Research Papers
Reseach Papers
Asset trade, Real investment and a tilting Financial transaction tax with Swarnava (Sonny) Biswas, Giacomo Calzolari and Fabio Castiglionesi , Management Science, 2023
We study the impact of a financial transaction tax (FTT) in a model that combines asset trade and real investment. An informed trader holds private information about the fundamental value of a firm and the firm's manager relies on the asset price to infer such information and invest accordingly. We show that an FTT inefficiently reduces trading in the financial market, however it may tilt the market equilibrium and make asset prices more informative. We characterize when each of these two effects prevails. The model also helps reconciling empirical evidence on the adoption of the FTT.
Executive Summary FTT, Executive Summary FTT (German)
Pledgeability and Bank Lending Technology with Wei Zhai R&R
What is the effect of an expansion of eligible collateral on different lending technologies? We show, both empirically and theoretically, that a larger set of eligible collateral: (i) increases average loan volume more for transaction (T) banks than for relationship (R) banks; (ii) increases T-banks' net interest income more than R-banks' and (iii) decreases average loan risk where the effect is driven by R-banks. Expanding the set of collateral from immovable to movable assets typically benefits SMEs because it allows them to obtain secured instead of unsecured loans.
(In)efficient repo markets with Loriano Mancini and Norman Schürhoff
Repo markets trade off the efficient allocation of liquidity in the financial sector with resilience to funding shocks. The repo trading and clearing mechanisms are crucial determinants of the allocation-resilience tradeoff. The two common mechanisms, anonymous central-counterparty (CCP) and non-anonymous over-the-counter (OTC) markets, are inefficient and their welfare rankings depend on funding tightness. CCP (OTC) markets inefficiently liquidate high (low) quality assets for large (small) funding shocks. Two innovations to repo market design contribute to maximize welfare: a liquidity-contingent trading mechanism and a two-tiered guarantee fund.