Last Updated: September 2026

Jose Manuel Sanchez-Martinez

Fifth-year Ph.D. student 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:

I study whether the preferential treatment of local-currency sovereign bonds under bank capital regulation generates convenience yields despite sizable sovereign credit risk. Using derivative-implied synthetic bond yields across thirteen emerging market economies, I find that convenience yields rise by about ten basis points for each percentage-point reduction in regulatory capital slackness. This relationship is consistent with a regulatory channel in which the advantage of holding domestic sovereign bonds becomes more valuable as banks approach their capital constraints. A stylized model rationalizes this mechanism.

Presented at: 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 (Scheduled); 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.*