Last Updated: July 2026.
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J. Manuel Sanchez Martinez
J. Manuel Sanchez Martinez
Fourth-year Ph.D. student in financeDesautels Faculty of Management, McGill University
My current research focuses on international finance, sovereign debt, and financial regulation, combining macro-financial theory with empirical asset pricing. In particular, I study how regulation affects the pricing of sovereign bonds and other financial assets in open economies.
Before starting the Ph.D., I worked as a research assistant at the Mexican Central Bank and CEMLA.
You can find my complete CV below or in this link: CV
Job Market Paper
Job Market Paper
- Specialness without Safety: Convenience Yields in Risky Sovereign Bonds
I study how financial regulation can generate convenience yields in risky local-currency sovereign bonds by granting them a privileged role in bank's capital regulation.
Abstract:
Sovereign bonds can have convenience yields without necessarily being safe assets. This paper shows that local-currency sovereign bonds in thirteen emerging market economies contain a convenience yield component associated with their privileged status under domestic bank capital regulation: a regulatory convenience yield. I measure this component as the spread between observed sovereign yields and yields implied by a derivative-based synthetic benchmark. Absent financial frictions, the benchmark matches the bonds' cash flows but is free of convenience yields. I formalize the mechanism in a model in which, when banks' balance-sheet constraint binds, they place greater value on bonds that receive preferential regulatory treatment and therefore accept lower yields on them. In panel regressions, the convenience yield proxy rises by about five basis points for each one-percentage-point reduction in the distance between the banking system's capital adequacy ratio and its regulatory threshold, even after controlling for sovereign risk, CIP deviations, bond liquidity, and macroeconomic conditions. The results are consistent with the regulatory mechanism and show how preferential treatment of domestic sovereign debt can lower government borrowing costs below those implied by macroeconomic fundamentals.
Presented at: 2026 Summer PhD Conference - McGill University (Scheduled), 2026 UQAM PhD Colloquium in Finance, 2026 Joint-PhD Symposium (Montreal), 2025 Joint-PhD Symposium (Montreal)
Research
Research
Working Papers
Working Papers
with Patrick Augustin, Alexandre Jeanneret & Ella Patelli
Abstract
We develop an option-based framework to measure corporate credit spreads in local (LC) and foreign (FC) currencies. By construction, these measures embed identical physical default risk, so cross-currency differences isolate how default risk is priced across currencies. Using FX and equity index options from 29 markets, we construct comparable spreads not available in bond markets. LC spreads predict aggregate economic activity, including global output and U.S. indicators, while the FC-LC spread differential forecasts exchange rate movements. Our framework links credit risk, macroeconomic activity, and exchange rate dynamics within a unified setting.
Presented at: FIRN 2026 ANU Money, Credit, and Financial Stability Meeting (Scheduled); 15th Conference on Derivatives (Scheduled); NFA 2026 (Scheduled); 2026 FRR Conference (Scheduled); 2026 International Finance Conference;* Simon Fraser University,* UQAM, 2025 Summer PhD Conference - McGill University; 2025 FMA Annual Meeting;* 2025 CityUHK International Finance Conference;* 2023 Rotman Junior Finance Faculty Conference.*
* Presented by a co-author.
Previous Publications
Previous Publications
with M. Ossandon, A. Rodriguez, R. Montanez & S. Martinez-Jaramillo
Latin American Journal of Central Banking, 2022, 3(3), 100068
with S. Garcia-Verdu & M. Ramos-Francia [Working Paper Version]
Quarterly Journal of Finance, 2019, 9(02)
Previous Non-Finance Publications
Previous Non-Finance Publications
with E. Caceres & J. Virrueta
Journal of High Energy Physics, 2017, 2017(9), 1-24
with A. Nesterov, G. Berman & R. Sayre
Journal of Mathematical Chemistry, 2013, 51(9)
CV
CV
JMSM_CV_Current.pdfPage updated
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