International Finance
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 implications of sanction intensity using the EU-Russia conflict after Russia's war 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 identifying sanction intensity shocks. Sanction intensity raises credit spreads by 8% at the start of the full-scale invasion, with effects around 30% stronger for firms highly dependent on Russia before the war. After 100 days, the increase in spreads is equally split between elevated fundamental default risk and a higher excess bond premium, distinguishing sanction intensity shocks from standard geopolitical and gas supply shocks, which primarily affect the latter. The financial cost of sanction intensity spills over to the real economy as corporate investment declines, primarily due to higher borrowing costs, while bankruptcies rise due to gas price responses.
Presentations: EEA-ESEM 2026, CEBRA 2026, Bocconi-CEPR-Kiel Institute Junior Workshop in Geoeconomics 2026, RIEF Conference 2025, MMF PhD Conference 2025, RGS PhD Conference 2025
Global EBP (joint with Ambrogio Cesa-Bianchi and Tim Willems)
Abstract: This paper presents and analyzes a new database of Excess Bond Premia (EBP) for 40 countries between 1997 and 2023. In line with the literature on the 'Global Financial Cycle', we document a strong common component across country EBP. However, country-specific EBP still contain significant predictive power for future economic performance. EBP across countries and currencies are shaped by US rather than by domestic monetary policy.
Working paper coming soon!
Banking
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.
Presentations: EAA Annual Congress 2025*, ECB DGMF Seminar*, SIDREA Financial Reporting and Capital Markets workshop*, New Frontiers in Banking and Capital Markets Conference Rome*
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.
IMF Working Paper, VoxEU, SUERF Policy Brief
Presentations: EEA-ESEM 2026, IMF Macrofinancial Workshop, ECB DGMF Seminar, BoE Banking and Finance Seminar, Federal Reserve Board Seminar*
Work in progress
Sovereign bond issuance during crises - the role of NBFIs (joint with Bruno Albuquerque)
Geoeconomic policy and global financial conditions
Policy work and policy spin-offs
Key linkages between banks and the non-bank financial sector (ECB Financial Stability Review, May 2023)
Recent evidence on the sovereign-bank nexus in the euro area (joint with Paul Bochmann and Cosimo Pancaro)
*presentation by coauthor