Last Updated: October 2026

Jose Manuel Sanchez-Martinez

Ph.D. candidate in FinanceDesautels Faculty of Management, McGill University

Email: jose-manuel.sanchez-martinez@mail.mcgill.ca

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

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:

Convenience yields can arise in sovereign bonds even when their credit risk is sizable. I find evidence consistent with this in thirteen emerging market economies by comparing local-currency sovereign bonds with cash-flow-equivalent synthetic benchmarks free of convenience yields. These convenience yields rise during stock market downturns and exchange rate depreciations, consistent with a service-flow hedging component. Exploiting the preferential treatment of these bonds under bank capital regulation, I find that the convenience yield proxy increases by eight basis points for a one-percentage-point reduction in regulatory capital slackness, which translates into average annual sovereign borrowing-cost savings ranging from 1 to 14 basis points of GDP across countries. These findings show that preferential regulatory treatment is reflected in sovereign bond prices, lowering borrowing costs when bank regulatory capital is relatively scarce. This pricing effect can dampen fiscal pressure in the bank-sovereign nexus.

Presented at: HEC Montréal (Scheduled), McGill University (Scheduled), 2026 Summer PhD Conference - McGill University, 2026 UQAM PhD Colloquium in Finance, 2026 Joint-PhD Symposium (Montreal), 2025 Joint-PhD Symposium (Montreal)

Research

Working Papers

Option-Implied Local-Currency Credit Spreads

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 probabilities, so cross-currency differences isolate how default risk is priced across currencies. Using FX and equity index options from 33 markets, we construct comparable spreads not available in bond markets. LC spreads predict aggregate economic activity, including global output and US 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: NFA 2026;* FIRN 2026 ANU Money, Credit, and Financial Stability Meeting* (Best paper award); 15th Conference on Derivatives;* 2026 FRR Conference;* 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.*