Households's Inflation expectations and concern about climate change

with Christoph Meinerding, Yves S. Schüler

European Journal of Political Economy 80, 102451

Using survey data from German households, we find that individuals with higher concern about the consequences of climate change have lower inflation expectations up to five years ahead. We show that the link between climate concern and inflation expectations goes above and beyond individuals’ perception of their personal exposures to climate-related risks, their distrust in the central bank, and a broad range of socio-demographic and socio-economic control variables.

Elastic in Cash, Inelastic in Repo: Hedge Funds in the Treasury and Repo Markets

with Tobias Linzert, Benoit Nguyen, Davide Tomio, Loriana Pelizzon

SAFE Working Paper Series N. 492

Sovereign bond markets are a cornerstone of the financial system, and their functioning is tightly linked to repo markets, where investors finance long positions and source bonds for short sales. We show, theoretically and empirically, that repo prices are set in the cash bond market: when demand for cash bonds exceeds available supply, arbitrageurs accommodate the excess by shorting bonds and borrowing them in the repo market, opening a wedge between the policy and repo rates, i.e., generating specialness. An elastic supply of collateral, in turn, limits how much of the excess demand is capitalized into bond prices. Using regulatory data covering the universe of repos backed by German sovereign bonds, we identify the final borrowers and lenders of securities and estimate the first demand and supply elasticities for a repo market. Supply, dominated by the public sector, accounts for 87% of the aggregate elasticity. Demand, driven by hedge funds, is strongly inelastic: a 10% increase in borrowing costs reduces their borrowing by only 1%. Despite being among the most price-elastic investors in cash bond markets, hedge funds are inelastic in repo, as their borrowing sustains relative-value positions whose size is pinned by the preferred-habitat demand they intermediate: their elasticity is inherited from their cash-market counterparties rather than being a primitive. Specialness thus emerges as the equilibrium price of cash-market demand pressure - of which collateral scarcity from central bank purchases is a special case - tying safe asset pricing and the transmission of monetary policy to the same imbalances in the cash bond market.

PRESENTED AT: European Central Bank Money Market Conference 2024 (poster), 8th Short-term Funding Market Conference, Bank of England 12th Asset Pricing Workshop, European Finance Association 2026, The Chicago Booth Treasury Market Conference 2026, ECB Money Market Conference 2026

Flexibility in Asset Purchases and Repo Market Functioning

with Adriana Grasso

European Central Bank Working Paper Series 2025/3013

Flexibility has progressively become a distinctive feature of the implementation of the Eurosystem’s asset purchases. In its many manifestations, flexibility has also been used by asset managers in the daily selection of sovereign bonds to limit the impact of asset purchases on repo market specialness. This study shows that since the inception of the Public Sector Purchase Programme, flexibile purchases of bonds greatly mitigated the Eurosystem’s footprint on the repo market.

PRESENTED AT: European Central Bank Money Market Conference 2024 (poster), SUERF Policy Brief N 1148

Bund Supply Shocks

Work in progress

A Demand System for the Bund Market

with Benoit Nguyen, Davide Tomio, Loriana Pelizzon

Work in progress

Dealers' Cost of Intermediation in Fixed Income Markets

with Benoit Nguyen, Martin Scheicher, Rita Besugo

SUERF Policy Brief N 1226