This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow…
On-device research index
arXiv research
A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
169,051 papers · 148 categories
Trend · papers per month
48 results for “Interest Rate Shocks”
Paper introduces a synthetic ALM model for life insurance, evaluating SCR with interest rate shocks.
problem Evaluating Solvency Capital Requirement (SCR) in life insurance with interest rate shocks.
method Developed a synthetic ALM model that considers market and book values, crediting rates, and bond investments. Evaluated SCR using the standard formula.
result The choice of interest rate model is crucial for meaningful SCR evaluation after regulatory shocks.
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous. We term the process followed by the shocks to the forward curve ``stochastic str…
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify th…
We analyse four consecutive cycles observed in the USA for employment and inflation. They are driven by three oil price shocks and an intended interest rate shock. Non-linear coupling between the rate equations for consumer products as prey and consumers as predators provides the required instability, but its natural d…
The paper reduces xVA calculations by approximating sensitivities.
problem Nested expectation problem and computational expense in xVA calculations.
method Polynomial approximations of shocked and unshocked valuation functions, and their difference.
result High accuracy and remarkable computational cost reduction demonstrated.
In this paper, we perform a comparative segmentation and clustering analysis of the time series for the ten Dow Jones US economic sector indices between 14 February 2000 and 31 August 2008. From the temporal distributions of clustered segments, we find that the US economy took one and a half years to recover from the m…
Contagion Flow Through Banking Networkscond-mat.other
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes in variables like interest rates, exchange rates, etc. We demonstrate that the sy…
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
problem Predicting currency returns using volatility shocks.
method Constructed a dynamic, directed network of volatility connections using option-implied volatilities.
result Currencies that transmit more volatility shocks earn lower excess returns.
Study examines how BRICS nations' economies respond to COVID-19.
problem Impact of COVID-19 on BRICS nations' economic indicators.
method Structural variable autoregression (SVAR) to analyze growth, exchange rate, and stock market data.
result COVID-19 shock to exchange rate growth persists for 10+ days, stock market growth for 15 days.
Investigates optimal portfolio selection with regime-switching-induced stock price shocks.
problem Mean-variance portfolio selection with regime-switching and stock price jumps.
method Modeling regime-switching and stock price jumps, deriving optimal portfolio strategy and efficient frontier using ODEs.
result Added complexity due to regime-switching-induced stock price shocks, leading to nonlinear ODEs.
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so, we use both …
Emerging economies use countercyclical policies to manage crises and dominant currencies.
problem Managing economic crises and fluctuations in dominant currencies like USD and EUR.
method Theoretical analysis, case studies, econometric modeling.
result Emerging economies can stabilize growth with countercyclical monetary policies.
Revisits elastic string model to explain interest rate correlations.
problem Describing the forward interest rate curve using an elastic string model.
method Reinterprets Baaquie and Bouchaud's (2004) model to highlight market forces.
result Model accurately reproduces FRC correlation structure with minimal parameters.
Study historical cholera epidemics and simulate long-term mortality impacts.
problem Long-term impacts of mortality shocks on longevity.
method Historical analysis of cholera epidemics and mathematical modeling of stochastic Individual-Based models.
result Simulated long-term mortality impacts following a mortality shock.
Study shows COVID-19 cases increase stock market volatility in Pakistan.
problem Impact of COVID-19 on stock market volatility in Pakistan.
method Used vector autoregressive (VAR) model to analyze data from February 25, 2020 to December 7, 2020.
result A shock to total daily coronavirus cases in Pakistan leads to a significant increase in stock market volatility.
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectednes…
Crypto markets show negative spillovers between chains, not positive co-movements.
problem Negative spillovers in crypto asset returns across different blockchains.
method On-chain data from multiple blockchains (Ethereum, Solana, Binance, Arbitrum, Avalanche) analyzed over 2022-2025.
result Surges on one chain often coincide with declines on others, especially during attention shocks.
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent studies of this problem have relied on numerical simulations. Here we report analytic…
Personalized deep learning reduces inappropriate shocks in VA detection.
problem High inappropriate shock rate in traditional VA detection methods.
method Personalized deep learning framework using CNN for real-time VA detection and collaborative inference.
result 6.6% reduction in inappropriate shock rate compared to traditional methods.
We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during times of recession and recovery. We then argue that this equation is the response function of the economy to isolated shocks, hence…
This paper analyzes how banking risks spread through sentiment and policy shocks.
problem Systemic risk in the U.S. banking system during the 2023 crisis.
method Time-Varying Parameter Vector Autoregression (TVP-VAR) model with 30-day rolling windows.
result Risk spillovers were driven by perceived similarities in bank business models under interest rate pressure.
The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find th…
Are volatility correlations in financial markets related to Omori processes occurring on all scales?physics.soc-ph
We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period is characterized by the Omori law, which describes the decay in the rate of after…
Model explains yield curve dynamics using order flow shocks.
problem Understanding the yield curve's fluctuations and their relation to order flows.
method Relates exogenous shocks to order flow surprises, creating a microstructural model that incorporates price and order flow dynamics.
result The model explains yield curve dynamics with fewer parameters and generates liquidity-dependent correlations.
