Working Papers
Embedded Files
Hiding in Plain Sight: Preferred Habitat Effects in Short-Term Rates
Job Market Paper, available here.
Conferences: 2023 GPEF Workshop in Gais, 2023 Finance PhD Meeting at the University of Liechtenstein, Young Swiss Economists Meeting 2024, University of St.Gallen, 2024 SFI Research Days in Gerzensee, 1st ICMA Doctoral Finance Symposium, Northern Finance Association Ph.D. Poster Session, Columbia Business School, 2024 Johns Hopkins Carey Finance Conference, Swiss Finance Institute, 2025 American Economic Association Ph.D. Poster Session, Warwick Business School, University of Technology Sydney, Bank for International Settlements. Upcoming: 2025 Annual Congress of the Swiss Society of Economics and Statistics.
Abstract: This paper uncovers a preferred habitat effect at the core of interbank repo markets, a notable finding given the ultra-short-term nature of this segment. Leveraging a regulatory reform that shortened the settlement cycle of bond markets, I identify a class of agents using repo to deliver on their commitments in fixed income markets. Trading patterns shifted instantly as these agents' habitat preference changed to a correspondingly shorter repo maturity. A triple-differences identification strategy demonstrates that the shock exacerbated deviations from expectations hypothesis in the treated tenor, implying that habitat effects distort the pricing of this crucial rate. I argue that collateral scarcity and fragmentation act as a limit to arbitrage. My results further highlight a concerning usage of repo to finance leveraged positions.
Hunting for Dollars
with Peteris Kloks and Angelo Ranaldo. Swiss Finance Institute Research Paper No. 24-52, SSRN.
Conferences: University of St.Gallen, 2024 SFI Research Days in Gerzensee, 7th Short-Term Funding Markets Conference at the Federal Reserve Board, 37th Joint Session of the AWG-MPAG at the ESRB, Northeastern University, Bank for International Settlements, ESSEC, 2024 ECB Money Market Conference, 19th Central Bank Conference on the Microstructure of Financial Markets, EPFL Lausanne, Third CEMLA/Dallas Fed/IBEFA Financial Stability Workshop, the 2024 EMMEC Meetings, 14th BIS/Banca d'Italia/ECB/Bank of Slovenia Workshop on Exchange Rates, 2025 Day Ahead Conference on Financial Markets and Institutions, Federal Reserve Bank of New York, Norges Bank, BI Oslo, Bank of England. Upcoming: European Finance Association, 2025 Symposium on Foreign Exchange Markets.
Abstract: We study how financial intermediaries obtain US dollars from wholesale and synthetic funding markets, uncovering three key findings. First, non-US banks substitute funding from US repurchase agreements (repo) with FX swaps at quarter-ends. Second, this behavior arises from regulatory shadow costs which affect repos but not synthetic funding. Third, non-US institutions’ inelastic demand for dollars drives up the cross-currency basis, with Eurozone banks primarily engaging in this substitution. US dealers benefit, while costs are passed to end customers. Our study highlights how unintended regulatory effects impact interconnected money markets, driving quarter-end surges in synthetic dollar borrowing and no-arbitrage violations.
Foreign Exchange Swap Liquidity
with Peteris Kloks and Angelo Ranaldo. Swiss Finance Institute Research Paper No. 23-22, SSRN.
Conferences: 2023 SFI Research Days in Gerzensee, IFABS 2023 Oxford, 29th Annual Meeting of the German Finance Association (DGF), 18th Central Bank Conference on the Microstructure of Financial Markets at the Federal Reserve Board, 2024 BEAR Conference on the Prudential Framework, Bank of England, IMF, Morgan Stanley, Queen Mary University of London, University of St.Gallen, University of Zurich. Media coverage: FX Markets, Risk.net.
Abstract: We present the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market, assessing both its tightness and depth. Three main findings emerge. First, as compared with spot, FX swap liquidity conditions are highly fragmented and more unstable. Second, constrained dealers reduce liquidity supply around quarter-end reporting periods. However, while this would imply a decline in trading activity, we find that volumes surge. A novel demand channel for short-term funding jointly explains volume and liquidity dynamics during these periods. Third, we show a strong and consistent relationship between illiquidity and deviations from the law of one price.
Other works
Bayesian estimation of non-performing loans in Swiss banks
Master's thesis (2019), available here. Can be used as a useful introduction to estimating DSGE models in Dynare.
Discussions
[1] Şaru, I.L. (2024): "The Cross-Section of Price Efficiency," at the 1st ICMA Doctoral Finance Symposium.
[2] Brunamonti, F. (2024): "Identifying the TIPS liquidity premium and
inflation expectations," at the 2024 SFI Research Days in Gerzensee.
[3] Audrino, F., J. Schüttler, & F. Sigrist (2024): "Does sentiment help in asset pricing? A novel approach using large language models and market-based labels," at the University of St.Gallen PEcon/PEF PhD Seminar.
[4] Di Marzio, I., S. Mocetti, & E. Rubolino (2023): "Market Externalities of Tax Evasion," at the Young Swiss Economists Meeting 2024.
[5] Greppmair, S., & S. Jank (2023): "Collateral Scarcity and Market Functioning: Insights From the Eurosystem Securities Lending Facilities," at the 29th Annual Meeting of the German Finance Association (DGF).
[6] Gössinger, L. (2023): "Credit Card Expenditures in Germany and
Austria - A Descriptive Analysis," at the University of St.Gallen PEcon/PEF PhD Seminar.
Outside of the Fed Reserve building ahead of presenting at the 18th Central Bank Conference on the Microstructure of Financial Markets.
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