Working Papers

3. Collateral Choice (job market paper)
Abstract: I provide the first systematic analysis of collateral choices in one of the main short-term funding markets, the repurchase agreement (repo) market. Repos establish a natural connection between short-term and long-term funding markets as long-term bonds serve as collateral in short-term funding trades. In general collateral repos, the borrower can choose which bond he posts as collateral out of a predefined list. In the aggregate, on-the-run bonds are more likely to be delivered than cheapest-to-post securities, which is surprising given that the former are more expensive. I rationalize those findings in a theoretical framework that links the repo to the bond market. My results are relevant for explaining different bond market patterns.

Past presentations: University of St. Gallen (2022), 5th Federal Reserve / University of Maryland Short-Term Funding Markets Conference (2022), SFI Research Days (2022), 29th Finance Forum (2022), FMA European Conference (2022), World Finance Conference (2022), 6th SAFE Market Microstructure Conference (2022), 28th Annual Meeting of the German Finance Association (doctoral workshop, 2022), GPEF PhD Day (2022), 17th Central Bank Conference on Microstructure of Financial Markets (2022), New Zealand Finance Meeting (2022), American Economic Association (poster session, 2023), University of Maryland (2023), University of Rochester (2023), Federal Reserve Board of Governors (2023), McMaster University (2023), Universidad Carlos III de Madrid (2023), Maastricht University (2023), Sveriges Riksbank (2023), University of Cologne (2023), 9th International Conference on Sovereign Bond Markets (2023), Annual Meeting of the Central Bank Research Association (2023), 12th Portuguese Financial Network Conference (2023), and European Economic Association (2023)

4. Why on-the-run is an exorbitant privilege? with Hannah Winterberg
Abstract: The on-the-run / off-the-run yield spread has long been documented for U.S. Treasuries, but, surprisingly, does not exist in other countries. We argue that this is the outcome of the U.S. Dollar being the world's main reserve currency. There needs to be a coordinated agreement for an asset to be considered safe. For the U.S. Dollar, there is more coordination than for safe assets in other developed economies. We show that the demand for U.S. Dollar and U.S. Treasury securities allows the U.S. Treasury to refinance itself below market levels, a phenomenon which we refer to as exorbitant privilege.