Publications

• “Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective”, with Jean-Paul Renne and Jean-Guillaume Sahuc, 2024, Journal of Banking and Finance

              [Online Appendix]    [Replication Package]

• “Disastrous Defaults”, with Christian Gourieroux, Alain Monfort and Jean-Paul Renne, 2021, Review of Finance 

[Online Appendix]     [Replication Package]

• “Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison”, with Olesya Grishchenko and Jean-Paul Renne, 2019, Journal of Money, Credit and Banking   

[Online Appendix]     [Website with Output]

• “Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies”, with Jean-Guillaume Sahuc, 2019, Journal of Money, Credit and Banking    

 [Online Appendix]

• “National Natural Rates of Interest and the Single Monetary Policy in the Euro Area”, with Sebastien Fries, Jean-Stephane Mesonnier and Jean-Paul Renne, 2018, Journal of Applied Econometrics     

[Online Appendix]     [Output]

• “UK Term Structure Decompositions at the Zero Lower Bound”, with Andrea Carriero and Elisabetta Vangelista, 2018, Journal of Applied Econometrics     

[Online Appendix]     [Output]

• “Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-Country Analysis”, with Klodiana Istrefi, 2018, Journal of International Money and Finance     

[Output]

Working Papers

• “Inflation and Growth Risk: Balancing the Scales with Surveys'', with Jean-Paul Renne and Adrien Tschopp

• “Beyond Oil: The Origins of Commodity Price Fluctuations”, with Alvin Lumbanraja, Evgenia Passari and Adrien Rousset Planat

• “The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds”, with Jens Christensen 

      [Output]

• “Interest Rate Uncertainty and Firm Decisions”, with Anne Duquerroy and Klodiana Istrefi 

      [Output]

• “German Inflation-Linked Bonds: Overpriced, yet Undervalued”, with Jens Christensen  and Caroline Paulson

• “An Arbitrage-Free Nelson-Siegel Term Structure Model with Stochastic Volatility for the Determination of Currency Risk Premia”

Work in Progress

• “Reading Inflation Tails”, with Sophie Guilloux-Nefussi, Magali Marx and Jean-Paul Renne

• “Not All Days Are Created Equal: The Hidden Forces that Move Financial Markets”, with Valere Fourel

• “International Yield Curves”, with Drew Creal, Yan Liu and Cynthia Wu

• “Pre- and Post-Pandemic Inflation Expectations in France: A Bond Market Perspective”, with Jens Christensen

Other Publications

• “An AI adoption gap among French firms?”, Eco Notepad, May 2026, with Sebastian Stumpner

• “US inflation and growth risk through expert eyes”, Eco Notepad, May 2026, with Jean-Paul Renne and Adrien Tschopp

• “Beyond oil: The macroeconomic impact of commodity supply disturbances”, VoxEU, 2 April 2026, with Alvin Lumbanraja, Evgenia Passari and Adrien Rousset Planat

• “The German Inflation-Linked Bond Paradox: Issuance Stops, Safety Premium and Liquidty Remain Intact”, SUERF Policy Brief, No 1346, with Jens Christensen and Caroline Paulson

• “A Rising Star: The Natural Interest Rate in the Euro Area”, FRBSF Economic Letter, May 2025, with Jens Christensen

• “How does uncertainty about interest rates affect firms?”, Eco Notepad, November 2024, with Anne Duquerroy and Klodiana Istrefi 

• “A European Star: The Natural Rate of Interest in the Euro Area”, SUERF Policy Brief, No 980, with Jens Christensen

• “GDP-linked bonds: the bewitching song of the sirens”, Eco Notepad, September 2022, with Jean-Paul Renne and Jean-Guillaume Sahuc

• “Financial Integration and Structure in the Euro Area", ECB report, April 2022

• “What if large firms were to go bust?”, Eco Notepad, March 2020

• “Measuring the Anchoring of Inflation Expectations ”, Eco Notepad, August 2018

• “Interest rate uncertainty harms the economy”, Eco Notepad, September 2017, with Klodiana Istrefi

• “Subjective interest rate uncertainty and the macroeconomy: a cross-country analysis”, Rue de la Banque 48, 2017, with Klodiana Istrefi