Johannes Breckenfelder, Ph.D.

Research Interests:

Financial markets, non-banks, and monetary policy transmission

Working Papers:

1. Bank balance sheet constraints and mutual fund fragility, with V. Ivashina, Nov 2020, updated Sept 2023.  R&R at the Review of Financial Studies.

2. Do non-banks need access to the lender of last resort? Evidence from fund runs, with M. Hoerova, Nov 2020, updated Feb 2023. R&R at the Review of Financial Studies.

3. From Purchases to Exit: Central Bank Interventions in Corporate Debt Markets, with G. Schepens, WP 2022, updated last Dec 2024.

  • AFA 2023, EFA 2023

4. Fund Fragility: The role of investor base, with N. Allaire, and M. Hoerova, WP 2023.

  • AFA 2024

5. Investor heterogeneity and large scale asset purchases, with V. De Falco, WP 2024.

6. Is the bond market competitive? Evidence from the ECB’s asset purchase programme, with S. Corradin, and P. Collin-Dufresne, WP 2024.

  • EFA 2023

7. Investing in Safety, with V. De Falco an M. Hoerova, WP 2024.

8. The (re)allocation of bank risk, with G. Bekaert, WP 2020.

  • EFA 2018

9. Asymmetry matters: A high-frequency risk-reward trade-off, with B. Buchwalter and R. Tédongap, WP 2012.

Published Articles:

3. Competition among high-frequency traders and market quality, 2024, Journal of Economic Dynamics and Control, Vol. 166, 104922.

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. 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.

Other Papers / Discussion Papers:

1. The Climate and the Economy, with B. Mackowiak, D. Marques-Ibanez, C. Olovsson, A. Popov, D. Porcellacchia, and G. Schepens, ECB WP (2023).

2. Financial markets and green innovation, with P. Aghion, L. Boneva, L. Laeven, C. Olovsson, A. Popov, and E. Rancoita, ECB WP (2022).

3. The ECB’s Asset Purchase Programme: An early assessment, with P. Andrade, F. de Fiore, P. Karadi, and O. Tristani, ECB WP (2016).

4. 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).

Conference Discussions (selected):

1. Discussion of “Intermediary Balance Sheet Constraints, Bond Mutual Funds’ Strategies, and Bond Returns” by Mariassunta Giannetti, Chotibhak Jotikasthira, Andreas Rapp, Martin Waibel.

First University of Chicago Illinois (UIC) Finance Conference, 2024. Regulating Financial Markets Conference, Frankfurt School, 2024

2. Discussion of “Monetary Policy, Investor Flows, and Loan Fund Fragility” by Nicola Cetorelli, Gabriele La Spada, João Santos.

ECB-New York Fed Workshop on Non-Bank Financial Institutions, 2023

3, Discussion of “The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area” by William Arrata, Benoit Nguyen, Imene Rahmouni-Rousseau, and Miklos Vari.

CEBRA Annual Meeting 2018

4. Discussion of “A regression Discontinuity Design for Ordinal Running Variables: Evaluating Central Bank Purchases of Corporate Bonds” by Fan Li, Andrea Mercatanti, Taneli Mäkinen and Andrea Silvestrini.

Workshop on the impact of CSPP on financing conditions, 2018

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