Publications

• "Household Leverage", June 2014, Journal of Money Credit and Banking, 46 (3): 567-613 (Lead article)

• "Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs" (with Jose L. Fillat and Carles Vergara-Alert), March 2014, Review of Financial Studies, 27 (3): 823-880

  • • Additional files:

      • The house price indicator: the file contains the indicator that captures the existence of periods of high expected growth in US state house prices

      • Online Appendix

• "House Prices, Home Equity Borrowing, and Entrepreneurship" (with Alex Popov), August 2015, Review of Financial Studies, 28 (8): 2399-2428 (An older version with a nice model here)

• "Wealth Insurance and Household Portfolio Allocation: The Effect of Personal Bankruptcy Exemptions on Investment in Home Equity" (with Reint Gropp, Harry Huizinga, and Luc Laeven), January 2016. Journal of Financial Intermediation: 25, 77–9.

• "The Importance of Being Special: Repo Markets During the Crisis" (with Angela Maddaloni), August 2020, Journal of Financial Economics, 137, (2): 392-429.

• "House Price Cycles in Europe" (with Alessandro Fontana), November 2013

• "Limits to Arbitrage: Empirical Evidence from the Euro Area Sovereign Market" (with Maria Rodriguez), April 2015, slides here

• "The Importance of Being Special: Repo Markets during the Crisis" (with Angela Maddaloni), March 2015, slides here

• "Unsecured Bank Funding" (with Peter Hoffmann and Bernd Schwaab)

• "Valuing the Surrender Option Embedded in a Portfolio of Italian Life Guaranteed Participating Policies: a Least Squares Monte Carlo Approach" (with Giulia Andreatta), October 2003

• "Economic Risk Capital and Reinsurance: an Extreme Value Theory's Application to Fire Claims of an Insurance Company", November 2002