--- title: Macro-Finance & Rates url: https://www.ml-quant.com/topics/macro-finance-rates/ site: ML-Quant (https://www.ml-quant.com) updated: 2026-09-26 license: Summaries CC BY 4.0; links go to the original sources index: https://www.ml-quant.com/llms.txt --- # Macro-Finance & Rates Rates, the yield curve, monetary policy, inflation and macro-finance. 258 papers featured; 18 in the last 12 months. Papers featured per quarter: 2023 Q2 8, 2023 Q3 20, 2023 Q4 22, 2024 Q1 19, 2024 Q2 27, 2024 Q3 24, 2024 Q4 24, 2025 Q1 42, 2025 Q2 46, 2025 Q3 8, 2025 Q4 13, 2026 Q1 0, 2026 Q2 0, 2026 Q3 5 ## Most cited - [The disruption index is biased by citation inflation](https://www.ml-quant.com/papers/arxiv/2306.01949/): 35 citations. Scientific publications and patents are not becoming less disruptive over time, but rather the reported decrease in disruptiveness is due to systematic shifts in citation networks. - [Inflation—Who Cares? Monetary Policy in Times of Low Attention](https://www.ml-quant.com/papers/arxiv/2105.05297/): 28 citations. Who Cares?: The decrease in public attention to inflation after the Great Inflation period in the U.S. complicates managing inflation expectations and can lead to inflation-attention traps, suggesting a need to increase the inflation target. - [Post-COVID inflation and the monetary policy dilemma: an agent-based scenario analysis](https://www.ml-quant.com/papers/arxiv/2306.01284/): 18 citations. A new modelling approach using the Mark-0 Agent-Based Model explores the impact of regulatory policies on inflationary dynamics resulting from COVID-19-related shocks. - [A systematic review of early warning systems in finance](https://www.ml-quant.com/papers/arxiv/2310.00490/): 17 citations. The bibliometric review studies the research on early warning systems in finance, emphasizing the shift towards machine learning methods and the importance of using both macroeconomic and microeconomic data for better predictive accuracy. - [Corporate Bond Factors: Replication Failures and a New Framework](https://www.ml-quant.com/papers/ssrn/4586652/): 16 citations. The study criticizes inconsistent methodologies in corporate bond factors literature, suggesting a robust factor construction and a clean database for corporate bond returns. - [Measuring Communication Quality of Interest Rate Announcements](https://www.ml-quant.com/papers/arxiv/2506.09868/): 14 citations. The study uses noncooperative game theory to characterize zonal ancillary market coupling, finding that multi-agent deep reinforcement learning leads to lower market costs but higher profit allocation variability. - [Assessing Price Elasticity in US Residential Electricity Consumption: A Comparison of Monthly and Annual Data with Recession Implications](https://www.ml-quant.com/papers/ssrn/5141364/): 11 citations. The study analyzes state-level data since 2001 to understand how changes in electricity prices impact demand and how economic shocks, such as recessions, affect electricity consumption. - [The Software Complexity of Nations](https://www.ml-quant.com/papers/arxiv/2407.13880/): 11 citations. The article uses data on programming languages in open-source projects to estimate a country's software economic complexity, demonstrating its relevance to international differences in GDP per capita, income inequality, and emissions. - [Forecasting Macroeconomic Dynamics using a Calibrated Data-Driven Agent-based Model](https://www.ml-quant.com/papers/arxiv/2409.18760/): 10 citations. A new economic model, featuring housing markets and synthetic populations, has been created for all 38 OECD countries, surpassing previous models and providing a basis for future research. - [Machine Learning for Economic Forecasting: An Application to China's GDP Growth](https://www.ml-quant.com/papers/arxiv/2407.03595/): 9 citations. Machine learning models are more accurate than traditional methods or expert forecasts in predicting China's quarterly GDP growth, especially during stable economic periods. - [The American put with finite‐time maturity and stochastic interest rate](https://www.ml-quant.com/papers/arxiv/2104.08502/): 9 citations. The paper investigates the pricing of American put options in the Black and Scholes market with a stochastic interest rate, proving the existence of an optimal exercise boundary and providing a numerical study of the option price. - [Causes of failure of the Phillips curve: Does tranquillity of economic environment matter?](https://www.ml-quant.com/papers/arxiv/2511.22785/): 8 citations. This paper examines the Phillips