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:
"Corporate debt structure and heterogeneous monetary policy transmission" with Marie Alder and Nuno Coimbra, Banque de France WP, December 2023, WP 933 [Updated CEPR WP version - May 2025] [VoxEu] - R&R at European Economic Review
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.
"The ECB's Green Put: From Cheap Talk to Priced Action" with Tristan Jourde and Floris van Dijk, November 2025, revised April 2026.
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.
“Federal Reserve shocks: which securities really flow?” with Julia Schmidt and Maeva Silvestrini, Banque de France Working Paper nr. 1040, April 2026.
This paper challenges the conventional wisdom that US monetary policy tightening attracts foreign capital through purchases of US Treasuries. Using bilateral data on US foreign assets and liabilities, we show that much of the observed capital inflows into the US is actually due to US investors repatriating funds from foreign equities. This highlights important heterogeneity 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.
"Geopolitical Risk and ECB Monetary Policy Transmission" with Laurent Ferrara, September 2026.
How does geopolitical risk shape monetary policy transmission within a monetary union? We combine intraday ECB monetary policy surprises with a euro-area-specific geopolitical risk index in a high-frequency interaction model. Contractionary ECB shocks generate larger increases in sovereign spreads when geopolitical risk is elevated, particularly at longer maturities. Contrary to a standard fragmentation narrative, this amplification is concentrated in core countries---Germany, the Netherlands, Finland, and Austria---and is driven by military-conflict and nuclear-threat risks. The evidence points to a fiscal-anticipation channel: fiscal capacity and defense commitments jointly determine which sovereigns are repriced, while the magnitude of repricing increases with the debt burden and defense spending. These findings suggest that geopolitical risk reshapes monetary policy transmission across sovereign bond markets, with implications for the design of fragmentation-prevention instruments.
“Quantitative Tightening and Bank Liquidity: Exposure, Resilience, and Lending” with Supriya Kapoor, August 2026.
This paper examines how quantitative tightening (QT) affects banks' liquidity positions and lending in the euro area. Using bank-level data, we construct a bank-level Liquidity Mismatch Index (LMI) based on Eurosystem collateral haircuts and combine it with high-frequency ECB monetary policy surprises to identify the effects of QT. We find that banks more reliant on Eurosystem refinancing experience a greater deterioration in liquidity mismatch as QT unfolds, driven by the replacement of stable TLTRO funding with shorter-term wholesale funding. However, greater reliance on Eurosystem refinancing does not, in itself, translate into lower lending. Instead, banks entering the tightening cycle with weaker initial liquidity positions reduce lending more following QT. Our findings distinguish between exposure and resilience: exposure determines the extent to which banks must replace central bank funding during QT, whereas resilience, captured by banks' initial liquidity positions, determines whether they can absorb this adjustment without reducing lending.
"The nexus of corporate debt and investment: An analysis for France using FIBEN" with Johannes Karge.
"Review of longer-term refinancing operations: the role of bank ratings and collateral management" with Ramona Jimborean.
Permanent 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.