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.
Policy Papers
The Impact of Extreme Weather Events on the Term Structure of Sovereign Debt
with Emanuel Moench. Funded by the South African Reserve Bank.
Link: SARB WP
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.