relationship, noting it works in developed nations but fails during recessions, emphasizing the need for economic stability for the theory to be valid. ## Latest - [Expectations and the Term Structure of Interest Rates](https://www.ml-quant.com/papers/ssrn/7497046/) (2026-09-25): Decomposing yield sensitivity without assuming rational expectations reveals that expectations rather than risk premia drive short- and medium-term bond yields, with systematic inconsistencies across horizons. - [Banking-System Heterogeneity and Monetary Policy Transmission in the Euro Area: High-Frequency Shocks, Local Projections, and Regime Dependence](https://www.ml-quant.com/papers/ssrn/7519040/) (2026-09-25): A 100-basis-point contractionary monetary shock lowers inflation and sales across 20 euro-area economies, with transmission strength varying by bank asset-risk exposure and assets-to-GDP ratio rather than a simple weak-strong taxonomy. - [Innovation, financial frictions, and persistent effects of monetary policy](https://www.ml-quant.com/papers/repec/boe-boeewp-023581/) (2026-09-25): 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. - [Prices and Monetary Policy: The Role of Financial Constraints](https://www.ml-quant.com/papers/repec/hhs-rbnkwp-0468/) (2026-09-25): Swedish data reveals that financially constrained firms adjust prices less to monetary shocks, materially dampening aggregate inflation response to policy changes. - [Capital flows and exchange rates: A quantitative assessment of the dilemma hypothesis](https://www.ml-quant.com/papers/repec/boe-boeewp-023263/) (2026-09-25): In response to US monetary tightening, financial channels dominate for small open economies: credit spreads widen and output falls despite currency depreciation. - [ESG in Auto Loans](https://www.ml-quant.com/papers/ssrn/4481545/) (2025-12-28): Higher ESG scores in auto loan securitizations lower costs and consumer interest rates, despite environmental concerns. - [Twitter and Monetary Policy](https://www.ml-quant.com/papers/ssrn/4479590/) (2025-12-28): Online discussions about central bank policies correlate strongly with market volatility, especially around ECB announcements. - [Corporate Bond Pricing Challenges](https://www.ml-quant.com/papers/ssrn/4478575/) (2025-12-28): The effectiveness of multifactor models for corporate bond returns is debated, with a preference for the bond CAPM in analyses. - [Chinese Bond Dynamics During COVID-19](https://www.ml-quant.com/papers/ssrn/4469784/) (2025-12-28): The study examines the changes in the Chinese government bond yield curve during the pandemic, highlighting new behaviors and arbitrage potential. - [ESG Impact on Stock Prices](https://www.ml-quant.com/papers/ssrn/4463862/) (2025-12-28): The paper reveals that green firms experience smaller stock price declines than brown firms when interest rates rise due to sustainability preferences. - [Navigating the Low-Carbon Shift: Balancing Municipal Finances with Climate Goals](https://www.ml-quant.com/papers/ssrn/4955515/) (2025-12-01): This research details how falling coal production negatively impacts municipal finances, leading to higher debt and bond yields in less diverse counties. - [Causes of failure of the Phillips curve: Does tranquillity of economic environment matter?](https://www.ml-quant.com/papers/arxiv/2511.22785/) (2025-12-01): This paper examines the Phillips relationship, noting it works in developed nations but fails during recessions, emphasizing the need for economic stability for the theory to be valid. - [Regime Changes and Real-Financial Cycles: Searching Minsky's Hypothesis in a Nonlinear Setting](https://www.ml-quant.com/papers/arxiv/2511.04348/) (2025-11-12): A nonlinear model finds Minsky‑style boom–bust cycles tied to corporate debt in most countries and to interest rates everywhere, with household‑debt effects only in the US and UK — highlighting regime shifts. - [ESG Alpha in Corporate Bonds](https://www.ml-quant.com/papers/ssrn/5051908/) (2025-10-27): Firms' environmental traits create a distinct bond-market anomaly that improves portfolios beyond standard factors, and a simple model explains it. - [Topology of Currencies: Persistent Homology for FX Co-movements: A Comparative Clustering Study](https://www.ml-quant.com/papers/arxiv/2510.19306/) (2025-10-27): Topological Data Analysis finds clearer, more separated currency clusters than traditional methods, revealing co-movement patterns useful for risk management. - [Nowcasting NZ GDP with ML](https://www.ml-quant.com/papers/repec/een-camaaa-2018-47/) (2025-10-24): The