recently finished and/or under revision:
Differentiated deleveraging: How do banks respond to capital ratios and capital requirements? (with Eric Cuijpers), DNB Working Paper 862, May 2026.
We study the heterogeneous relationship between bank capital ratios, capital requirements, bank lending and loan pricing using data on portfolios and bank characteristics for a sample of large European banks in the period 2014-2025. Exploiting dynamic panel data models with parameter heterogeneity, we relate time-varying bank capital ratios and bank capital requirements to portfolio exposures and loan rates. We establish a pattern of differentiated deleveraging whereby higher capital ratios are associated with smaller portfolio sizes, but only for high-risk portfolios and banks with low leverage ratios. On the pricing side, higher capital requirements are associated with only a small increase in portfolio loan rates. The empirical evidence suggests that, once banks are adequately capitalized, capital requirements can be varied without causing substantial changes in bank loan supply and loan pricing.
Funding the fittest? Pricing of climate transition risk in the corporate bond market (with Martijn Boermans and Yasmine van der Straten). DNB Working Paper 797, January 2024.
We study whether climate transition risk is priced in corporate bond markets. We assess whether corporate bond investors value companies’ efforts to mitigate climate change by innovating in the green space. By combining global firm-level data on greenhouse emissions and green patents with bond-level holdings data, we provide evidence of a positive transition risk premium, which is significantly lower for emission intensive companies that engage in green innovation. The joint effect of emission intensity and green innovation on bond yield spreads is driven by European investors, specifically institutional investors. Overall, our results indicate that investors care about whether companies are ‘fit’ for the green transition.
Misallocation and productivity growth: a Meta-analysis (with Tetie Kolaiti and Tolga Ozden). DNB Working Paper 774, April 2023.
We use a meta-analysis to quantify the impact of misallocation of production factors on aggregate productivity. A key estimate in empirical studies on misallocation is the implied aggregate total factor productivity (TFP) loss due to the sub-optimal allocation of resources across firms. In our meta-analysis, we correlate this effect size with various study characteristics. First, we find that the TFP growth effect size is smaller than the level effect size. Second, we make a distinction between studies following a direct or indirect approach, where the former relates misallocation to one or more specific factors while the latter quantifies the overall effect of all possible sources. We find that studies following a direct approach generally report a smaller TFP loss than those using an indirect approach. Third, we find that the extent of misallocation and the corresponding productivity loss depends on the country of analysis. In particular, there is a negative correlation between TFP loss and the level of income.
coming up soon:
The green bond elasticity (with Thibault Cezanne).