Research Agenda
I focus on macrofinance, with a particular emphasis on the dynamics of sovereign debt, monetary policy, and the term structure of interest rates. With my research I want to explore different perspectives on sovereign bonds, interest rates, the segmentation of sovereign bond markets, and resulting implications for monetary and fiscal policy.
Current Projects
Intermediation Capacity and the Term Structure of Sovereign Debt
I examine how balance sheet constraints affect intermediation capacity in sovereign bond markets and the propagation of supply shocks across the term structure. Using Treasury auction data and exploiting regulatory variation from the Supplementary Leverage Ratio, I find that higher primary dealer capital ratios reduce yield curve dislocations when constraints bind, but this relationship reverses during non-binding periods. High-frequency evidence around auctions reveals strong localization effects consistent with preferred-habitat theory. These initial findings highlight the importance of intermediation capacity as a state variable in determining market functioning along the sovereign bond yield curve, which I currently study in more detail.
Policy Papers
The Impact of Extreme Weather Events on the Term Structure of Sovereign Debt
with Emanuel Mönch. Funded by the South African Reserve Bank.
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.