The paper examines clearing payments in financial networks to prevent cascaded defaults.
problem Cascaded defaults in financial networks under the proportionality rule.
method Analysis of clearing model under pro-rated payments, derivation of necessary and sufficient conditions for clearing payments, convex optimization problems for computation.
result Clearing payments can be computed by solving convex optimization problems, reducing overall system loss by lifting the proportionality rule.
Estimates BitCoin price determinants using GARCH model on high-frequency data.
problem Determining the price determinants of BitCoin.
method GARCH model applied to hourly BitCoin data from 2013-2018.
result Both transaction and speculative demand significantly impact BitCoin price.
Response of Firm Agent Network to Exogenous Shockphysics.soc-ph
This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First, the performance of individual firms on a real transaction network was simulated.…
This paper considers a statistical signal processing problem involving agent based models of financial markets which at a micro-level are driven by socially aware and risk- averse trading agents. These agents trade (buy or sell) stocks by exploiting information about the decisions of previous agents (social learning) v…
The study reveals asymmetries in US financial shocks' international impacts.
problem Analyzing nonlinearities in international financial spillovers.
method Developed a flexible nonlinear multi-country model to capture asymmetries in responses to financial shocks.
result Adverse shocks trigger stronger declines in output, inflation, and stock markets than benign shocks.
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being exposed to idiosyncratic shocks at the firm and sector level. We describe such fluctuations as independent Lévy-stable fluctu…
US firms improve ESG performance in response to China trade shock.
problem Impact of China trade shock on US ESG performance.
method Trade policy experiment exploiting tariff changes.
result Greater import competition from China increases US firm ESG performance.
Study shows local governments smooth fiscal shocks from property tax revenues.
problem Impact of revenue shocks on local fiscal policy.
method Causal machine learning strategies and post-double-selection LASSO estimator.
result Local policymakers predominantly smooth fiscal shocks, but react differently to positive and negative shocks.
Predicting Individual Responses to Vasoactive Medications in Children with Septic Shockphysics.med-ph
Predicts individual septic shock children's vasoactive response using RNN.
problem Personalized physiologic responses to vasoactive titrations in septic shock children.
method Retrospective analysis of EMR data using a Recurrent Neural Network (RNN).
result RNN model predicted physiologic responses more accurately than a linear model.
The paper examines stochastic inequalities involving minimum and maximum claim amounts.
problem Investigating stochastic inequalities for claim amounts with random number of claims.
method Analyzing stochastic order and reversed hazard rate order for minimum and maximum claim amounts.
result Strengthening and generalizing existing results in the literature.
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit worthiness of all financial institutions in the economic network. In our stylized desc…
The study uses Random Matrix Theory to identify structural changes in stock markets during shocks.
problem Understanding structural changes in stock markets during exogenous shocks.
method Random Matrix Theory and complexity gap analysis.
result The complexity gap collapses during shocks, indicating strong synchronization, and widens before shocks, signaling a rich structure.
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifet…
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
The paper analyzes stress shocks and their impact on historical data.
problem Determining the appropriate size of stress shocks for historical data analysis.
method Investigates the number of standard deviations required to exceed any historical observation, considering kurtosis.
result Provides tighter bounds for stress shocks than existing inequalities.
New method forecasts workforce reintegration success rates.
problem Estimating success of reskilling programs in changing labor markets.
method Uses current workforce demand and supply factors, not historical data.
result Average error of 3.9% compared to 5.4% for best benchmark.
New method quantifies market shocks and their effects.
problem Quantifying the impact and response to market shocks.
method Sparse probabilistic elliptical model with -norm regularization.
result Shock patterns are related to network structure and sector diversification.
Paper addresses unbalanced data in common shock models for loss reserving.
problem Complications in capturing structural dependence with unbalanced data.
method Introduces a common shock Tweedie approach for unbalanced data.
result Better balance of common shock proportions and parsimonious solution.
Impact of shocks to economies on the efficiency and robustness of the international pesticide trade networksphysics.soc-ph
This study assesses how economic shocks affect the efficiency and robustness of international pesticide trade networks.
problem Economic shocks impact the efficiency and robustness of international pesticide trade networks.
method Simulations were used to quantify efficiency and robustness under different economic shocks. Three strategies were tested: descending, random, and ascending node removal.
result The international pesticide trade networks became more efficient and robust except for clustering coefficient. Import-oriented economies were more vulnerable to shocks.
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
Geopolitical and geoeconomic shocks affect sovereign risk differently, with distinct transmission channels.
problem Understanding how geopolitical and geoeconomic shocks impact sovereign credit risk.
method Daily panel data of 42 economies over 2018-2025; semistructural framework; Shapley-Taylor decomposition; machine learning predictions; placebo and sign-restricted SVAR evidence.
result Geopolitical shocks primarily increase sovereign credit spreads through direct repricing, while geoeconomic shocks mainly affect spreads through financial conditions and policy uncertainty.
Study on stochastic volatility models with external shocks triggering jump cascades.
problem Analyzing the impact of external shocks on jump dynamics in stochastic volatility models.
method Establishing scaling limits for a class of stochastic volatility models with self-exciting jump dynamics.
result External shocks can trigger endogenous jump cascades in asset returns and volatility.