Angelo Ranaldo
Welcome to my personal website. I am Angelo Ranaldo, Full Professor of Finance and Systemic Risk at the University of St.Gallen, Member of the Board of the School of Finance at the University of St.Gallen, Swiss Finance Institute (SFI) senior chair and, since 2023, Member of the Bank Council of the Swiss National Bank.
I have served as a consultant and scientific advisor to international institutions such as the Bank of England, Bank of International Settlements, European Central Bank and European Money Market Institute. The European Central Bank awarded me the 2018 Duisenberg Fellowship.
e-mail: angelo.ranaldo@unisg.ch CV (compact) CV (extended) LinkedIn
University of St.Gallen (HSG) and Swiss Finance Institute (SFI)
Unterer Graben 21 | 9000 St.Gallen Office 51-5010
Tel. +41 71 224 70 10
angelo.ranaldo@unisg.ch | https://finsr.unisg.ch/en | Campusplan
Websites: me | ssrn | IDEAS | LinkedIn | Google Scholar | Research Gate
Bank Council of the Swiss National Bank
On April 28, 2023 the General Meeting of Shareholders elected me as a member of the Bank Council for the remainder of the 2020-2024 term of office.
Senior chair at SFI
Since 2022, the University of St. Gallen (HSG) is a partner university of the Swiss Finance Institute (SFI) and I hold a SFI senior chair.
Forthcoming & recent publications:
"Money Market Disconnect", with Benedikt Ballensiefen and Hannah Winterberg, 2023. Review of Financial Studies, forthcoming (SSRN: here).
"Non-Standard Errors", with many co-authors, 2023. Journal of Finance, forthcoming (SSRN: here).
"Judgment Day: Algorithmic Trading around the Swiss Franc Cap Removal", with Francis Breedon, Louisa Chen and Nicholas Vause, 2023. Journal of International Economics, 140, ISSN 0022-1996 (SSRN: here).
“Liquidity Risk and Funding Cost,” with Alexander Bechtel and Jan Wrampelmeyer, 2023. Review of Finance, 27(2), 399-422 (SSRN: here).
"Safe Asset Carry Trade", with Benedikt Ballensiefen, 2023. Review of Asset Pricing Studies, 13(2), 223-265 (Editor’s choice article) (SSRN: here).
"Liquidity in the Global Currency Market", with Paolo Santucci de Magistris, 2022. Journal of Financial Economics, 146(3), 859-883 (SSRN: here).
“Unsecured and Secured Funding,” with Mario di Filippo and Jan Wrampelmeyer, 2022. Journal of Money, Credit and Banking, 54 (2-3), 651 - 662 (SSRN: here).
“Foreign Exchange Swaps and Cross-Currency Swaps”, 2022 (SSRN: here). In R. S. Gürkaynak & J. H. Wright (eds): “Research Handbook on Financial Markets”, Edward Elgar Publishing, 2023, ISBN: 978 1 80037 531 4.
"Realized Illiquidity", with Demetrio Lacava and Paolo Santucci de Magistris, 2022. Working Paper (SSRN: here).
All publications:
“Asymmetric Information Risk in FX Markets,” with Fabricius Somogyi, 2021. Journal of Financial Economics, 140(2), pp. 391-411.
“Regulatory Effects on Short Term Interest Rates,” with Patrick Schaffner and Michalis Vasios, 2021. Bank of England Working Paper No. 801. Journal of Financial Economics 141(2), 750-770.
