Publications in refereed journals:
"Stabilising virtues of central banks: (re)matching bank liquidity" with V. Legroux, I. Rahmouni-Rousseau, N. Valla, Journal of Banking & Finance, vol. 134(C), 2022. [VoxEu]
"Monetary Policy and Corporate Debt Structure" with Stéphane Lhuissier, Oxford Bulletin of Economics and Statistics, 2021. [Local copy] [BdF working paper] [Program and data files]
"Corporate Debt Structure and Economic Recoveries" with Thomas Grjebine and Fabien Tripier, European Economic Review, vol. 101, pages 77-100, January 2018.
"Disaster Risk and Preference Shifts in a New Keynesian Model" with Marlène Isoré, Journal of Economic Dynamics and Control, Volume 79, Pages 97-125, June 2017. [Replication codes]
"The ECB unconventional monetary policies: have they lowered market borrowing costs for banks and governments?", International Journal of Central Banking, vol. 11(4), pages 91-127, December 2015.
Work in progress:
"The ECB's Green Put: From Cheap Talk to Priced Action" with Tristan Jourde and Floris van Dijk.
Standard asset pricing theory predicts a "carbon premium" for high-emission firms, yet recent realized returns have shown the opposite. We show that European Central Bank (ECB) climate communication acts as a "Green Put," a systematic policy signal that has persistently penalized brown assets and limited the return premium they would otherwise have achieved. To capture these shocks, we construct the Central Bank Climate and Nature Communication (CB-CNC) index, a novel high-frequency measure of ECB sustainability involvement from 1997 to 2025. Using a Large Language Model, the index distinguishes between "Action" and "Materiality" focused communications and integrates "Nature" alongside "Climate." We find that only ECB "Action" shocks—not "Materiality" rhetoric—drive the repricing of brown firms in both equity and bond markets. A counterfactual analysis shows that the cumulative impact of this "Action" talk has effectively eliminated the brown premium, preventing high-emission firms from realizing approximately 30\% in cumulative outperformance since 2018.
"Corporate debt structure and heterogeneous monetary policy transmission" with Marie Alder and Nuno Coimbra, Banque de France WP, December 2023, WP 933 [CEPR WP version] [VoxEu] .
Using French firms’ balance sheet data, we show that corporate debt structure plays a significant role in ECB monetary policy transmission. In addition to interest rate policy, we analyse the impact of a novel ECB-induced bond liquidity shock. While both types of policy tightening diminish French firms’ investment, the transmission of conventional monetary policy shocks is stronger for firms with a higher share of bank debt. Conversely, contractionary bond liquidity shocks lower investment more for firms with higher bond shares of total debt. We further investigate the transmission channels and show that bond liquidity tightening reduces French sovereign bond market liquidity and leads to higher bond-bank loan interest rate spreads and lower bond issuance.
“US monetary policy shocks and capital flows” with Julia Schmidt and Maeva Silvestrini.
This paper examines the impact of US monetary policy shocks on bilateral capital flows between US and foreign investors from March 1994 to June 2019. Contrary to the conventional view that capital inflows following unexpected US monetary tightening mainly reflect increased foreign demand for US safe assets, we find that a significant portion of these inflows is driven by US investors repatriating funds from foreign equity markets. This highlights important heterogeneity and market segmentation between domestic and foreign investors. Extending the analysis to Central Bank Information shocks—monetary surprises conveying additional economic information—we document a distinct global portfolio rebalancing characterized by risk-on behavior, with US investors increasing foreign equity holdings and foreign investors shifting into US equities.
“Banks’ liquidity mismatch and quantitative tightening” with Supriya Kapoor and Benoit Nguyen
Working papers:
"Disaster Risk in a New Keynesian Model" with Marlène Isoré, CEPII WP, 2013.
"Are Unconventional Monetary Policies Effective?", LUISS Guido Carli WP, 2011.