Publications
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Segmented Dollar Funding
Journal of Financial Economics, 184 (2026) 104348
Available here.
with Peteris Kloks and Angelo Ranaldo. Previously titled "Hunting for Dollars."
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, 2026 Volatility and Liquidity Workshop, University of Warwick, 2026 SFS Cavalcade.
Abstract: Deviations from covered interest rate parity (CIP) are often linked to limits to arbitrage, yet trading volumes surge during periods of apparent no-arbitrage violations. We show that these distortions stem from constraints on non-U.S. agents’ access to wholesale U.S. dollar markets and reflect a premium for unencumbered synthetic dollar funding: non-U.S. banks substitute secured USD borrowing with FX swaps to meet regulatory requirements. A shadow cost-augmented CIP condition holds, implying no riskless arbitrage. U.S. dealers extract rents on dollar provision while non-U.S. customers bear $10.4 billion in additional annual hedging costs. Our results illustrate how intermediary constraints segment global dollar funding.
Working Papers
Hiding in Plain Sight: Preferred Habitat Effects in Short-Term Rates
Runner-up: 2026 ESRB Ieke van den Burg Prize.
Available here.
Conferences: 2026 ECB Money Market Conference, 2026 FIRN Melbourne Asset Pricing Workshop, ESMA, 2025 Paris December Finance Meeting, University of New South Wales, Monash University, University of Basel, University of Liechtenstein, 20th Central Bank Conference on the Microstructure of Financial Markets, Swiss Society of Economics and Statistics, Bank for International Settlements, University of Technology Sydney, University of Warwick, 2025 AEA Ph.D. Poster Session, Columbia Business School, 2024 Johns Hopkins Carey Finance Conference, 2024 NFA Ph.D. Poster Session, 2024 ICMA Centre Doctoral Finance Symposium, 2024 SFI Research Days, Young Swiss Economists Meeting 2024, University of St.Gallen. Upcoming: 2026 FIRN Annual Meeting, 21st Swiss Economists Abroad.
Abstract: This paper uncovers that 30% of overnight interbank lending is driven by banks’ usage of secured “repo” instruments to make uncovered trades in bond markets. I exploit a reform that shortened the fixed income settlement cycle to identify a class of habitat investors systematically using repo to source cash and securities in time for delivery; these institutions instantly shifted to a shorter repo maturity to continue making the tightened settlement deadline. This dynamic distorts both the term structure of interest rates as well as transmission of the monetary policy rate. This paper identifies a preferred habitat effect impacting ultra-short term maturities; I explain how arbitrage is constrained despite the absence of duration risk. Finally, I quantify the resulting spillover to the cost of credit in the real economy.
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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