I am a third-year PhD student in Economics at the University of Cambridge. My research interests include international macro-finance and banking.
I am supervised by Chryssi Giannitsarou and Meredith Crowley.
Contact Information:
Faculty of Economics, Austin Robinson Building, Sidgwick Avenue, Cambridge, CB3 9DD
bmck3@cam.ac.uk
Working papers
The price of geoeconomic dependence: Sanction intensity and corporate credit spreads - R&R Journal of International Economics
(earlier circulated as "Geopolitics and corporate credit risk: Evidence from EU-Russia conflict shocks")
Abstract: This paper studies the corporate cost of the rapid economic disintegration between the EU and Russia after Russia's full-scale attack on Ukraine. Exploiting changes in the variance-covariance structure of financial and news variables with gas prices on official sanction and countersanction announcement days, the paper presents a new approach to the identification of sanction intensity shocks. Sanction intensity raises credit spreads as both firm default risk and risk premia rise with stronger effects for firms, industries, and countries highly dependent on Russia before the war. The financial cost of sanction intensity spills over to the real economy as corporate investment declines, while bankruptcies rise.
Latest version, Cambridge Working Paper
Hidden Weaknesses: The Role of Unrealized Losses in Monetary Policy Transmission (joint with Antonio De Vito, Alessio Reghezza, and Cosimo Pancaro) - R&R Journal of Accounting Research
Abstract: This paper investigates how unrealized losses on banks’ amortized cost securities affect monetary policy transmission to bank lending in the euro area. Leveraging the sharp increase in interest rates between 2022 and 2023 and using granular supervisory data on security holdings and loan-level credit register data, we show that a one percentage point increase in the share of unrealized losses on amortized cost securities amplifies the contractionary effect of monetary tightening on lending supply by approximately one percentage point. This effect is more pronounced for weakly capitalized and less liquid banks, and those relying more on uninsured deposits. We further document that banks respond to growing unrealized losses by raising capital and passing through interest rate increases to depositors via higher deposit betas. Importantly, banks that employ interest rate hedging strategies can fully offset the negative impact of unrealized losses on credit supply. The contraction in lending is particularly severe for smaller borrowing firms, highlighting the uneven economic consequences of hidden balance sheet fragilities during a tightening cycle.
Banking on nonbanks (joint with Bruno Albuquerque, Eugenio Cerutti, and Melih Firat)
Abstract: We study how banking groups adjust corporate credit supply in response to tighter macroprudential policies. Using granular data on syndicated corporate loans, we show that banking groups reallocate lending from bank subsidiaries toward affiliated nonbank financial institutions (NBFIs) following regulatory tightening. Relative to bank subsidiaries within the same group, NBFI subsidiaries expand lending, and their credit supply also increases in absolute terms. We estimate that by `banking on' their nonbanks, banking groups offset, on average, more than half of the contraction in bank lending induced by macroprudential tightening. Our findings highlight an important intra-group reallocation channel through which banking groups can partially offset regulatory constraints and result in greater bank–nonbank interconnectedness.
Policy spin-off
Recent evidence on the sovereign-bank nexus in the euro area (joint with Paul Bochmann and Cosimo Pancaro)
Abstract: This paper estimates sovereign-bank default risk spillovers in the euro area. Spillovers spiked at the start of the COVID-19 pandemic and of the Russian invasion of Ukraine but remained contained during the March 2023 banking sector turmoil. Panel regressions find that higher banks’ sovereign exposures increase spillovers between the creditor bank and the borrowing sovereign. Countries with lower GDP growth, higher default probabilities, and a higher debt burden transmit more risk to banks. Larger, less capitalized and more funding-risk-exposed banks convey more default risk to sovereigns. Public aid to the financial sector reduces spillovers.
Published version (Finance Research Letters) here
Work in progress
Global EBP (joint with Ambrogio Cesa-Bianchi and Tim Willems)