Macro Finance, Unconventional Monetary Policy, Market Microstructure, and Banking
1. Sovereign to Corporate Risk Spillovers (with P. Augustin, H. Boustanifar and J. Schnitzler), Journal of Money, Credit & Banking, forthcoming.
2. Bank and Sovereign Credit Risk: Spillover effects from the ECB’s Comprehensive Assessment (with B. Schwaab), WP 2017.
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.
4. Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off (with R. Tédongap), WP (2012).
Work in Progress:
1. Trading in VGAS: A Natural Bubble Experiment
joint with Anders Anderson.
2. Tail Asymmetry and Expected Stock Returns
3. Biting the Hand That Feeds You: Effects of Embezzlement in Nonprofits
joint with Andreas Nilsson