Fulvia Fringuellotti

I am an economist at the Federal Reserve Bank of New York.

My research interests lie in the areas of financial intermediation, banking, insurance and household finance.

Disclaimer: This is a private website, the views expressed here are my own and do not necessarily represent the views of the Federal Reserve Bank of New York or the Federal Reserve System.

Publications

Credit and Entrepreneurs’ Income, with Manthos Delis, Maria Iosifidi and Steven Ongena

Journal of Financial Intermediation, Volume 63, July 2025, 101161.

Winner of the Journal of Financial Intermediation 2025 Best Paper Award

Fixed Rate versus Adjustable Rate Mortgages: Evidence from Euro Area Banks, with Ugo Albertazzi and Steven Ongena

European Economic Review, Volume 161, January 2024, 104643.

A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk, with Walter Farkas and Radu Tunaru

Journal of Corporate Finance, Volume 65, December 2020, 101753.

Working Papers

Payout Restrictions and Bank Risk-Shifting, with Thomas Kroen

2027 AFA · 2026 IMF Macrofinancial Conference · 2025 EUROFIDAI-ESSEC Paris December Finance Meeting · 2025 CEAR CenFIS Workshop on Financial Regulation for an Evolving Environment · 2025 Federal Reserve Stress Testing Research Conference · 2025 FDIC Bank Research Conference · 2025 MoFiR Workshop in Banking · 2024 ECB Conference on Financial Stability and Macroprudential Policy 2024 · EEA 2024 · 2024 BIS-CEPR-SCG-SFI Conference on Financial Intermediation
Abstract: What are the effects of payout restrictions on bank risk-shifting? To answer this question, we exploit the restriction policies imposed during the Covid-crisis on US banks as a natural experiment. Using a high-frequency differences-in-differences empirical strategy, we show that, when share buybacks are banned and dividends restricted, banks’ equity prices fall while their CDS spreads and bond yields decline. These results indicate that payout restrictions shift risk from debtholders into equityholders. Consistent with a risk-shifting channel, we find that these effects revert once restrictions are lifted. Moreover, banks that are ex-ante more reliant on share buybacks than dividends in their payout policies, decrease risk-taking relative to banks that are ex ante more dividends reliant, with those effects reverting when the restrictions are relaxed. These results indicate that payout and risk-taking choices are complementary and that regulatory payout restrictions endogenously affect bank risk-shifting incentives.

Insurance Companies and the Growth of Corporate Loans’ Securitization, with João A.C. Santos

2024 Bank of Italy and IVASS Conference on Banking, Insurance and Financial Stability · 2024 BEAR Conference, 2023 ECB-FRBNY Workshop on Non-Bank Financial Institutions, Financial Stability, and Monetary Policy · 2023 Workshop on Non-Bank Financial Institutions of the Federal Reserve Bank of Chicago · AFA 2023 · EEA 2022 · ECWFC 2022 Press coverage: NYTimes
Abstract:CLOs have emerged as the fastest growing asset class in insurance companies' portfolios after the Global Financial Crisis. This was induced by insurers' capital regulation which treats CLO tranches the same as equally-rated corporate bonds, despite the former offering higher yields. Consequently, insurance companies developed a preference for CLOs over corporate bonds, which was strengthened by a 2010 regulatory reform. Insurers' CLO investments shaped the CLO market, influencing deal structures and fueling its rapid post-crisis growth. This expanded credit access for corporate borrowers, especially riskier firms. It also led to a substantial transfer of credit risk from banks to insurers.

The Effect of Bank Monitoring on Loan Repayment, with Nicola Branzoli

AFA 2022 · EEA 2020 · 2020 Swiss Winter Conference on Financial Intermediation (poster session, cancelled)
Abstract: Monitoring is one of the main activities explaining the existence of banks, yet empirical evidence about its effect on loan outcomes is scant. Using granular loan-level information from the Italian Credit Register, we build a novel measure of bank monitoring based on banks’ requests for information on their existing borrowers and we investigate the effect of bank monitoring on loan repayment. We perform a causal analysis exploiting changes in the regional corporate tax rate as a source of exogenous variation in bank monitoring. Our identification strategy is supported by a theoretical model predicting that a decrease in the tax rate improves bank incentives to monitor borrowers by increasing returns from lending. We find that bank monitoring reduces the probability of a delinquency in a substantial way and that the effect is stronger for the types of loans that benefit most from bank oversight, such as term loans.

A Generalized Bachelier Formula for Pricing Basket and Spread Options, with Ciprian Necula

10th World Congress of the Bachelier Finance Society
Abstract: In this paper we propose a closed-form pricing formula for European basket and spread options. Our approach is based on approximating the risk-neutral probability density function of the terminal value of the basket using a Gauss-Hermite series expansion around the Gaussian density. The new method is quite general as it can be applied for a basket with a large number of assets and for all dynamics where the joint characteristic function of log-returns is known in closed form. We provide a simulation study to show the accuracy and the speed of our methodology.