[Job market paper]

The Effect of Asset Encumbrance on Bank Behavior: Evidence from the Introduction of Covered Bonds in Norway [current version]

Conditionally accepted at the Journal of the European Economic Association.


with Jin Cao (Norges Bank) and Ragnar Juelsrud (Norges Bank)


Norges Bank Working Paper 6/2021 (Previous title: Covered bonds and bank portfolio rebalancing)


Conferences:  FMA Europe 2023*, AEA 2022,  Econometric Society European Winter Meetings 2021,  DGF Innsbruck 2021 ,  NBR Spring Institute 2021*

Seminar presentations:  IFN (Research Institute of Industrial Economics) Stockholm, Sveriges Riksbanken, TU Dresden, Lund University, University of Essex, Bank of Lithuania, Bank of Slovakia, Norges Bank, Stockholm Business School, ZEW Mannheim,  Otto-von-Guercke University of Magdeburg Faculty Research Seminar, Norges Bank Brown Bag

*presented by co-author

 We use the introduction of covered bonds in Norway in 2007 together with administrative and supervisory data at the bank- and loan-level to investigate the effect of asset encumbrance on the composition of bank balance sheets and bank risk. We show that covered bonds - despite being collateralized with mortgages - leads to a shift in bank lending from mortgages to corporate loans. The marginal corporate borrower is young and low-rated, suggesting that overall credit risk increases. At the same time, we find that total balance sheet liquidity increases. Overall, the beneficial effects of increased liquidity on bank risk outweighs any negative effects of increased credit risk, ultimately reducing risk premia on total and unsecured funding. The effects are driven by banks with low initial liquidity and high risk-adjusted returns on firm lending.

[Working Paper]

Taking advantage of media attention to climate change: CLOs' trading of brown loans [current version SSRN]


with Kathrin Hackenberg ,  Viktoria Klaus (KIT Karlsruhe) and Sven Klingler (BI Norwegian Business School)

Goethe University/SAFE 2024, AFA (2024)*, Young Scholars Nordic Finance Workshop (2023), ECB Green Seminar Series (2023),  EEA 2023*,  NBR Spring Institute 2023 Norway, ZEW Mannheim Conference on Ageing and Sustainable Finance 2023, WiMFEH DIW 2023*, FERN Seminar KIT (2023)*,  Research Seminar Obergurgl (2023)* 

*presented by co-author

Covered in: In the Spotlight

Collateralized Loan Obligations (CLOs) are the main investors in leveraged loans, and we show in this paper that they take advantage of heightened media attention to climate change. Utilizing transaction data on leveraged loans, we find loans of firms in carbon-intensive industries trade at a discount when media attention to climate change is elevated. CLOs take advantage of these price discounts by tilting their portfolios toward carbon-intensive industries. This portfolio tilting is still present for CLO managers who signed the principles of responsible investing (PRI) and thereby committed to considering environmental factors in their investments. Hence, CLOs are one investor class purchasing from institutional investors who divest from brown industries. 


[Working Paper]

Follow-thy-neighbor? Spillovers of targeted asset purchases within agglomerations 

- Submitted - 

IWH Discussion Papers No.22/2019*, IWH Best Paper Award 2021 (received January 2022)

 AEA 2022, Day-ahead workshop University of Zurich 2021, DGF Doctoral Workshop Innsbruck 2021 , WEAI 2021, Norges Bank Brown Bag 2019, EEA Manchester 2019, PHD consortium at the Spanish Finance Forum 2019, WIMFEH Berlin 2019, AFA  (2019) 

This paper demonstrates how spillovers between firms can exacerbate the effect of targeted asset purchase programs on the economy. Targeted asset purchases are an important tool of the European Central Bank to contain a resurgence of the sovereign debt crisis in times of rising interest rates. Firms linked to banks affected by targeted purchases reduce investment and there are negative spillovers on the investments of firms operating within the same agglomeration. The result is important for two reasons: First, it provides evidence on how targeted purchases can slow down economic growth. Second, it shows the importance to consider spillovers when assessing crisis measures by central banks, because spillovers can cover up direct effects.

*Formerly circulated under the title "Win-win or joy and sorrow? Spillover of asset purchases within the real sector"

[Working Paper]

Targeted asset purchases and business dynamism

- Submitted-

with Manfred Antoni (IAB Insitute for Employment Research Nuremberg) 

Available on SSRN (2024),  IWH Discussion Papers No.12/2019*

ProdTalk No.7 2021, Chicago Financial Institutions Conference**, GdRE Besancon 2019,  C.R.E.D.I.T. 2018 (Poster), FINEST Workshop 2018, 7th CompNet Annual Conference 2018 

**scheduled presentation by co-author was cancelled due to Covid.

Do targeted asset purchases alter business dynamics of small and medium sized enterprises (SMEs) and their plants? In July 2022, the European Central Bank (ECB) established the Transmission Protection Instrument (TPI), which allows for targeted asset purchases to prevent a resurgence of the sovereign debt crisis during times of rising interest rates. To investigate unintended consequences of such crisis tools, we assess a similar program, conducted by the ECB between 2010 and 2012. We find that plants linked to banks exposed to the targeted asset purchases are approximately 20% less likely to exit. We observe heterogeneous effects depending on the capitalization of banks and productivity of firms.

*Formerly circulated under the title "Do asset purchase programs shape industry dynamics? Evidence from the ECB's SMP on plant entries and exits."

[Publication]

Complexity and bank risk during the financial crisis


Economics Letters 150: 118-121 (2017)

with Thomas Krause (Danmarks Nationalbank) and Lena Tonzer (Vrije Universiteit Amsterdam , IWH)

ECOBATE 2016

We construct a novel dataset to measure banks’ complexity and relate it to banks’ riskiness. The sample covers stock listed Euro area banks from 2007 to 2014. Bank stability is significantly affected by complexity, whereas the direction of the effect differs across complexity measures. 

[Work-in-Progress]