“OTC Premia,” with Gino Cenedese and Michalis Vasios. Journal of Financial Economics, Volume 136, Issue 1, April 2020, Pages 86-105. (SSRN: here)
“Euro repo market functioning: collateral is king,” with Patrick Schaffner and Kostas Tsatsaronis. BIS Quarterly Review, December 2019, Pages 95-108. (SSRN: here)
“A Simple Estimation of Bid-Ask Spreads from Faily Close High and Low Prices,” with Farshid Abdi. The Review of Financial Studies, Volume 30, Issue 12, December 2017, Pages 4437–4480. (SSRN: here)
“The Euro Interbank Repo Market,” with Loriano Mancini and Jan Wrampelmeyer. The Review of Financial Studies, Volume 29, Issue 7, July 2016, Pages 1747–1779. (SSRN: here)
“Uniform-price auctions for Swiss government bonds: Origin and evolution,” with Enzo Rossi. SNB Economic Studies, 10/2016. (SSRN: here)
“Understanding FX Liquidity,” with Nina Karnaukh and Paul Söderlind. The Review of Financial Studies, Volume 28, Issue 11, November 2015, Pages 3073–3108. (SSRN: here)
“Precious metals under the microscope: A high-frequency analysis,” with Massimiliano Caporin and Gabriel G. Velo. Quantitative Finance, Volume 15, Issue 5, 743-759. (SSRN: here)
“On the predictability of stock prices: A case for high and low prices,” with Massimiliano Caporin and Paolo Santucci de Magistris. Journal of Banking & Finance, Volume 37, Issue 12, December 2013, Pages 5132-5146. (SSRN: here)
“Risk spillovers in international equity portfolios,” with Matteo Bonato and Massimiliano Caporin. Journal of Empirical Finance. Volume 24, December 2013, Pages 121-137. (SSRN: here)
“Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums,” with Loriano Mancini and Jan Wrampelmeyer. The Journal of Finance, Volume 68, Issue 5, October 2013, Pages 1805-1841. (SSRN: here)
“Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland,” with Mario Meichle and Attilio Zanetti. Journal of Financial Markets & Portfolio Management, Volume 25, Issue 4, October 2011, Pages 435-453. (here)
“Does FOMC news increase global FX trading?,” with Andreas M. Fischer. Journal of Banking & Finance, Volume 35, Issue 11, November 2011, Pages 2965-2973. (SSRN: here)
“The Time-Varying Systematic Risk of Carry Trade Strategies,” with Charlotte Christiansen and Paul Söderlind. The Journal of Financial and Quantitative Analysis, Volume 46, Issue 4, August 2011, Pages 1107-1125. (SSRN: here)
“Safe Haven Currencies,” with Paul Söderlind. Review of Finance, Volume 14, Issue 3, July 2010, Pages 385–407. (SSRN: here)
“The reaction of asset markets to Swiss National Bank communication,” with Enzo Rossi. Journal of International Money and Finance, Volume 29, Issue 3, April 2010, Pages 486-503. (SSRN: here)
“Segmentation and time-of-day patterns in foreign exchange markets,” Journal of Banking & Finance, Volume 33, Issue 12, December 2009, Pages 2199-2206. (SSRN: here)
“Editorial,” with Paul Söderlind. Financial Markets and Portfolio Management, Volume 23, Issue 4, December 2009, Pages 333–334. (ResearchGate: here)
“The implementation of SNB monetary policy,” with Thomas Jordan and Paul Söderlind. Financial Markets and Portfolio Management, Volume 23, Issue 4, December 2009, Pages 349–359. (SSRN: here)
“Extreme coexceedances in new EU member states’ stock markets,” with Charlotte Christiansen. Journal of Banking & Finance, Volume 33, Issue 6, June 2009, Pages 1048-1057. (SSRN: here)
“Wolf in Sheep’s Clothing: The Active Investment Strategies Behind Index Performance,” with Rainer Haeberle. European Financial Management, Volume 14, Issue 1, January 2008, Pages 55-81. (SSRN: here)
“Realized bond—stock correlation: Macroeconomic announcement effects,” with Charlotte Christiansen. Journal of Futures Markets, Volume 27, Issue 5, May 2007, Pages 439-469. (SSRN: here)
“Hedge Fund Performance & Higher-Moment Market Models,” with Laurent Favre. Journal of Alternative Investments, Volume 8, Issue 3, Winter 2005, Pages 37-51. (ResearchGate: here)
“Order aggressiveness in limit order book markets,” Journal of Financial Markets, Volume 7, Issue 1, January 2004, Pages 53-74. (ResearchGate: here)
“Transaction costs on the Swiss stock exchange,” Journal of Financial Markets & Portfolio Management, Volume 16, Issue 1, March 2002, Pages 53-68. (ResearchGate: here)
“Intraday market liquidity on the Swiss Stock Exchange,” Journal of Financial Markets & Portfolio Management, Volume 15, Issue 3, September 2001, Pages 309-327. (ResearchGate: here)