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 recent development in financial markets. I show that the ETF network — the linkages between ETFs based on portfolio weights — catalyzes the propagation of price dislocations, the gaps between prices and fundamental values. Arbitrage activity induces price dislocations in connected ETFs, followed by responses in returns and subsequent reversals with an effect of 3–7% per year. While own fund flows create price pressure, bundled flows from neighboring funds can exert stronger price pressure in the opposite direction. This channel partially explains how price dislocations naturally arise in the ETF market.
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