Working Papers
Working Papers
Embedded Files
This paper investigates the relationship between foreign private demand for treasuries and yield curves. By leveraging the forced rebalancing of the largest pension fund, I show that large foreign investors transmit foreign stock market shocks to U.S. bond markets. I find that a one-standard-deviation change in pension fund flows, approximately 3.6 billion dollars, leads to a monthly reduction of at least 4-5 basis points in U.S. yields. These findings highlight the role of foreign private investors as significant marginal investors. Similar effects are observed in the UK Gilt market.
Presentation: Brownbag, Federal Reserve Board
The exchange-traded fund (ETF) market is one of the most significant recent developments 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 4-10% per year. While own fund flows create price pressure, bundled flows from neighboring funds can exert stronger price pressure in the opposite direction. This mechanism helps explain 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
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
*: by coauthor
Discussions
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
Google Sites
Report abuse