Network Metrics
The research uses machine learning to predict table tennis game outcomes based on new technical-tactical style metrics, demonstrating superior predictive accuracy.
RePEcML & AI MethodsFeatured 3×
- 5 Feb 202513shares
Random Forest Choice Models
The paper introduces the Ordered Forest, a new machine learning estimator for ordered choice models, which estimates conditional choice probabilities and marginal effects.
RePEcML & AI MethodsFeatured 3×
- 5 Feb 202517shares
Machine Learning for Sales Prediction
Machine learning, specifically gradient boosting, can accurately predict e-commerce sales, influenced by pricing, promotions, and seasonal factors.
RePEcML & AI MethodsFeatured 3×
- 5 Feb 20258shares
Bullion as Hedge for Oil
Gold and silver served as a medium-term investment hedge for crude oil during the Russia-Ukraine war, but only a weak safe haven during periods of conflict.
- 5 Feb 20258shares
Trading Strategies in Markets
The article examines the potential and risks of money market trading in the Swiss banking sector, considering the impact of Basel III on cash trading and outlining the necessary skills for money market traders.
RePEcTrading, Microstructure & ExecutionFeatured 3×
- 5 Feb 20257shares
Selective Inflation Forecasting
The research indicates that using machine learning in inflation forecasting can enhance prediction accuracy, particularly in volatile economic conditions.
RePEcMacro-Finance & RatesFeatured 3×
- 5 Feb 20255shares
China Fund Performance
The study reveals a negative link between the cost of Chinese managed equity funds and their performance, suggesting a need for expense reduction reforms.
RePEcOther
- 5 Feb 20254shares
TimeVarying Fama-French Model
The research identifies time-variable parameters in the Five-Factor Model, which could affect the model's central asset pricing mechanism.
RePEcAsset Pricing & FactorsFeatured 3×
- 5 Feb 20253shares
English Translation of Thirukural
The paper compares the accuracy of Microsoft Translation and Human Translation in translating Thirukural, an ancient Tamil text, into English.
RePEcOtherFeatured 3×
- 5 Feb 20252shares
South Africa's Economic Challenges
The study uncovers a complex interplay between corruption, political instability, inflation, and exchange rate changes in South Africa, highlighting the need for holistic policy solutions.
- 23 Jan 202528shares
Private Assets in Portfolio Approach
The Total Portfolio Approach (TPA) enhances investment returns by diversifying risk factors, particularly beneficial in private markets.
RePEcPortfolio & AllocationFeatured 2×
- 23 Jan 202521shares
Factor Model for Equity Risk
A new model using instrumented principal component analysis (IPCA) predicts country equity risk premia better than other models, especially in emerging markets.
RePEcAsset Pricing & FactorsFeatured 4×
- 23 Jan 202518shares
Feature Importance in Financial Models
Machine Learning can produce misleading results in financial models that assume linearity, indicating the need for careful application.
RePEcML & AI MethodsFeatured 4×
- 23 Jan 202516shares
Model Specification for Volatility Forecasting
The best model for forecasting asset price volatility should use the natural logarithmic form of the original volatility measure for efficient regression estimators.
RePEcDerivatives & VolatilityFeatured 2×
- 23 Jan 202516shares
Safe Havens for Cryptocurrencies
High-performing US tech stocks, like FAANG, can offer diversification and act as safe havens for cryptocurrency investors.
RePEcCrypto & DeFiFeatured 4×
- 23 Jan 202514shares
Dynamic Portfolio Choice with Risk Control
In a complete market, using Value-at-Risk (VaR) increases losses while Expected Shortfall (ES) reduces losses during market downturns.
RePEcPortfolio & AllocationFeatured 4×
- 23 Jan 202514shares
Systemic Risk from Overlapping Portfolios
A portfolio optimization framework accounting for systemic and individual risk reveals potential inefficiencies in portfolio structures, indicating a risk trade-off.
RePEcPortfolio & AllocationFeatured 4×
- 23 Jan 202514shares
BRICS Stock Volatility
The study identifies factors affecting stock price volatility in BRICS countries during crises using data analysis, with the Random Tree method proving most effective.
RePEcDerivatives & VolatilityFeatured 2×