Research Interests:

Empirical asset pricing, market microstructure, banking, and monetary policy

Published Articles:

1. Sovereign to Corporate Risk Spillovers, with P. Augustin, H. Boustanifar and J. Schnitzler, 2018, Journal of Money, Credit & 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, forthcoming.

Working Papers:

1. Competition among High-Frequency Traders, and Market Quality , WP 2018.

2. 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.

3. Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off, with B. Buchwalter and R. T├ędongap, WP (2012) new version coming soon.


Disclaimer: The views expressed on this website are my own and do not necessarily reflect those of the European Central Bank or the Eurosystem.