research

PUBLICATIONS IN REFEREED JOURNALS

“The risks of exiting too early the policy responses to the COVID-19 recession”, Research in Globalization, 4 (2022) 100073 (with P. de Grauwe, C. Morana, and P. Tirelli).

“The collateral channel of open market operations”, Journal of Financial Stability, 41, 2019, pp. 73-90 (with F. Koulischer).

“The ECB’s OMTs: A tale of governments, investors and the central bank”, Journal of International Money and Finance, vol. 65, July 2016, pp. 94-116 (with J. Jorge).

“The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds”, Econometrica, 81(4), July 2013, 1309-1345 (with A. Hortaçsu and J. Kastl).

“Euro money market spreads during the 2007-? financial crisis”, Journal of Empirical Finance, 19, 2012, 548-557 (with C. Morana).

“Overbidding in fixed rate tenders: the role of exposure risk”, Journal of Banking and Finance, 36, 2012, 539-549 (with C. Ewerhart and N. Valla).

“Comovements in volatility in the euro money market”, Journal of International Money and Finance, 29, 2010, 525-539. (with C. Morana).

“Declining valuations and equilibrium bidding in central bank refinancing operations”, International Journal of Industrial Organisation, 28 (1), 30-43, 2010 (with C. Ewerhart and N. Valla).

“Optimal Allotment Policy in Central Bank Open Market Operations”, European Journal of Finance, 15 (4), 2009, 405-420 (with C. Ewerhart, S. Ejerskov and N. Valla).

“Modelling Short-term Interest Rate Spreads in the Euro Money Market”, International Journal of Central Banking, 4 (4), 2008, 1-37. (with C. Morana).

“Manipulation in Money Markets”, International Journal of Central Banking, 3 (1), 2007, 113-148 (with C. Ewerhart, S. Ejerskov and N. Valla).

“Volatility of Interest Rates in the Euro Area: Evidence from High Frequency Data”, European Journal of Finance,12, 2006, 513-528 (with C. Morana).

“A Money Demand System for Euro Area M3”, Applied Economics, 36, 2004, pp. 817-838 (with C. Brand). 

“Monetary Policy and the Stock Market in the Euro Area”, Journal of Policy Modelling, 26, 2004, 387-399, (with C. Morana).

“A Two-factor Model of the German Term Structure of Interest Rates”, Applied Financial Economics, 13, November 2003, pp. 783-806, (with J. Barros Luís).

PUBLICATIONS IN BOOKS

“Systemic liquidity, monetary operations, and financial stability in China”, in Das, Fiechter, and Sun (eds.) China’s Road to Greater Financial Stability, IMF, 2013 (with N. Porter).

“Implementing Monetary Policy in Crisis Times”, in Jarocinski, Smets and Thimann (eds.) Approaches to Monetary Policy Revisited – Lessons from the Crisis, Sixth ECB Central Banking Conference 18-19 November 2010, ECB, 2011 (with A. Durré  and C. Holthausen).

“Liquidity Management Under Market Turmoil: Experience of the European Central Bank in the First Year of the 2007-2008 Financial Market Crisis”, in Evanoff, D., P. Hartmann and G. Kaufman (eds.) The First Credit Market Turmoil of the 21st Century, World Scientific Studies in International Economics, Vol 10, 2009 (with C. Holthausen and F. Wuertz).

“Business Cycle Fluctuations in the Euro Area”, with Claudio Morana, in G. Mazzi and G. Savio (eds.) Growth and Cycle in Europe, Palgrave MacMillan, 2006.

“Monetary Policy and Macroeconomic Fluctuations in the Euro Area”, with Claudio Morana, in L. Williams (ed.) Monetary Policy Issues, Nova Science, N.Y. (USA), 2006.

“Transmission of volatility in the euro money market”,  with Claudio Morana, in L. Williams (ed.) Monetary Policy Issues, Nova Science, N.Y. (USA), 2006.

“Modelling the term structure of interest rates: an application of Gaussian affine models to the German yield curve”, with J. Barros Luís, in C. Dunis (ed.) Quantitative Methods for Trading and Investment, Wiley, 2003.

Essays on Extracting Information from Financial Asset Prices, J. Barros Luís’ Ph D Thesis, University of York, UK, 2001. (The thesis includes joint work with Jorge Barros Luís, previously available only in Portuguese).

“Monetary Policy Implications of the International Role of the Euro”, in International Financial Markets and the Implications for Monetary and Financial Stability, BIS Conference Papers, Vol. 8 – March 2000.

WORKING PAPERS

"Green risk in Europe", University of Milan Bicocca - DEMS WP No. 526, September 2023 (with C. Morana and E. Ossola).

“Understanding Chinese bond yields and their role in monetary policy”, IMF WP 11/225, 2011, (with N. Porter).

“The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times”, ECB WP 1247, October 2010 (with Michael Huetl).

“The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds”, NBER WP 15158, 2009 (with A. Hortaçsu and J. Kastl).

“Modelling short-term interest rate spreads in the euro money market”, ECB WP 982, December 2008 (with Claudio Morana).

“The Reserve Fulfilment Path of Euro Area Commercial Banks: Empirical Test Using Panel Data”, ECB WP 869, February 2008.

“Structural econometric approach to bidding in the main refinancing operations of the Eurosystem”, ECB WP 793, August 2007 (with Christian Ewerhart and Claudio Morana).

“Comovements in Volatility in the Euro Money Market”, ECB WP 703,  December  2006 (with Claudio Morana).

“Declining valuations and equilibrium bidding in central bank refinancing operations”,  August 2006,  ECB WP No. 668 (with C. Ewerhart, and N. Valla).

“Equilibrium and inefficiency in fixed rate tenders”, ECB WP 554, November 2005, (with C. Ewerhart and N. Valla).

“Sporadic manipulation in money markets with central bank standing facilities”, ECB WP 399, October 2004, (with C. Ewerhart, S. Ejerskov and N. Valla).

“Liquidity, information, and the overnight rate”, ECB WP 378, July 2004, (with C.  Ewerhart, S. Ejerskov and N. Valla).

“Optimal Allotment Policy in the Eurosystem’s Main Refinancing Operations”, ECB WP  295, December 2003, (with C. Ewerhart, S. Ejerskov and N. Valla).

“Volatility of Interest Rates in the Euro Area: Evidence from High Frequency Data”, ECB  WP 235, June 2003, (with Claudio Morana).

“Monetary Policy and the Stock Market in the Euro Area” ECB WP 119, January 2002 (with Claudio Morana).

“A Two-factor Model of the German Term Structure of Interest Rates” ECB WP 46, March 2001 (with Jorge Barros Luís).

“A Money Demand System for Euro Area M3”, ECB WP 39, November 2000 (with Claus Brand).

“EMU, Exchange Rate Volatility and Bid-Ask Spreads” BdP WP 5-98, Banco de Portugal, Lisboa, 1998 (with C. Santos).