Empirical banking, monetary policy, empirical asset pricing, market microstructure
1. Sovereign to Corporate Risk Spillovers, with P. Augustin, H. Boustanifar and J. Schnitzler, 2018, Journal of Money, Credit and Banking, Vol. 50 (5), 857-891.
2. Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment with B. Schwaab, 2018, Journal of Empirical Finance, Vol. 49, 247-262.
1. Bank balance sheet constraints and bond liquidity, with V. Ivashina, WP 2020, public version coming soon.
2. The anatomy of a liquidity crisis: runs, fire-sales and central bank interventions, with N. Grimm and M. Hoerova, WP 2020, public version coming soon.
3. The (re)allocation of bank risk, with G. Bekaert, WP 2020.
4. Competition among high-frequency traders and market quality, WP 2013, updated 2020.
5. The Reanchoring Channel of QE: The ECB Asset Purchase Programme and Long-Term Inflation Expectations, with P. Andrade, F. de Fiore, P. Karadi, and O. Tristani, WP (2016); also published as The ECB’s Asset Purchase Programme: An Early Assessment, R&R at the International Journal of Central Banking.
6. Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off, with B. Buchwalter and R. Tédongap, WP 2012, new version coming soon.
Work in Progress:
1. Is the bond market competitive? Evidence from the ECB’s asset purchase programme, with S. Corradin, and P. Collin-Dufresne , 2020.
2. Commercial paper market, liquidity shock and central bank intervention, with Glenn Schepens, 2020.
Disclaimer: The views expressed on this website are my own and do not necessarily reflect those of the European Central Bank or the Eurosystem.