Research Agenda
I focus on macrofinance, with a particular emphasis on the dynamics of sovereign debt, the term structure of interest rates as well as monetary- and fiscal policy. With my research I want to explore different perspectives on sovereign bonds, interest rates, the mechanics of sovereign bond markets, and resulting implications for monetary- and fiscal policy as well as the broader macroeconomy.
Current Projects
Fiscal Policy and the Term Premium: The Role of Time-Varying Beliefs
with Gabor Pinter.
Presentations (* scheduled): EFA 2026 (pre-EFA PhD Program poster, *), BIS (*)
Identified government spending shocks leave the U.S. ten-year real term premium unchanged on average. We take a novel perspective on this puzzle and estimate persistent, regime-like time-variation in the over-reaction of individual professional interest-rate forecasts. Conditioning on this predetermined state overturns the average. Fiscal spending news raises the term premium when expectations over-react and lower it when they under-react, a one-percentage-point difference after six quarters. The expected short-rate path responds with the opposite sign, locating the effect in risk compensation. A minimal diagnostic-expectations model rationalizes both signs through a single precautionary mechanism. Whether sovereign bond markets demand compensation for fiscal expansion depends on how investors form beliefs when news arrives.
Estimation of a Trend-Consistent Term Structure
with Emanuel Moench, Dennis Umlandt.
Intermediation Capacity and the Term Structure of Sovereign Debt
I examine how constraints to different investor types affect intermediation capacity in sovereign bond markets and the propagation of security-level shocks across the term structure. Evidence around auctions reveals localization effects consistent with preferred-habitat theory when constraints bind. Yet, these effects are heterogeneous along the maturity structure. Based on these initial findings, I currently study the role of frictions to better understand the anatomy of segmented sovereign bond markets.
Working Paper
Extreme Weather Events, Fiscal Space, and the Term Structure of Sovereign Debt
with Emanuel Moench. Funded by the South African Reserve Bank.
Paper: CEPR Discussion Paper, SARB Working Paper
Presentations (* scheduled): SARB, Bank of Greece-CEPR Conference on Macroeconomic and Financial Aspects of Climate Change (*)
We examine the impact of extreme weather events on the term structure of sovereign bond yields in a global panel of advanced- and emerging economies. Our research identifies significant cross-country heterogeneity and demonstrates that fiscal regime strength is a key determinant of yield and inflation responses to climate shocks. This work contributes to understanding the financial implications of climate risks for sovereign debt sustainability.