Publications


The (Unintended?) Consequences of the Largest Liquidity Injection Ever  

Journal of Monetary Economics, 112, 97-112, June 2020.
Co-authors: Miguel Faria-e-Castro and Luìs Fonseca
Paper  ·  BibTeX  ·  Google Scholar

The Design and Transmission of Central Bank Liquidity Provisions  

Journal of Financial Economics, forthcoming.
Co-author: Luisa Carpinelli
ECB Young Economist Award, 2016
Paper  ·  BibTeX  ·  Google Scholar

Working Papers


Why Are Banks Not Recapitalized During Crises?
Being revised for resubmission (2nd round) at the Journal of Financial Economics
Paper · BibTeX
EFA 2016, OxFIT 2016, Barcelona Summer Forum 2015
Eleventh Klaus Liebscher Award, 2015
Ieke van den Burg Prize for Research on Systemic Risk, Shortlisted, 2016

Abstract: I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high, low-capital banks reduce private lending to further increase their holdings of domestic government bonds, lowering sovereign yields and supporting the home sovereign debt capacity. The model rationalizes, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit supply, and the prolonged fragility of the financial sector.

The Anatomy of the Transmission of Macroprudential Policies

Being revised for resubmission at the Journal of Finance
Co-authors: V. Acharya, K. Bergant, T. EisertF. McCann, April 2020
Paper · BibTeX
FIRS 2018,
 LSE PWC, NBER SI (CF), EFA 2019, WFA-CFAR 2019, AFA 2020

Abstract: We analyze how regulatory constraints on household leverage—in the form of loan-to-income and loan-to-value limits—affect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Supervisory loan level data suggest that mortgage credit is reallocated from low- to high-income borrowers and from urban to rural counties. This reallocation weakens the feedback loop between credit and house prices and slows down house price growth in “hot” housing markets. Consistent with constrained lenders adjusting their portfolio choice, more-affected banks drive this reallocation and substitute their risk-taking into holdings of securities and corporate credit.

Zombie Credit and (Dis-)Inflation: Evidence from Europe

Co-authors: V. AcharyaT. Eisert, C. Eufinger, June 2020
Paper · BibTeX · VoxEU · FT
FRBNY/NYU FI 2019, MonPolicy & Reality, 
FIRS 2020, Cavalcade 2020, WFA 2020, AFA 2021

Abstract: We show that cheap credit to impaired firms has a disinflationary effect. By helping distressed firms to stay afloat, “zombie credit” creates excess production capacity reducing, in turn, prices and markups. Granular European inflation and firm-level data confirms this mechanism. At the industry-country level, a rise of zombie credit is associated with a decrease in product prices, markups, firm default, entry, and productivity, and an increase in input costs and sales. Without a rise in zombie credit, inflation in Europe would have been 0.4 percentage points higher post-2012. We also document adverse spillover effects from zombie to healthy firms.

Pirates without Borders: the Propagation of Cyberattacks through Firms’ Supply Chains 
Co-authors: Marco Macchiavelli and André Silva, July 2020
Paper · BibTeX


AbstractWe document the propagation effects through supply chains of the most damaging cyberattack in history and the important role of banks in mitigating its impact. Customers of directly hit firms saw reductions in revenues, profitability, and trade credit relative to similar firms. The losses were larger for customers with fewer alternative suppliers and suppliers producing high-specificity inputs. Internal liquidity buffers and increased borrowing, mainly through bank credit lines at higher rates due to increased risk, helped affected customers to maintain investment and employment. However, the shock led to persisting adjustments to the supply chain network.

Monetary Policy and Export-Dependent Growth in the Euro Area: Curse or Blessing? 
Co-authors: T. Eisert, T. Marchuk

Other Papers


The Portuguese Banking System During the Sovereign Debt Crisis
Banco de Portugal Economic Studies, 1(2), pp. 43-80, July 2015
Co-authors: Miguel Faria-e-Castro and Luìs Fonseca
Paper · BibTeX