Research


"The real effects of capital and liquidity requirements"

In this paper, I study the effects of capital and liquidity requirements in terms of credit to the economy, loans riskiness, and the probability of a bank run. To this end, I build, solve and calibrate a model of banking, where a representative bank receives insured deposits, borrows runnable debt, issues loans and purchases risk-free securities. The bank’s creditors can withdraw their credit when the fundamentals of the bank are weak. The bank faces unregulated, price-taker, shadow banks which decrease its profitability while increasing the return of the borrower. I find that high capital requirements decrease lending, increase the riskiness of loans and increase the market share of the shadow banking sector. On the other hand, liquidity requirements have little real effects. They do, however, mitigate the impact of tight capital requirements by significantly reducing the probability of runs when raised above 110%.



Stabilizing stablecoins: a pragmatic regulatory approach (2019), with T. Terracciano

media coverage: VoxEU.org (link), Financial Times - Alphaville (link), Il Sole 24 Ore (link)

We propose a framework for regulating stablecoins as a new asset class. We de- fine stablecoins as those digital currencies which are centrally managed and backed by other assets. We compare stablecoins and ETFs under the principle that similar risks should be treated in a similar fashion (FINMA 2019). Hence, we propose to lock stablecoins into an ETF-like structure, along with restrictions on the basket composition, would significantly reduce regulatory concerns. Stablecoin providers would be functionally similar to ETF sponsors and stablecoins would be a new vehicle for traditional fiat currencies.

Finally, we address common macroeconomic concerns in light of our proposed frame- work.