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
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.
Estimation of the Term Structure in a Monetary Union
with Emanuel Moench.
We develop a new regression based estimation framework to decompose the yield curve into short-rate expectations and term premium when sovereign bonds of several countries correspond to the same monetary policy such as in a monetary union or a currency peg.
Extreme Weather Events, Fiscal Space, and the Term Structure of Sovereign Debt
with Emanuel Moench. 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.