Research

[1] Modeling Interdependent Assets: A Global Perspective

joint with Angelo Luisi (Ghent University) 

Abstract:

Existing literature acknowledges two key characteristics of asset returns' dynamics: they are interconnected and feature drifting prices. We propose modeling these features jointly using a Global Error Correction Model and demonstrate that this novel methodology systematically improves the fit of buy-and-hold strategies across asset classes. We establish the equivalence between Generalized Impulse Response Functions and the conditional sensitivity of asset returns to unexpected global financial market fluctuations—analogous to the \textit{beta} in the CAPM framework. Notably, portfolios with low exposure to systemic market shocks (i.e., low beta) outperform traditional strategies aimed at reducing market risk, such as minimum variance or diversified bond portfolios, particularly over annual holding periods.

Conference presentation:

• International Conference in Finance, Accounting, and Banking (Southampton, UK, September 2024)

• 41st International Conference of the French Finance Association (AFFI)  (Dijon, France, May 2025)

• 29th International Conference on Macroeconomic Analysis and International Finance (Rethymno, Greece, May 2025)

• Annual Conferences of the International Association for Applied Econometrics (Turin, Italy, July 2025)

• 41st meeting of the European Economic Association and the 77th European meeting of the Econometric Society, (August 17-21, Ireland, Dublin)

[2] The Impact of Wildfires on Loss Given Default: Evidence from Defaulted Consumer Credits

joint with Walter Distaso (Imperial College Business School),  Angelo Luisi (Ghent University), and Wolfgang Lefever (Ghent University) 

Link to UGhent WP

Abstract:

Natural disasters are increasingly affecting the financial system. While most of the literature on natural disasters and credit risk focuses on the probability of default, very little is known about what happens after default. In this study, we combine two unique datasets to provide novel empirical evidence on the financial impact of wildfires through a loss given default channel. First, we determine Italian provinces’ exposure to wildfires using geospatial data on burned areas derived from satellite imagery. Second, we exploit a proprietary dataset on defaulted consumer credits obtained from a third-party collection agency in Italy. Our results reveal a robust negative relationship between debtors’ exposure to wildfires and the realized recovery rate. By focusing on wildfires that occur during the recovery process of already-defaulted consumer credits, we are able to isolate a loss given default channel, complementing existing evidence on default probabilities.

Conference presentation:

• 30th Annual Conference of the European Association of Environmental and Resource Economists (Bergen, Norway, June 2025)

• EFic - Conference in Banking and Corporate Finance (Rimini, Italy, June, 2025)

• Conference on Sustainable Banking & Finance (Naples, Italy, July 2025)

• GRASFI Annual Conference for Sustainable Finance and Investment (Paris, France, August 2025)

• XIX Credit Scoring and Credit Control Conference (Edinburgh, UK, August 2025)

[3] Art Market Returns and Macro-Financial Conditions: A Network Approach

joint with Marie Blum (IESEG) and Marc Joets (IESEG)

Abstract:

We study how economic conditions correlate with art-market returns while accounting for two intrinsic features of this market: substantial heterogeneity across artists and strong interdependence with global market trends and within artistic movements. Existing studies rely largely on aggregate or movement-level indices, implicitly assuming that these relationships apply uniformly to individual artists, thereby introducing aggregation bias. We address this limitation using spatial panel models in which artist-to-artist neighbourhoods are constructed through machine-learning measures of artistic similarity based on realised return dynamics and biographical information. We find evidence of strong interdependence with both the aggregate art market and neighbouring artists. Moreover, macro-financial variables—particularly financial uncertainty, inflation expectations, and short-term interest rates—generate both direct and indirect spillover effects. These relationships are highly time varying and intensify during periods of financial stress, increasing uncertainty, and geopolitical risk, consistent with art’s role as a safe-haven asset.

Conference presentation:

• 42nd International Conference of the French Finance Association (AFFI)  (Clermont-Ferrand, France, June 2026)