Working Papers

Utilizing new transaction data from foreign investors, including the world’s largest pension fund, I investigate the relationship between foreign private asset demand and the global yield curves. I find that a one-standard-deviation change in pension fund flows, approximately 3.6 billion dollars, results in a monthly reduction of at least 4-5 basis points in US yields. I document this effect both at the aggregate flow and at the security level. It is partially attributed to the allocation rebalance channel, which transmits domestic shocks in foreign stock markets to the US bond markets. Further,shocks in the US monetary policy contribute to increased flows of unhedged foreign bonds and decreased hedged flows. These findings provide evidence supporting foreign private investors as important marginal investors and the governmental carry trade in low-yield countries. Lastly, these effects are also present in the UK Gilt market.
Presentation: Brownbag, Federal Reserve Board
The exchange-traded fund (ETF) market has become the most important development of the financial markets over the last decade. I show that the network of the ETF market the linkages between ETFs based on portfolio weights  catalyzes the propagation of price dislocations, the gaps between prices and their fundamental values. Arbitrage trading induces price dislocations in connected ETFs, followed by strong responses in returns and subsequent reversals with a sizable effect of 46% per year. This is robust to controlling for arbitrage trading on its own mispricing and common factors. I reconfirm the effects with the Fed announcement of the Bond ETF purchase in March 2020. The findings suggest that arbitragers create externalities from trading. Finally, the ETF market works as a stabilizer for price dislocations, but induced returns can incur unexpected fluctuations.
Presentation: LSE, NSF/UChicago Annual Conference on Network Science and Economics, WFA 2021, SMU, Baruch College, Bank of England, NY Fed, Federal Reserve Board, Bank of Canada, PIMCO, BlackRock
BlackRock Applied Research Award Finalist, 2020
WFA PhD Candidate Awards for Outstanding Research, 2021 
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and services. With these measures, we provide evidence of a strong link between changes in real integration – in particular global value chains – and equity market comovement. This also holds when controlling for financial openness and other factors that could confound the role of real openness. These results suggest that supply chain disruptions, for instance due to political tensions and the COVID-19 crisis, might also affect the interconnections between stock markets via rippling through the global production network. 
Presentation: Annual Meeting of the Central Bank Research Association, BIS, European Commission*, Banque de France*
*: by coauthor

Discussions

"The Asymmetric and Persistent Effects of Fed Policy on Global Bond Yields" by Tobias Adrian (IMF), Gaston Gelos (BIS), Nora Lamersdorf (FS), Emanuel Moench (FS and CEPR) at the 10th International Conference on Sovereign Bond Markets, 2024

"Two APs are Better Than One: ETF Mispricing and Primary Market Participation" by Evgenii Gorbatikov (LBS) and Taisiya Sikorskaya (LBS) at FMA, 2021