Research

Research interests:

Central Banking: Monetary policy, Exchange rate policy, Communication policy

Financial Complexity: Networks, network reconstruction

Econometrics: Non-linear models, Instrumental variables, Control functions, Cross-sectional dependence, Time-series, Bootstrapping techniques

Finance: Systemic risk, Contagion, Abnormal performance, short-selling, investment strategy

International Finance: Sovereign wealth funds, Mutual funds, Contagion

Sustainable Finance: ESG, Regulation, Climate risk

Ongoing research:

On Financial Contagion (with Sophie Béreau, University of Namur, CORE, Cyrille Dossougoin, Nicolas Debarsy, CNRS-University of Lille)
On sustainable finance (Gani Aldashev, ECARES, ULB, Thomas Dulak, ECARES-ULB)
On Sovereign Wealth Funds (with Malik Kerkour, Louise Schraverus, UNamur);
On Mutual Funds (with Henri Vanhomwegen, University of Namur, Sophie Béreau, University of Namur, CORE, Camille Baily, University of Namur);
On Monetary Policy (with Komlan Agba, University of Namur, Hamza Bennani, University Paris-Nanterre, Alexandre Girard, Saint-Louis University);
On Macroeconomic Contagion (with Sophie Béreau, University of Namur, CORE, Joey Soudent, University of Namur, Alexandre Girard, Saint-Louis University, Benjamin Peteers, Saint-Louis University);

Published papers:

2024

'Climate litigation and financial markets: A disciplinary effect?', with Thomas Dulak, International Review of Financial Analysis, vol 95,
'Decentralized Autonomous Organizations (DAOs): Catalysts for enhanced market efficiency', with Baptiste Perez, Finance Research Letters,

2023

'Common Short Selling and Excess Comovement, Under revision', with Marco Geraci and David Veredas, Journal of Financial Markets Forthcoming
'Firm performance and the crowd effect in lobbying competition' with Alexandre Girard and Rodrigo Londo ̃no van Rutten, Finance Research Letters, 103618

Corporate Lobbying and Firm Performance Variability, with Alexandre Girard and Rodrigo Londo ̃no van Rutten, Finance Research Letters, 58,

2022

'Monetary Policy and Portfolio Rebalancing: Evidence from European Equity Mutual Funds', with Joey Soudant, Journal of Financial Stability. Vol. 63.
'Assessing the Sources of Heterogeneity in Eurozone Response to Unconventional Monetary Policy', with Hamza Bennani and Eli Komlan Agba, Applied Economics. 54(48), pp. 5549–5574.

2020

'A multilevel analysis of financial institutions’ systemic exposure from local and system-wide information', with Yérali Gandica, and Sophie Béreau, Scientific Report (Nature publishing), 10, 17657

2019

'Making a difference: European mutual funds distinctiveness and peers' performance', with Sophie Béreau and Henri Vanhomwegen, Finance, vol. 41, 7 à 51

2018

'Effective network inference through multivariate information transfer estimation', with Carl-Henrik Dahlqvist, Physica A, forthcoming
'Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science', with Yérali Gandica, Marco Geraci and Sophie Béreau, PLOS ONE, forthcoming
'Measuring interconnectedness between financial institutions with Bayesian time-varying VARs', with Marco Geraci, Journal of Financial and Quantitative Analysis, forthcoming
'Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach', with Nicolas Debarsy, Cem Ertur and Cyrille Dossougoin, Journal of Economic Dynamics and Control, Elsevier, 2018, 87, pp.21 - 45.

2017

2016

'Economic policy uncertainty and risk spillovers in the Eurozone', with Oscar Bernal and Gregory Guilmin, Journal of International Money and Finance. 65, p. 24-45
'The importance of conflicts of interest in attributing sovereign credit ratings', with Oscar Bernal and Alexandre Girard, International Review of Law and Economics. 47, p. 48-66

2015

'Risk management, nonlinearity and aggressiveness in monetary policy: the case of the US Fed', with D. Moccero (European Central Bank), Journal of Banking and Finance , vol. 55, p. 281-294 14 p.

2014

'A bootstrap test for cojump identification on the S&P 500, US bonds and exchange rate', with Jérome Lahaye and Lyudmyla Hvozdyk, Journal of International Money and Finance, vol. 48, p 147-174.
'Assessing the contribution of banks, insurance and other financial services to systemic risk', with Oscar Bernal and Gregory Guilmin, Journal of Banking and Finance, Vol 47, p. 270-287
'The intraday impact of communication on euro-dollar volatility and jumps', with Hans Dewachter, Katholieke Universiteit Leuven, Deniz Erdemlioglu, University of Namur, and Christelle Lecourt, Journal of International Money and Finance, vol. 43, p 131-154

2013

'Risk management, nonlinearity and aggressiveness in monetary policy: the case of the US Fed', with D. Moccero (European Central Bank), ECB Working Paper Series

2012

'Do Jumps Mislead the FX Market?' with J. Lahaye (University of Lausanne), S. Laurent (Maastricht University) and C. Lecourt (University of Namur), Quantitative Finance, 12(10), 1521-1532,

2010

'Interdependencies Between Monetary Policy and Foreign Exchange Intervention Under Inflation Targeting: The Case of Brasil and the Czech Republic', with L. de Mello (OECD) and D. Moccero (OECD), International Finance, forthcoming - WP version here

2009

'Intervention Policy of the BoJ: A Unified Approach', with M. Beine (University of Luxembourg), O. Bernal and C. Lecourt, Journal of Banking and Finance, 33(5), 904-913- WP version here
'Talks, Financial Operations Or Both? Generalizing Central Banks' FX Reaction Functions', with O.Bernal, Journal of the Japanese and International Economies, 23(4), 367-394 - WP version here
'Does Transparency in Central Bank Intervention Policy Bring Noise to the Market? The Case of the Bank of Japan', with C. Lecourt and S. Laurent, Journal of International Financial Markets, Institutions and Money, 19(1), 94-111- WP version here
'Does Strategy Matter? An Event-Study Approach to the Bank of Japan’s FX Interventions and their Impact on Market Expectations', with J. Teiletche (Université Paris Dauphine), Journal of International Financial Markets, Institutions and Money, 19(3), 432-446- WP version here

2007

'Foreign Exchange Intervention Policy: With or Without Transparency? The case of Japan?',with C. Lecourt, Economie Internationale, volume 113, pp. 5-34- link here

2006

"Transparence et politique des banques centrales", with C. Lecourt, Revue bancaire et financière, pp. 383-386

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