Summary of the RTGS CHAPS Industry Forum - 13 October 2026
The second meeting of the RTGS CHAPS Industry Forum
Central banks
Deep-π*: a neural network estimate of trend inflation
Most empirical models of trend inflation treat it as a latent random walk driven by unobserved shocks, so they cannot say which economic conditions move it. Deep- π*makes the innovations to the trend a possibly nonlinear function of a large number of macroeconomic indicators, estimated with neural networks, so that Shapley values can be used to attribute every movement of the trend to the indicators behind it. Two complementary loss functions define a current trend, which fits inflation today, and a forward-looking trend, which best predicts inflation over the next year.
Deep-π*: a neural network estimate of trend inflation
Most empirical models of trend inflation treat it as a latent random walk driven by unobserved shocks, so they cannot say which economic conditions move it. Deep- π*makes the innovations to the trend a possibly nonlinear function of a large number of macroeconomic indicators, estimated with neural networks, so that Shapley values can be used to attribute every movement of the trend to the indicators behind it. Two complementary loss functions define a current trend, which fits inflation today, and a forward-looking trend, which best predicts inflation over the next year.
Elastic in cash, inelastic in repo: hedge funds in the treasury and repo markets
The functioning of sovereign bond markets is closely intertwined with repo markets, where investors finance long positions and source bonds for short sales. We show, theoretically and empirically, how conditions in the cash bond market fundamentally shape repo rates: When demand for cash bonds exceeds available supply, arbitrageurs, notably hedge funds, step in to bridge the gap by shorting bonds and borrowing them in the repo market. These arbitrage strategies drive a wedge between monetary policy rates and repo rates, generating “specialness”.
Regulators explore credit union reforms to support growth, innovation and better outcomes for members
Credit unions could benefit from several ideas put forward today by the Prudential Regulation Authority and Financial Conduct Authority aimed at helping the sector grow, innovate and meet the changing needs of their members.
Elastic in cash, inelastic in repo: hedge funds in the treasury and repo markets
The functioning of sovereign bond markets is closely intertwined with repo markets, where investors finance long positions and source bonds for short sales. We show, theoretically and empirically, how conditions in the cash bond market fundamentally shape repo rates: When demand for cash bonds exceeds available supply, arbitrageurs, notably hedge funds, step in to bridge the gap by shorting bonds and borrowing them in the repo market. These arbitrage strategies drive a wedge between monetary policy rates and repo rates, generating “specialness”.
Debt maturity and government spending multipliers
Government spending effectiveness depends critically on how it is financed. Using state dependent SVAR models and local projections on post-war US data, we show that fiscal expansions financed with short-term debt generate significantly larger output multipliers than those financed with long-term debt. This difference mainly stems from private consumption responses: short-term financing crowds in consumption while long-term financing does not. Torationalize this finding, we construct an incomplete markets model in which households invest in short-term and long-term assets.
Debt maturity and government spending multipliers
Government spending effectiveness depends critically on how it is financed. Using state dependent SVAR models and local projections on post-war US data, we show that fiscal expansions financed with short-term debt generate significantly larger output multipliers than those financed with long-term debt. This difference mainly stems from private consumption responses: short-term financing crowds in consumption while long-term financing does not. Torationalize this finding, we construct an incomplete markets model in which households invest in short-term and long-term assets.
FEDS Paper: Heterogeneity in Service Fee Sensitivity: Evidence from ATM Surcharges
Krzysztof WozniakService fees continue to proliferate in a wide range of markets, from retail to payments, generating questions about their impact on consumer choice, competition, and fairness. This paper explores how sensitivity to such fees varies across consumers, use cases, and competitive settings, and whether it is affected by consumer learning. I am able to conduct this in-depth empirical analysis thanks to a uniquely detailed, high-frequency panel data set on surcharged ATM cash withdrawals.
ECB perception of non-banks: a machine learning-based approach
This paper studies the European Central Bank’s (ECB) perception of non-bank financial intermediaries (NBFIs) and how this perception is publicly communicated. We construct a perception index based on ECB speeches over the period 1998–2025. Sentiment in references to non-banks is classified by a large language model that we fine-tune on our own hand-labeled dataset constructed for this purpose. The resulting index reveals a predominantly negative and declining perception over time, particularly since the Global Financial Crisis.
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