Working Papers
Embedded Files
Hiding in Plain Sight: Preferred Habitat Effects in Short-Term Rates
Job Market Paper, available here.
Conferences: 2023 GPEF Workshop in Gais, Young Swiss Economists Meeting 2024, University of St.Gallen, 2024 SFI Research Days, 1st ICMA Doctoral Finance Symposium, Northern Finance Association Ph.D. Poster Session, Columbia Business School, 2024 Johns Hopkins Carey Finance Conference, Swiss Finance Institute, 2025 American Economic Association Ph.D. Poster Session, University of Warwick, University of Technology Sydney, Bank for International Settlements, Swiss Society of Economics and Statistics, 20th Central Bank Conference on the Microstructure of Financial Markets, University of Liechtenstein, University of Basel. Upcoming: Monash University, 2025 EUROFIDAI-ESSEC Paris December Finance Meeting.
Abstract: This paper uncovers that 30% of overnight interbank lending is driven by banks' usage of securitized "repo" instruments to make uncovered trades in bond markets. I exploit a regulatory reform that shortened the fixed income settlement cycle to identify a class of agents that systematically uses repo to source cash and securities in time for delivery; these institutions instantly shifted their trading to a correspondingly shorter repo maturity to continue rolling over their strategies. I demonstrate that this dynamic distorts both the term structure of interest rates as well as the transmission of the monetary policy rate. This paper thus identifies a preferred habitat effect at the core of interbank funding markets, a notable finding given the ultra-short term nature of this segment. Finally, I quantify the resulting spillover to the cost of credit in the real economy.
Hunting for Dollars
Revise and Resubmit at the Journal of Financial Economics
with Peteris Kloks and Angelo Ranaldo. Swiss Finance Institute Research Paper No. 24-52, SSRN.
Conferences: University of St.Gallen, 2024 SFI Research Days in Gerzensee, 7th Short-Term Funding Markets Conference at the Federal Reserve Board, 37th Joint Session of the AWG-MPAG at the ESRB, Northeastern University, Bank for International Settlements, ESSEC, 2024 ECB Money Market Conference, 19th Central Bank Conference on the Microstructure of Financial Markets, EPFL Lausanne, Third CEMLA/Dallas Fed/IBEFA Financial Stability Workshop, the 2024 EMMEC Meetings, 14th BIS/Banca d'Italia/ECB/Bank of Slovenia Workshop on Exchange Rates, 2025 Day Ahead Conference on Financial Markets and Institutions, Federal Reserve Bank of New York, Norges Bank, BI Oslo, Bank of England, 2025 Symposium on Foreign Exchange Markets, 2025 EFA Annual Meeting.
Abstract: Deviations from covered interest rate parity (CIP) have been attributed to limits to arbitrage, but trading volumes surge during periods of no-arbitrage violations. We show that such distortions are caused by constraints on non-U.S. agents’ access to wholesale U.S. dollar markets, and thus reflect a premium for obtaining unencumbered synthetic dollar funding. Three main findings emerge. First, non-U.S. banks substitute secured USD borrowing with foreign exchange swaps to comply with regulatory requirements. Second, the cross-currency basis reflects the shadow costs imposed on non-U.S. agents for borrowing in U.S. wholesale segments. Third, U.S. dealers extract rents on dollar provision; the costs are ultimately passed on to the real economy, with non-U.S. customers paying an additional $10.4 billion in hedging costs. Our study highlights how intermediary constraints impact interconnected money markets and drive segmentation in global dollar funding.
Foreign Exchange Swap Liquidity
with Peteris Kloks and Angelo Ranaldo. Swiss Finance Institute Research Paper No. 23-22, SSRN.
Conferences: 2023 SFI Research Days in Gerzensee, IFABS 2023 Oxford, 29th Annual Meeting of the German Finance Association (DGF), 18th Central Bank Conference on the Microstructure of Financial Markets at the Federal Reserve Board, 2024 BEAR Conference on the Prudential Framework, Bank of England, IMF, Morgan Stanley, Queen Mary University of London, University of St.Gallen, University of Zurich. Media coverage: FX Markets, Risk.net.
Abstract: We present the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market, assessing both its tightness and depth. Three main findings emerge. First, as compared with spot, FX swap liquidity conditions are highly fragmented and more unstable. Second, constrained dealers reduce liquidity supply around quarter-end reporting periods. However, while this would imply a decline in trading activity, we find that volumes surge. A novel demand channel for short-term funding jointly explains volume and liquidity dynamics during these periods. Third, we show a strong and consistent relationship between illiquidity and deviations from the law of one price.
Other works
Bayesian estimation of non-performing loans in Swiss banks
Master's thesis (2019), available here. Can be used as a useful introduction to estimating DSGE models in Dynare.
Discussions
[7] Khetan, U., "Synthetic Dollar Funding," at the 2025 FMA Annual Meeting in Vancouver.
[6] Şaru, I.L., "The Cross-Section of Price Efficiency," at the 2024 ICMA Doctoral Finance Symposium.
[5] Brunamonti, F., "Identifying the TIPS liquidity premium and
inflation expectations," at the 2024 SFI Research Days in Gerzensee.
[4] Audrino, F., J. Schüttler, & F. Sigrist, "Does sentiment help in asset pricing? A novel approach using large language models and market-based labels," at the University of St.Gallen PEcon/PEF PhD Seminar (2024).
[3] Di Marzio, I., S. Mocetti, & E. Rubolino, "Market Externalities of Tax Evasion," at the Young Swiss Economists Meeting (2024).
[2] Greppmair, S., & S. Jank, "Collateral Scarcity and Market Functioning: Insights From the Eurosystem Securities Lending Facilities," at the 29th Annual Meeting of the German Finance Association (2023).
[1] Gössinger, L., "Credit Card Expenditures in Germany and
Austria - A Descriptive Analysis," at the University of St.Gallen PEcon/PEF PhD Seminar (2023).
Outside of the Fed Reserve building ahead of presenting at the 18th Central Bank Conference on the Microstructure of Financial Markets.
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