Rubén Fernández Fuertes

My background is in Mathematics. However, I transitioned to Economics and Finance after completing my MSc in Mathematical Finance. My current research interests include Macro-Finance, Monetary Policy, and, above all, the application of Large Language Models (LLMs) in Financial Economics, particularly due to their ability to generate new data from text while preserving contextual meaning.

In my Job Market Paper, I demonstrate how a group of LLM agents can assist humans in identifying monetary policy shocks through narrative analysis. I have also worked in time series econometrics, developing a new Affine Term Structure Model that accounts for the unique characteristics of yield curve data. Currently, I am conducting research on emission accounting within production networks.

JOB MARKET PAPER

Monetary Policy Shocks: A New Hope — Large Language Models and Central Bank Communication

I develop a multi-agent LLM framework that processes Federal Reserve communications to construct a novel series of narrative monetary policy surprises. By analyzing Beige Books, Minutes, and Statements as an integrated narrative, the system generates surprises by comparing ex-ante conditional expectations with realized decisions. My surprises are less noisy and exhibit similar predictability compared to market-based surprises. They generate theoretically consistent impulse responses with sustained contractionary effects on inflation after a contractionary shock. I further validate their information content with profitable, implementable trading strategies over the yield curve that outperform market-based surprises.

PUBLISHED PAPERS

• Favero, C. A., & Fernández-Fuertes, R. (2025). Towards data-congruent models of the term structure of interest rates. Econometric Reviews, 1–23. https://doi.org/10.1080/07474938.2025.2458223
   

WORKING PAPERS

• Fernández-Fuertes, R. (2025). Monetary Policy Shocks: A New Hope. Large Language Models and Central Bank Communication
• Croce, M., Fernández-Fuertes, R., Guíñez, N., Inzunza, A. & Tebaldi, C. (2025). The Scope of Scope 3.

• Favero, C. A., & Fernández-Fuertes, R. (2023). Monetary Policy in the COVID Era and Beyond. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4557795

   

POLICY PAPERS

• Bottazzi, L., Favero, C., Fernández Fuertes, R., Giavazzi, F., Guerrieri, V., Lorenzoni, G., & Monacelli, T. (2025, June 19). The Conduct of ECB Monetary Policy Under International Uncertainty. Economic Governance and EMU Scrutiny Unit, European Parliament. 

• Bottazzi, L., Favero, C., Fernández Fuertes, R., Giavazzi, F., Guerrieri, V., Lorenzoni, G., & Monacelli, T. (2025, March 17). Euro Area Risks Amid US Protectionism. Economic Governance and EMU Scrutiny Unit, European Parliament.