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

European Central Bank Working Paper Series 2026/3305

The functioning of sovereign bond markets is closely intertwined with repo markets, where investors finance long positions and source bonds for short sales. We show, theoretically and empirically, how conditions in the cash bond market fundamentally shape repo rates: When demand for cash bonds exceeds available supply, arbitrageurs, notably hedge funds, step in to bridge the gap by shorting bonds and borrowing them in the repo market. These arbitrage strategies drive a wedge between monetary policy rates and repo rates, generating "specialness". To investigate the drivers of investors' demand for repo contracts, we obtain regulatory data covering the entire universe of repos backed by German sovereign bonds. We identify the ultimate borrowers and lenders of securities and estimate their demand and supply elasticities for the repo market. Supply, dominated by the public sector, accounts for 87% of the aggregate elasticity. Demand, driven mainly 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 markets because their bond borrowing bridges the preferred-habitat demand in the cash bond market: their elasticity is inherited from their cash-market counterparties rather than being a primitive. As a result, repo rate specialness emerges as the equilibrium price reflecting demand pressures in the cash bond market, of which collateral scarcity from central bank purchases is a special case. Consequently, the same cash bond market imbalances affect both the pricing of safe assets and repos, two markets that are of crucial importance for the transmission of monetary policy.

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, ECB RCC1 workshop, CHAMP 3rd workshop in Banca d'Italia, 12th University of York-BoE-BdF Asset Pricing Workshop, 4th Public Debt Management Conference, 2026 Northern Finance Association meetings, 2026 CEPR Winter Symposium.

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

Dealers' Cost of Intermediation in Fixed Income Markets

with Benoit Nguyen, Martin Scheicher, Rita Besugo

SUERF Policy Brief N 1226