Working Papers

Dollar borrowing by non-financial firms and the real effects of US monetary policy abroad (Job market paper)

I provide firm-level estimates of the real effects of US monetary policy on investment in 36 countries. The key identification idea is that firms, which roll over US Dollar debt shortly after FOMC meetings, are more exposed than firms that do not. Reductions in business investment after US monetary tightening are largest in countries with pegged or managed exchange rates (non-floaters) but also significant in floaters. The stronger spillovers to investment in non-floaters arise from a relatively stronger response by firms with high leverage. Exchange rate fluctuations contribute to the spillover heterogeneity because they amplify the firm-financing spillover channel for non-floaters but dampen it in floaters. A simple framework of endogenous currency choice rationalizes my findings. Exchange rate pegs lead to higher financial vulnerability because they allow smaller and less productive firms to borrow in foreign currency, a conjecture which I confirm in the data.

Download here , Short video here
Presentations: Brown University (2020), Cass Finance Workshop (2020), Capital Fund Management (2020), AEA/ASSA Poster Session (2021)

How does the Fed manage interest rate expectations?

I provide empirical evidence that Fed officials use their speeches to guide short-term interest rate expectations. Measures of misalignment between market and central bankers' expectations predict tone in speeches about monetary policy and that central bankers mention market expectations explicitly. These effects are strongest for voting Fed Presidents and Chairs of the Fed Board of Governors. I show that such communication policy arises under rational expectations when the central bank communicates in a discretionary fashion between interest rate decisions. The central bank's aversion to bond market volatility and the effect of communication on interest rates are key determinants of the equilibrium link between communication and misalignment.

Download here
Presentations: EFA Annual Meeting (2019), CEBRA Annual Meeting (2019), Harvard Macro Lunch (2019), Emerging Scholars Conference (2018), Bank of Canada Communications Conference (2018)

Voting right rotation, behavior of committee members and financial market reactions: Evidence from the U.S. Federal Open Market Committee (with Michael Ehrmann & Bauke Visser)

Whether Federal Reserve Bank presidents have the right to vote on the U.S. monetary policy committee depends on a mechanical, yearly rotation scheme. Rotation is without exclusion: also nonvoting presidents attend and participate in the meetings of the committee. Does voting status change behavior? We find that the data go against the hypothesis that without the voting right, presidents use their public speeches and their meeting interventions to compensate for the loss of formal influence; rather, they support the hypothesis that the voting right makes presidents more involved. We also find that speeches move financial markets less in years that presidents vote. We argue that these discounts are consistent with their communication behavior.
ECB working paper VoxEU
Presentations by co-authors: Erasmus University (2020), ECB Research Seminar (2019), EEA-ESEM Manchester (2019), Bundesbank Workshop (2019)

Work in progress

Information choice by the Fed and the Markets, Empirical evidence (with Adi Sunderam)

The real effects of credit market freezes (with Valentin Schubert and Yannick Timmer)

Euro area money markets under the microscope (with Tobias Linzert)

Using novel transaction-level data, we examine how the new regulatory and monetary policy regime affects money market trading. Banks’ capital and liquidity coverage ratios are significant drivers of cross-bank variation in unsecured and secured money market rates, even after controlling for the pool of borrowers, securities used as collateral, the banks’ CDS premia, day and country effects. We also estimate the effects of variations in bank’s excess liquidity positions and non-bank counterparties on interest rates. Both effects vary with banks’ capital ratio and the level of excess liquidity. Finally, we estimate the net effect of these variables on segmentation between unsecured and secured money markets and thereby passthrough efficiency of monetary policy.

Project currently on hibernation.

Sample of other writings

  • "Measuring money market fragmentation", with Jens Eisenschmidt, Danielle Kedan, ECB Economic Bulletin, 2018, download

  • "Total loss-absorbing capacity, TLAC, and Swedish banks", with Camilla Ferenius, Riksbank Economic Commentary, 2016, download

  • "Bank capital in DSGE models", with Valentin Schubert, Master thesis, 2016

  • "Gross capital flows, currency decomposition and the exchange rate", with Mark Wall, Deutsche Bank client notes, 2014

  • "Mind the unemployment gap", with Gilles Moec, Deutsche Bank client notes, 2014