Publications


1. Safe Asset Carry Trade with Angelo Ranaldo 
The Review of Asset Pricing Studies, Volume 13, Issue 2, June 2023, Pages 223–265 (Editor's Choice)
Winner of the BME Award for the Best Paper on Fixed Income Markets (2021)
Short Video Presentation of Paper.
Abstract: We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). Based on the temporal and cross-sectional variation in short-term rates, we form a carry that, together with a market factor, prices these near-money assets in a linear pricing model. The carry depicts heterogeneity in nonpecuniary convenience yields of collateral assets and increases in the safety premium and the liquidity premium reflecting opportunity cost. Our carry helps explain the cross-section of short-term rates, as well as of long-term bond returns after accounting for standard bond pricing factors. 
Past presentations: University of St. Gallen (2019), Northern Finance Association (2019), 7th FED / Bank of Canada Conference on Fixed Income Markets (2019), American Economic Association (poster session, 2020), University of Nottingham (2020), American Finance Association (poster session, 2021), 37th International Conference of the French Finance Association (2021), SFI Research Days (2021), 28th Finance Forum (2021), Swedish House of Finance Annual Conference (2021), European Finance Association (2021), American Finance Association (2022), Midwest Finance Association (2022), and INQUIRE Europe Joint Autumn Seminar (2022).




2. Money Market Disconnect with Angelo Ranaldo and Hannah Winterberg 
The Review of Financial Studies, Volume 36, Issue 10, October 2023, Pages 4158–4189
Video of Presentation at ECB Money Market Conference (2022)
Coverage: ECB Strategy Review (2021)
Abstract: A repurchase agreement (repo) is a source of funding and collateral. We document that the money market is more segmented when the collateral motive prevails. Two crucial aspects of the central bank framework lead to this disconnect: banks' access to the central bank's deposit facility and assets' eligibility for Quantitative Easing (QE). We show that repo rates lent by banks with access to the deposit facility and secured by QE eligible assets are more collateral-driven and disconnected from funding-based money market rates. Our results are relevant for different monetary policies and have suggestive implications for the monetary policy pass-through. 
Past presentations: University of St. Gallen (2020), Goethe University Frankfurt (2020), American Economic Association (2021), Young Swiss Economist Meeting (2021), Norges Bank (2021), ECB-RFS Macro-Finance Conference (2021), Eastern Finance Association (2021), Swiss National Bank (2021), SFI Research Days (2021), Swiss Society of Economics and Statistics Congress (2021), World Finance Conference (2021), 52nd Conference of the Money, Macro and Finance Society (2021), SNB Research Conference  (2021), 16th Central Bank Conference on the Microstructure of Financial Markets (2021), RCEA Conference (2022), and ECB Conference on Money Markets (2022).