Empirical asset pricing, market microstructure, banking, and monetary policy
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. The (re)allocation of bank risk, with G. Bekaert , WP 2019.
3. 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.
4. 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. Banks as providers of liquidity, with V. Ivashina , 2018.
2. Bond markets and quantitative easing, with M. Ampudia, S. Corradin, and P. Collin-Dufresne , 2019.
Disclaimer: The views expressed on this website are my own and do not necessarily reflect those of the European Central Bank or the Eurosystem.