paper reveals that machine learning algorithms are more effective than traditional statistical models in predicting real GDP growth in New Zealand. - [Panel regression for the GDP of the Central and Eastern European countries using time-varying coefficients](https://www.ml-quant.com/papers/arxiv/2510.04211/) (2025-10-09): The economic growth in Central and Eastern European countries due to their integration into the European Economic Area is largely influenced by private debt. - [Meyer risk measures](https://www.ml-quant.com/papers/arxiv/2509.24747/) (2025-10-03): The study delves into Meyer risk measures, their structure, applications, and existence, and uncovers a deeper connection between monetary risk measures and second-order stochastic dominance. - [In-between Transatlantic (Monetary) Disturbances](https://www.ml-quant.com/papers/arxiv/2509.13578/) (2025-09-22): Research shows that European Central Bank interest rate hikes result in a depreciation of the Canadian dollar and a contraction in economic activity, mainly through international trade, while U.S. Federal Reserve shocks impact Canadian financial conditions more directly. - [The Probability of Food Security: A new longitudinal data set using the Panel Study of Income Dynamics](https://www.ml-quant.com/papers/arxiv/2509.06144/) (2025-09-13): A study analyzing 40 years of US data on household-level food security offers insights into how recessions and policy changes impact different demographics. - [The European Union deforestation regulation: The impact on Argentina](https://www.ml-quant.com/papers/arxiv/2508.11796/) (2025-08-20): The European Union Deforestation Regulation could lower Argentina's GDP by 0.14% and reduce deforestation and greenhouse gas emissions, impacting soy and cattle industries the most. - [CATNet: A geometric deep learning approach for CAT bond spread prediction in the primary market](https://www.ml-quant.com/papers/arxiv/2508.10208/) (2025-08-20): Geometric Deep Learning for CAT Bond Spread: The research introduces CATNet, a new model that uses geometric deep learning to predict the catastrophe bond primary market, showing that network connectivity significantly influences price. - [Fiscal Spillovers through Informal Financial Channels](https://www.ml-quant.com/papers/doi/10-1016-j-jimonfin-2025-103378/) (2025-08-12): A paper using detailed cryptocurrency data finds a temporary rise in cryptocurrency outflows from the US after stimulus checks, with a maximum fiscal spillover of 2.52%. - [Equity, Emissions and the Inflation Reduction Act](https://www.ml-quant.com/papers/arxiv/2507.15054/) (2025-07-25): The 2022 Inflation Reduction Act's incentives for buying preowned EVs could help low-income households, but up to 8.4 million might not qualify due to different vehicle procurement methods, potentially hindering significant emissions reduction. - [An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework](https://www.ml-quant.com/papers/arxiv/2507.10041/) (2025-07-17): The paper investigates the estimation and asymptotic behavior of parameters in interest rate models, using Euler-Maruyama discretization for efficient simulation and estimation, providing a theoretical basis for the parameter estimation process. - [Can We Reliably Predict the Fed's Next Move? A Multi-Modal Approach to U.S. Monetary Policy Forecasting](https://www.ml-quant.com/papers/arxiv/2506.22763/) (2025-07-03): The study reveals that combining structured data with unstructured text from Federal Reserve communications improves the accuracy of central bank policy predictions. - [Beware of Large Shocks! A Non-Parametric Structural Inflation Model](https://www.ml-quant.com/papers/ssrn/5244264/) (2025-06-25): The study introduces a Bayesian machine learning model for inflation that reacts strongly to large shocks. - [Fiscal Financing and Investment Reversibility](https://www.ml-quant.com/papers/ssrn/5245203/) (2025-06-25): The research shows that dividend tax hikes initially cause investment inactivity, followed by a surge due to tax arbitrage and hangover effects. - [Digital Asset Regulation in the U.S.](https://www.ml-quant.com/papers/ssrn/5245602/) (2025-06-25): The U.S.'s individual approach to digital asset regulation could isolate its markets and weaken its monetary power, indicating a need for global collaboration. - [The Bond Agio](https://www.ml-quant.com/papers/ssrn/5243376/) (2025-06-25): Bonds issued in varying interest rate environments have different coupons and market prices, leading to higher losses for investors if default occurs.