Work in Progress
“The Origins of Commodity Price Fluctuations”, with Evgenia Passari and Adrien Rousset Planat
“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
Working Papers
“Inflation and Growth Risk: Balancing the Scales with Surveys'', with Jean-Paul Renne and Adrien Tschopp
“The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds”, with Jens Christensen
“Interest Rate Uncertainty and Firm Decisions”, with Anne Duquerroy and Klodiana Istrefi
“German Inflation-Linked Bonds: Overpriced, yet Undervalued”, with Jens Christensen and Caroline Paulson
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
“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
“UK Term Structure Decompositions at the Zero Lower Bound”, with Andrea Carriero and Elisabetta Vangelista, 2018, Journal of Applied Econometrics
“Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-Country Analysis”, with Klodiana Istrefi, 2018, Journal of International Money and Finance
Discussions
"Macro Risks", by Tobias Adrian, Nina Boyarchenko, Francesco Furno, Domenico Giannone, Leonardo Iania, Michele Lenza, Francesca Loria, Cecilia Melo Fernandes and Sergio Sola
"Food prices matter most: Sensitive household inflation expectations", by Nikoleta Anesti, Vania Esady and Matthew Naylor
"Global or Regional Safe Assets: Evidence from Bond Substitution Patterns", by Tsvetelina Nenova
"The Asymmetric and Persistent Effects of Fed Policy on Global Bond Yields", by Tobias Adrian, Gaston Gelos, Nora Lamersdorf and Emanuel Moench
"Supply or Demand: What Drives Fluctuations in the Bank Loan Market", by Carlo Altavilla, Miguel Boucinha and Paul Bouscasse
"Macroeconomic drivers of inflation expectations and inflation risk premia", by Jef Boeckx, Leonardo Iania and Joris Wauters
"Information in (and not in) interest rate surveys", by Laura Coroneo and Adam Golinski
"ESG Commitment and the Value of `Walking the Talk’: Evidence from Closed-End Funds", by Hyun-Soo Choi, Hugh Hoikwang Kim and Yun-Soo Kim
"E pluribus plures: Shock dependency of the USD pass-through to real and financial variables", by Massimo Ferrari Minesso and Johannes Grab
"The Long-Run Phillips Curve is ... a Curve", by Guido Ascari, Paolo Bonomolo and Qazi Haque
"Government Debt Management and Inflation with Real and Nominal Bonds", by Lukas Schmid, Vytautas Valaitis and Alessandro Villa
"Pension Plan Systems and Asset Prices", by Nuno Coimbra, Francisco Gomes, Alexander Michaelides and Jialu Shen
"Surges and Instability: the Maturity Shortening Channel", by Xiang Li and Dan Su
"Volatility, valuation ratios and bubbles: an empirical measure of market sentiment", by Can Gao and Ian Martin
"With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound", by Felix Geiger and Fabian Schupp
"Does Quantitative Easing Affect Market Liquidity?", by Jens Christensen and James Gillan
"Forward Guidance and Asset Prices", by Yildiz Akkaya, Refet Gürkaynak, Burcin Kisacikoglu and Jonathan Wright
"Swiss Unconventional Monetary Policy: Lessons for the Transmission of Quantitative Easing", by Jens Christensen and Signe Krogstrup
Other Publications
“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