Working papers

FX Hedging, Currency Choice, and Dollar Dominance (2021), with M. Fraschini

Central Bank Digital Currency and Quantitative Easing (2021), with M. Fraschini and L. Somoza

Swiss Finance Institute Research Paper No. 21-25.
CONFERENCES: AEA/ASSA 2022 poster session, the Day-Ahead Workshop on Financial Regulation at University of Zurich, the Finance BB seminar at the University of Geneva, the 14th Financial Risks International Forum, and the SFI Research Days 2021
ABSTRACT:This paper studies how the introduction of a central bank digital currency (CBDC) interacts with ongoing monetary policies. We distinguish two kind of policies: standard policy, where the central bank invests in treasuries, and quantitative easing, where the central bank invests in risky securities. In each scenario, we introduce an interest-bearing CBDC, and study the equilibrium allocations. Our analysis reaches three main conclusions. The first is that the equilibrium impact of a CBDC depends on the ongoing monetary policy. Second, when the central bank conducts quantitative easing, the introduction of a CBDC is neutral under two conditions: the cost of issuing a CBDC is equal to the interest on reserves, and the demand for CBDC deposits is smaller than the amount of excess reserves in the system. Third, the introduction of a CBDC might render quantitative easing a quasi-permanent policy, as commercial banks optimally use their excess reserves to accommodate retailers’ demand for switching from bank deposits to CBDC deposits.

OTC Markets and Corporate FX Hedging (2019), with H. Hau and S. Langfield


New evidence shows substantial price discrimination in FX derivative markets between sophisticated and less-sophisticated non-financial firms (Hau et al., 2020). This market distortion potentially discourages many firms from hedging FX risks. This paper seeks to investigate the link between firms’ hedging activities and their expected hedging costs. Furthermore, we are interested in quantifying the welfare impact of a more competitive FX forward market. Understanding this issue has relevant policy implications for designing a better functioning derivative market that better serves the real economy.

Investors Are Listening: How Green Funds Are Reshaping Firms’Incentives (2022), with C. Jaunin

Swiss Finance Institute Research Paper No. 22-19.

This paper studies the relationship between green funds and firms’ attention to sustainability. By using a natural language processing algorithm that extracts topics from texts, we measure the extent to which firms talk about sustainable energy during earnings conference calls. We use our measure to evaluate green funds’ response to firms discussing sustainable energy. Our main result is that, when managers discuss sustainable energy topics, green funds respond by investing in the firm, while other funds divest. This corroborates the idea that green funds are essential to change firms’ incentives and steer them towards the energy transition. Finally, we document that the overall attention that firms and funds pay to the environment is still very limited, although increasing in recent years.

Work in progress

  • Macroeconomic effects of safe assets: evidence from the introduction of Yu E Bao in China

Policy Papers

Stabilizing Stablecoins: Proposal for a Pragmatic Regulatory Approach (2021) , with L. Somoza, The Journal of FinTech

MEDIA COVERAGE: , Financial Times - Alphaville, Cointelegraph, Il Sole 24 Ore .

We propose a framework for regulating stablecoins as a new asset class. We define stablecoins as those digital currencies which are centrally managed and backed by other assets. We compare stablecoins and ETFs under the principle that similar risks should be treated in a similar fashion. Hence, we argue that locking stablecoins into an ETF-like structure, along with restrictions on the basket composition, would significantly reduce regulatory concerns. Stablecoin providers would be functionally similar to ETF sponsors, and stablecoins would be a new vehicle for traditional fiat currencies. Finally, we address common macroeconomic concerns in light of our proposed framework.

Written evidence for the House of Lords Economic Affairs Committee inquiry on Central Bank Digital Currencies (2021), with M. Fraschini and L. Somoza [by invitation]

as part of 3rd Report of Session 2021-22 by the House of Lords, Economic Affairs Committee, Central bank digital currencies: a solution in search of a problem?


  • Consumers might have some benefits from lower transaction costs, faster payments, and increased competition.
  • A CBDC would change the relationship between the BoE and the banking sector, with the latter becoming even more dependent on the BoE.
  • The BoE would have a direct channel with consumers, thus being able to implement more effective and targeted monetary policies.
  • A CBDC might blur the line between monetary and fiscal policy, gradually shifting responsibilities from HM Treasury to the BoE.
  • Whether to introduce a CBDC is mainly a political decision over the role and powers of the BoE.