I am an economist in the Financial Research Division at the European Central Bank (my CV)
My research interests are: Asset Pricing, Fixed Income and Repo markets, Market Microstucture. My research is both empirical and theoretical.
Disclaimer: This is my private site and the views expressed in the material on these pages are my own and do not reflect those of the European Central Bank
In this paper, I develop and test a model explaining the gradual price decrease observed in the days leading up to anticipated asset sales such as Treasury auctions. In the model, risk-averse investors expect an uncertain increase in the net supply of a risky asset. They face a trade-off between hedging the supply uncertainty with long positions, and speculating with short positions. As a result of hedging, the equilibrium price is above the expected price. As the supply shock approaches, uncertainty decreases due to the arrival of information, investors hedge less and speculate more, and the price decreases. In line with these predictions, meetings between the Treasury and primary dealers, as well as auction announcements, explain a 2.4 bps yield increase in Italian Treasuries.