Monetary policy, inflation, and crises: Evidence from history and administrative data (with Gabriel Jiménez, José-Luis Peydró, and Björn Richter)
[CEPR DP 17761] [VoxEU column]
Revise & Resubmit at the Journal of Finance
We show that a U-shaped monetary policy rate path (several years of cuts followed by rate hikes) increases banking crisis risk, and that the mechanism operates via credit and asset price cycles (with the initial cuts triggering a “red-zone” financial boom, and the subsequent hikes within “red zones” triggering a crisis).
The Co-Movement Puzzle
Best Paper Award, 2021 Paris December Finance Meeting
I study the co-movement between discount rates (expected returns) on equity, housing, and corporate bonds in long-run data for many countries, and show that it is close to zero. My findings suggest that most excess asset price volatility is asset class specific, and therefore unlikely to be driven by cross-asset-class risk factors such as risk aversion and consumption risk.
The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy (with Björn Richter and Kaspar Zimmermann)
Awarded the 2020 ECB Lamfalussy Fellowship
We study the long-run evolution of bank risk and its links to the macroeconomy. We find that bank assets have become much safer over the long run, but the macroeconomic consequences of bank asset losses have become more severe.
The Expected Return on Risky Assets: International Long-run Evidence (with Kaspar Zimmermann)
[CEPR DP 15610]
We show that expected returns on housing and equity have declined over the long run, and that their trends are disconnected from the safe rate. Our findings suggest that much of the secular variation in both risky and safe asset returns is driven by changes in macro-financial risk.