I am a research economist atBanco de España in the Monetary Policy and Capital Markets 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: Implications for Risky Asset Prices Joint with Berardino Palazzo and Ram Yamarthy [FED WP]
Using inflation swap prices, we study how changes in expected inflation affect firm-level credit spreads and equity returns, and uncover evidence of a time-varying inflation sensitivity. In times of ``good inflation," when inflation news is perceived by investors to be more positively correlated with real economic growth, movements in expected inflation substantially reduce corporate credit spreads and raise equity valuations. Meanwhile in times of ``bad inflation," these effects are attenuated and the opposite can take place. These dynamics naturally arise in an equilibrium asset pricing model with a time-varying inflation-growth relationship and persistent macroeconomic expectations.
Inflation Risk and Yield Spread Changes
Inflation risk explains a significant share of the systematic variation of yield spread changes beyond standard structural 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 expectation, volatility, and cyclicality are significant determinants of yield spread changes. Loading patterns become more pronounced with higher ex-ante default risk and cash-flow flexibility but weaken with refinancing intensity and leverage growth. To rationalize the findings, I show that the same patterns emerge in a structural model of default with stochastic price index and sticky cash flows.
Work in Progress
Momentum Spillovers in Corporate Bonds Joint with Katsiaryna Falkovich and Nils Friewald
Connected firms in the stock market respond to common information with a lag, leading to momentum spillovers. While this effect had been significantly reduced in the stock market, we still find strong cross-asset momentum spillovers among corporate bonds. A strategy that buys bonds whose peers had high stock returns last month and sells bonds with underperforming peers generates an excess return of 38 basis points. Consistent with delayed response due to trading frictions, we find that momentum spillovers are larger for bonds characterized by higher search frictions, particularly those intermediated by dealers at the periphery of the dealer network.
Outcomes, Risk Taking and Incentives: Evidence from Asset Managers Joint with Carsten Bienz, Aksel Mjøs and Francisco Santos
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.
