I am a research economist atBanco de España in the Financial Analysis Division. My research interests include asset pricing, credit markets, and financial intermediation. Before joining BdE, I received a Ph.D. in finance from theNorwegian School of Economics.
You can find my CVhere.
Working Papers
Good Inflation, Bad Inflation, and the Dynamics of Credit Risk Joint with Berardino Palazzo and Ram Yamarthy Media: SUERF Policy Note [SSRN] [BDE WP] [FED WP]
We study how changes in expected inflation affect firm-level credit spreads, and uncover evidence of a time-varying inflation sensitivity. In times of “good inflation,” when inflation news is perceived by investors to be positively correlated with real economic growth, movements in expected inflation substantially reduce corporate credit spreads. Meanwhile in times of “bad inflation,” these effects are attenuated and the opposite can take place. These dynamics are driven by movements in credit risk premia and naturally arise in an equilibrium asset pricing model with a time-varying inflation-growth covariance and persistent macroeconomic expectations.
Inflation Risk and Yield Spread Changes [SSRN]
Inflation risk explains a significant share of the systematic variation in yield spread changes beyond credit factors and intermediation frictions. Movements in expected inflation directly affect the real value of debt and, consequently, bond prices. I show that shocks to inflation expectations, volatility, and cyclicality—derived from inflation swap prices—are important determinants of yield spread movements. Loading patterns become more pronounced with higher ex-ante default risk and cash-flow flexibility but weaken with refinancing intensity. To rationalize the findings, I show that the same patterns emerge in a model of debt rollover risk with stochastic inflation and sticky cash flows.
Outcomes, Risk Taking and Incentives: Evidence from Asset Managers Joint with Carsten Bienz, Aksel Mjøs, and Francisco Santos (Revise and Resubmit)
We study incentive contracts used by asset management firms in Norway, focusing on how bonus structures impact performance. The incentive contracts in our sample are heterogeneous, with firms using both quantitative and qualitative targets. We find that higher potential bonuses tied to quantitative targets, such as the information ratio (IR), lead to better year-end IRs. In contrast, placing more weight on qualitative goals tends to reduce IR. Additionally, fund managers at risk of missing mid-year bonus thresholds actively try to boost returns, but these efforts often backfire, resulting in worse overall performance and a lower IR.
