Research
Working Papers
- A Preferred-Habitat Model with a Corporate Sector [SSRN] [PDF]
* Winner of the WFA PhD Candidate Award for Outstanding Research
* Winner of the 2024 NFA Best PhD Student Paper Award
* Winner of the Yiran Fan Memorial Fellowship for the best 3rd year paper
This version: August 2024 Abstract
I study the interplay of interest rate risk, credit risk, and bond quantities in a term structure model of Treasury and corporate bond yields. The core of the theory is an endogenous connection between credit and duration risk premia through bond portfolios. Shocks to default probabilities propagate to Treasury yields through their impact on the price of interest rate risk. The dependence of credit risk premia on interest rates affects the strength of monetary policy transmission to both long term Treasury and corporate yields. The credit and the duration risk premia amplify the effect of an increase in default rates on credit spreads. A decline in Treasury supply can adversely impact corporate yields by raising the price of credit risk through a safety channel. The impact of quantitative easing is asymmetric and depends on which assets are purchased. - The Convenience Yield and the Demand for U.S. Treasury Securities [PDF]
* Winner of the Liew Fama-Miller Fellowship for the best 2nd year paper
This version: June 2023 Abstract
This paper investigates the heterogeneity in investors’ preferences for non-pecuniary attributes of U.S. Treasury securities. My goal is to determine which groups of investors draw benefits from holding Treasuries and the reasons why they are willing to pay a premium over safe and liquid corporate bonds. I first present a conceptual framework to interpret the implications of heterogeneity in valuations of convenience on yields and price elasticities. Then, using sector-level bond holdings from the Financial Accounts, I recover structural demand curves and rank investors by their valuations of convenience services. Estimates reveal that the convenience of long term Treasuries is valuable for U.S. private depository institutions, and security brokers and dealers, whereas it is less attractive to households, pension funds and insurance companies. The ordering suggests that a safety attribute is secondary to liquidity even at longer maturities. Models of convenience yields should (i) accommodate heterogeneity in the elasticity of substitution between Treasuries and corporate bonds and (ii) incorporate liquidity motives at both long and short maturities. - The Demand for Safe Assets with Angelo Ranaldo and Enzo Rossi [SSRN] [SFI] [SNB] [PDF]
* Winner of the 2025 Arnold Zellner Doctoral Prize
This version: December 2024 Abstract
This paper examines how heterogeneity in investment horizons determines the demand for safe assets, bidding strategies in auctions, and post-auction price dynamics. We model a uniform-price double auction with resale where long-term investors hold assets to maturity, while dealer banks distribute the asset in secondary markets. Pure private (common) values emerge when only long-term investors (dealers) participate. Using unique data on Swiss Treasury bond auctions revealing bidders' identities, our empirical findings support key predictions: (1) substantial heterogeneity in demand schedules, with steeper demand curves for dealer banks; (2) Dealer banks' demand becomes steeper with increased demand risk and bid dispersion; and (3) demand elasticity positively predicts post-auction returns.
Policy Papers
- Swiss Treasury Bond Auctions: An Update with Marco Gortan, Angelo Ranaldo and Enzo Rossi [SNB]
This version: March 2025 Abstract
Ranaldo and Rossi (2016) presented data on the history of Swiss treasury bond auctions that covered the period from 1980, when the auction mechanism was implemented, to 2014. In this study, we extend the set of observations until 2023 and provide additional information for the entire sample. In addition to its length, our dataset stands out in terms of granularity. This information includes, among other information, the details of the auction process, the underlying rules and their changes over time, the demand schedules per bidder and their identity, awarded sums, yields and maturities at issuance.
