Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?​

Journal of Financial Economics,
​forthcoming
We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the January 2006 to June 2010 period. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks, even as it lowers deposit rates for both high-risk and low-risk banks. This adversely affects the balance sheets of high-risk bank borrowers, leading to lower payouts, lower capital expenditures, and lower employment. Overall, our results suggest that banks’ capital constraints at the time of an easing of monetary policy pose a challenge to the effectiveness of the bank lending channel and the effectiveness of the central bank as a lender of last resort.​

Brexit and the Contraction of Syndicated Lending​

Journal of Financial Economics,
forthcoming
We document a 23% decline in loan issuances in the UK syndicated loan market after the Brexit vote relative to a set of comparable loan markets both globally and in the EU and using a matched sample based on pre-Brexit loan issuances. The decline in lending is mostly driven by a reduction of UK firm borrowing, but we do not find evidence that the UK loses its attractiveness as a financial center for cross-border borrowing.​ [...]

Kicking the Can Down the Road: Government Interventions in the European Banking Sector

Review of Financial Studies,
​forthcoming
We analyze the determinants and the long-run consequences of government interventions in the eurozone banking sector during the 2008/09 financial crisis. Using a novel and comprehensive dataset, we document that fiscally constrained governments "kicked the can down the road" by providing banks with guarantees instead of full-fledged recapitalizations. [...] 

Similar Investors
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We study the effect of portfolio similarity among investors on their decision to roll over funding to a security issuer. Using detailed security level holdings of U.S. Money Market Mutual Funds (MMFs), we construct a novel measure of portfolio similarity among institutional investors (i.e. MMFs) who are exposed to the same security issuer. [...]