Monetary Policy, Finance, Regulation, Technology, Financial Stability

I am a doctoral candidate in the Finance Department at Frankfurt School of Finance & Management. During Autumn 2022, I will be a visiting PhD student to the department of Finance in The University of Chicago Booth School of Business. I use modern applied econometric methods to understand the effects and consequences of monetary policy, financial regulation and new technologies on the banking sector and other macro-financial stability issues. I am focused on producing policy-relevant studies.

I actually conduct my research in the European Central Bank, where I have been working since 2016. There I acquired experience in different fields such as Monetary Policy as well as Banking Supervision (Crisis Management, Market Risk & Valuation Inspections and Quantitative Risk Analysis in the context of Market Risk Stress Testing). I have recently joined the Banking IT Risk Inspections team, where I will be working on IT, cyber and digital security topics.

My research has been the focus of articles in reputable newspapers such as the Financial Times and Les Échos, as well as blogs such as Quantpedia and the Oxford University Business Law Blog. I have obtained the 2018 Best Paper Award by the European Capital Markets Institute and the 2018 Young Economist Best Academic Paper Award, by the Unicredit Foundation.

Latest Updates

Upcoming presentations: Reassessment of the ‘Optimal Currency Area’ theory in the persistently heterogeneous European Union (9 September 2021), IFABS 2021 Financial Systems of Tomorrow (13 September 2021), International Risk Management Conference 2021 (1 October 2021), 34th Australasian Finance and Banking Conference (14 December 2021), World Finance & Banking Symposium (17-18 December 2021).

Research

Working Papers

The Bright Side of Transparency: Evidence from Supervisory Capital Requirements

Joint with Nordine Abidi (International Monetary Fund), Quentin Vandeweyer (University of Chicago) and Livia Amato (University of Chicago).

Should public institutions disclose information about the credit worthiness of the company which it supervises? This paper uses a change in the disclosure policy of the European Central Bank’s regulatory arm to shed light on this question. Specifically we compare European banks along a large number of dimensions before and after the ECB published for the first time bank-by-bank information on Pillar 2 requirements (P2R) in an effort to improve transparency. We show that bond prices and cross-border holdings of debt securities are sensitive to new regulatory information as well as to rating gaps between the ECB and private credit rating agencies. Overall, our results support the view that wider disclosure of prudential requirements are beneficial for market discipline and financial integration. They also support the idea that supervisors have a specific, idiosyncratic and valuable knowledge of the banks they supervise.

Latest Version: SSRN Working Paper, June 2021.
University of Oxford. Oxford Business Law Blog.

Quantitative Easing and Credit Rating Agencies

Joint with Matteo Falagiarda (European Central Bank) and Nordine Abidi (International Monetary Fund).

This paper investigates the behaviour of credit rating agencies using a natural experiment in monetary policy. We exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming eligible for outright purchases. We show that after the launch of the policy, rating activity was concentrated precisely on the territory where the incentives of market participants are expected to be more sensitive to the policy design. Our findings contribute to better assessing the consequences of the explicit reliance on CRAs ratings by central banks when designing monetary policy. They also support the Covid-19 monetary stimulus, and in particular the waiver of private credit rating eligibility requirements applied to recently downgraded issuers.

Latest Version: International Monetary Fund Working Paper Series, No. 2022/113.

First Version: European Central Bank Working Paper Series, No. 2274/April 2019.

* Unicredit Foundation Young Economist Best Academic Paper Award, 6th Macro Banking and Finance Workshop, Alghero. August 2018.

* European Capital Markets Institute Best Paper Award. ECMI Annual Conference 2018, Brussels. October 2018.

Who benefits from the corporate QE? A Regression Discontinuity Design Approach

Joint with Nordine Abidi (International Monetary Fund).

On March 10, 2016, the European Central Bank (ECB) announced the Corporate Sector Purchase Programme (CSPP) – commonly known as corporate quantitative easing (QE) – to improve the financing conditions of the Eurozone’s real economy and strengthen the pass-through of unconventional monetary interventions. Using a regression discontinuity design framework that exploits the rating wedge between the ECB and market participants, we show that: (i) bond yield spreads decline by around 15 basis points at the announcement of the programme, (ii) the impact is mostly noticeable in the sample of CSPP-eligible bonds that are perceived as high yield from the viewpoint of market participants and, (iii) the CSPP seems to have stimulated new issuance of corporate bonds. Overall, our results are consistent with the explanation that highlights the portfolio rebalancing mechanism and the liquidity channel.

Latest Version: European Central Bank Working Paper Series, No. 2145/April 2018.

Work in Progress

Quantitative Easing and Cross Sectional Stock Returns

Joint with Nordine Abidi (International Monetary Fund) and Quentin Vandeweyer (University of Chicago).

The (Procyclical) Structure of Equity Risk Premia

Joint with Nicolas Syrichas (European Central Bank).

Book Chapters

“Too Tech to Fail?”; In Digitalisation, Sustainability and the Banking and Capital Markets Union.

Edited by Lukas Böffel and Jonas Schürger
Joint with Nordine Abidi (International Monetary Fund)

Do the biggest tech companies have a bond funding edge? Are they the new «Too-big-to-fail» (TBTF)? TBTF represents, among other things, the idea that the biggest firms (usually banks) receive an unfair funding advantage over smaller ones in the bond market. By investigating the tech financial world, our empirical work reveals two important findings. First, within the universe of bond-issuing U.S. firms, the largest tech companies did experience a funding advantage – of about 30bps. on average – from 2014 to 2021. Our estimates suggest that the (implicit) subsidy is in the range of 1 to 2 USD billion per year and that this has been steadily rising over the last years, especially during the Covid-19 period. Second, using a unique dataset of security-level portfolio holdings by sector in each euro area country, we investigate portfolio choices during times of financial distress. We find evidence of a sharp relative increase in portfolio holdings of Big Tech securities during times of market turbulence suggesting that Big Tech bonds act as safe assets. Overall, while the magnitudes of our estimates remain small from a macroeconomic perspective, we find that Big Tech companies are slowly converging towards what we call the «Too-Tech-to-Fail» (TTTF) paradigm. In other words, the unique position they have in the new economy, seems to artificially boost their credit profiles and lower their bond funding costs, potentially creating an uneven playing field.

Palgrave Macmillan, 2022 (Upcoming, pre-print version).

Newspapers, Media and Blogs: Financial Times, Les Echos, Quantpedia, Oxford University Business Law Blog.

“Remarks on the Evolution of Central Banking”; In 50 Years of Central Banking in Kenya: Regional and Global Perspectives.

Edited by Patrick Njoroge and Victor Murinde
Joint with Federica Branca and Francesco Paolo Mongelli (European Central Bank)

This chapter provides some observations regarding the evolution of central banking. It is noted that the practice of monetary policy and the scope of central banks have changed over time. The chapter reflects on the path to East African Economic and Monetary Union (EA-EMU). First, how does East Africa stand in terms of economic and financial convergence? Second, what are the milestones of central banking that all central banks of the EA-EMU should master? Third, which monetary lessons could the euro area offer? Fourth, what worked, and has not, in the euro area, what is being fixed? It is noted that East African countries have differences in income per capita, exchange rate volatility, domestic prices, and fiscal discipline. To support sustainable convergence, they should align their monetary policy frameworks and have solid fiscal arrangement.

Oxford University Press, 2021.

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