Research

RESEARCH PUBLICATIONS

Dominant Currency Debt (with Semyon Malamud (EPFL)), Journal of Financial Economics (forthcoming). Internet Appendix and Replication Package (Please cite the paper in case you use any data from this folder.)

WORKING PAPERS

Global Banks, Dollar Funding, and Regulation (with Iñaki Aldasoro (BIS) and Torsten Ehlers (BIS)), BIS Working Paper (No. 708) version, 2nd R&R at the Journal of International Economics

Spillovers of Funding Dry-ups  (with Iñaki Aldasoro (BIS), Florian Balke (Goethe U) and Andreas Barth (Goethe U)), R&R at the Journal of International Economics

“Matching Prime Brokers and Hedge Funds,” SIEPR Discussion Paper No. 16-014.

“Intermediary Funding Liquidity and Rehypothecation as Determinants of Repo Haircuts and Interest Rates”

“From Wood to Coal May Well Be From Malthus to Solow,” (with D. Garcia-Macia).

POLICY-RELATED PUBLICATIONS

Non-bank financial institutions and the functioning of government bond markets (with Philip Wooldridge (BIS))

Dollar funding costs during the Covid-19 crisis through the lens of the FX swap market (with Stefan Avdjiev (BIS) and Patrick McGuire (BIS))

US dollar funding markets during the Covid-19 crisis – the money market fund turmoil (with Andreas Schrimpf (BIS) and Vladyslav Sushko (BIS))

Selected media coverage: Risk.net

US dollar funding markets during the Covid-19 crisis – the international dimension (with Andreas Schrimpf (BIS) and Vladyslav Sushko (BIS))

Selected media coverage: The Economist

US dollar funding: an international perspective (CGFS Papers no:65, Role: Secretary and Working Group member)

Dollar funding of non-US banks through Covid-19 (with Inaki Aldasoro (BIS) and Wenqian Huang (BIS))

US branches and subsidiaries of non-US banks and the Covid-19 shock (with Inaki Aldasoro (BIS), Torsten Ehlers (BIS) and Wenqian Huang (BIS))

Dollar deposits of central counterparties (with Inaki Aldasoro (BIS) and Wenqian Huang (BIS))

“September stress in dollar repo markets: passing or structural?” (with Fernando Avalos (BIS) and Torsten Ehlers (BIS)), BIS Quarterly Review, December 2019, pp. 12-14.

Selected Media Coverage: Financial Times 1, Financial Times 2, The Economist, FT Alphaville, Bloomberg 1,  Bloomberg 2, Bloomberg TV, Washington Post,  Wall Street Journal 1, Wall Street Journal 2, Barron’s, Reuters, Frances Coppola blog, Zerohedge.

“Investment mandates and fire sales: the case of mutual funds and BBB bonds” (with S. Aramonte), BIS Quarterly Review, March 2019, pp. 12-13.

Selected Media Coverage: Financial Times, Bloomberg, Barron’s, Irish Independent

“Financial markets remain vulnerable to year-end stress” (with S. Aramonte), BIS Quarterly Review, March 2019, pp. 8-9.

“The changing shape of interest rate derivatives markets,” (with T. Ehlers), BIS Quarterly Review, December 2016, pp. 53 – 65.

Media Coverage: Bloomberg

“Non-US banks’ global dollar funding grows despite US money market reform,” (with I. Aldasoro, T. Ehlers, R. McCauley), BIS Quarterly Review, March 2017, pp. 22 – 23.

Media Coverage: FT Alphaville, RiskNet

“Can CCPs reduce repo market inefficiencies?” (with I. Aldasoro and T. Ehlers), BIS Quarterly Review, December 2017, pp. 13-14.